Work

A stochastic liquidity risk model with stochastic volatility and its applications to option pricing

Year: 2024

Type: article

Source: Stochastic Models

DOI: 10.1080/15326349.2024.2332326

Authors: Xin-Jiang He, Sha Lin

Institutions: Zhejiang University of Technology, Zhejiang Gongshang University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: National Natural Science Foundation of China

Awards: G1801713412, G3572683624

OpenAlex ID: W4393937569

FWCI: 7.504

Cites: 31

Cited by: 21

Related to: 10