Found 21 Documents (Results 1–21)
Non-tradability interval for heterogeneous rational players in the option markets. (English) Zbl 07510427
MSC:
90Bxx
Valuation of bid and ask prices for European options under mixed fractional Brownian motion. (English) Zbl 1484.91484
Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading. (English) Zbl 1475.91345
MSC:
91G15
Nonparametric estimates of option prices and related quantities. (English) Zbl 1445.91063
Reviewer: Weiping Li (Stillwater)
Updating pricing rules. (English) Zbl 1422.91794
MSC:
91G99
Financial market structures revealed by pricing rules: efficient complete markets are prevalent. (English) Zbl 1400.91187
MSC:
91B24
Asset pricing in an imperfect world. (English) Zbl 1398.91285
MSC:
91B25
91G20
Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account. (English) Zbl 1369.91203
Utility maximization in markets with bid-ask spreads. (English) Zbl 1229.91288
Reviewer: Yuliya S. Mishura (Kyïv)
Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk. (English) Zbl 1179.91084
US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk. (English) Zbl 1134.91413
Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs. (English) Zbl 1112.91323
Trader anonymity, price formation and liquidity. (English) Zbl 1032.91596
MSC:
91B24
Claim pricing and hedging under market incompleteness and “mean-variance” preferences. (English) Zbl 1053.91064
MSC:
91B28
60K30
Order flow and the bid-ask spread: an empirical probability model of screen-based trading. (English) Zbl 0901.90043
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