An analytical approximation of European option prices under a hybrid GARCH-Vasicek model with double exponential jump in the bid-ask price economy
Conic finance theory, which has been developed over the past decade, replaces classical one-price theory with the bid-ask price economy in option pricing since the one-price principle ignores the bid-ask spread created by market liquidity. Within this framework, we investigate the European option pr...
| Автори: | , , |
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| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
AIMS Press
2024-03-01
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| Серія: | AIMS Mathematics |
| Предмети: | |
| Онлайн доступ: | https://www.aimspress.com/article/doi/10.3934/math.2024579?viewType=HTML |