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doi.org/10.1016/j.iref.2018.10.002
Pricing discrete barrier options under jump-diffusion model with liquidity risk
Zhe Li
11
,
Wei-Guo Zhang
12
,
...,
Yue Zhang
14
View all 4 authors
International Review of Economics & Finance
5.60
Volume: 59, Pages: 347 - 368
Published
: Oct 13, 2018
35
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Paper Fields
Physics
Rational pricing
Capital asset pricing model
Liquidity risk
Jump diffusion
Mathematics
Financial economics
Statistics
Econometrics
Economics
Market liquidity
Monte Carlo method
Computer science
Jump
Monetary economics
Quantum mechanics
Computer security
Asset (computer security)
Paper Details
Title
Pricing discrete barrier options under jump-diffusion model with liquidity risk
DOI
doi.org/10.1016/j.iref.2018.10.002
Published Date
Oct 13, 2018
Journal
International Review of Economics & Finance
Volume
59
Pages
347 - 368
Notes
History
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