مشخصات پژوهش

عنوان	Option valuation in markets with finite liquidity under fractional CEV assets
نوع پژوهش	مقاله چاپ شده
کلیدواژه‌ها	Option pricing, Illiquid market, Sinc collocation method, Price impact.
چکیده	The aim of this paper is to numerically price the European double barrier option by calculating the governing fractional Black-Scholes equation in illiquid markets. Incorporating the price impact into the underlying asset dynamic, which means that trading strategies affect the underlying price, we consider markets with - nite liquidity. We survey both cases of rst-order feedback and full feedback. Asset evolution satis es a stochastic differential equation with fractional noise, which is more realistic in markets with statistical dependence. Moreover, the Sinc- collocation method is used to price the option. Numerical experiments show that the results highly correspond to our expectation of illiquid markets.
پژوهشگران	صدیقه بنی هاشمی (نفر دوم)، افشین بابائی (نفر سوم)، آزاده قاسمی فرد (نفر اول)