Option pricing in high volatile markets with illiquidity

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

This paper deals with the valuation of options in markets without liquidity and under stress. More precisely, a European option is considered when the underlying asset's dynamic is governed by a Brownian motion. Following Liu and Yong [1], a term related to the number of invested stock is embedded into the model. Moreover, the volatility of the asset is augmented by a separate function that models the abnormal increase of the volatility. Under these settings, we deal with the evaluation of European options.

Original languageEnglish
Title of host publicationInternational Conference on Numerical Analysis and Applied Mathematics, ICNAAM 2018
EditorsT.E. Simos, T.E. Simos, T.E. Simos, T.E. Simos, Ch. Tsitouras, T.E. Simos
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735418547
DOIs
Publication statusPublished - Jul 24 2019
EventInternational Conference on Numerical Analysis and Applied Mathematics 2018, ICNAAM 2018 - Rhodes, Greece
Duration: Sep 13 2018Sep 18 2018

Publication series

NameAIP Conference Proceedings
Volume2116
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

ConferenceInternational Conference on Numerical Analysis and Applied Mathematics 2018, ICNAAM 2018
Country/TerritoryGreece
CityRhodes
Period9/13/189/18/18

ASJC Scopus subject areas

  • Ecology, Evolution, Behavior and Systematics
  • Ecology
  • Plant Science
  • Physics and Astronomy(all)
  • Nature and Landscape Conservation

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