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Option Pricing Models for Illiquid Assets

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In this paper, option pricing models for illiquid assets are provided. The price process of the illiquid asset is specified as either a provisional price process or an execution price process. The execution price is constructed simply by adding the market preference and execution impact at the time of the execution to the provisional price process. Using this definition of the execution price, a closed-form pricing formula is derived for a single European put option, as well as for plural options of various maturities and/or strike prices. Convenient pricing formulas requiring a single numerical integration are also obtained. The results of sensitivity analyses provide positive support for this modeling approach.

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詳細情報

  • CRID
    1050282677899792768
  • ISSN
    0915-0935
  • Web Site
    http://id.nii.ac.jp/1438/00006896/
  • 本文言語コード
    en
  • 資料種別
    departmental bulletin paper
  • データソース種別
    • IRDB
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