Valuing tradeability in exponential Lévy models
The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential Lévy type. We consider non-tradeability as a particular type of market illiquidity and investigate its impact on the price of the assets. Starting from an adaption of the continuous-time...
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| Format: | Article |
| Language: | English |
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AIMS Press
2020-08-01
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| Series: | Quantitative Finance and Economics |
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| Online Access: | https://www.aimspress.com/article/10.3934/QFE.2020021/fulltext.html |