Determining bid-ask prices for options with stochastic illiquidity and applications to index options
MC Chuang, JT Tsai - Pacific-Basin Finance Journal, 2024 - Elsevier
Market makers must quote two prices-bid and ask prices-for options. This article provides a
GARCH model with stochastic illiquidity risks and gives analytical approximation solutions …
GARCH model with stochastic illiquidity risks and gives analytical approximation solutions …
Testing market efficiency with the pricing kernel
G Barone-Adesi, C Sala - The European Journal of Finance, 2019 - Taylor & Francis
Market efficiency and the pricing kernel are closely related. A non-monotonic decreasing
pricing kernel implies the existence of a trading strategy in contingent claims that …
pricing kernel implies the existence of a trading strategy in contingent claims that …
Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums.
This article develops a nonmonotonic pricing kernel with long-run and short-run variance
risk premiums for option valuation, with a proposed pricing kernel retaining a U-shaped …
risk premiums for option valuation, with a proposed pricing kernel retaining a U-shaped …
Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index
SY Wang, MC Chuang, SK Lin, SD Shyu - Review of Quantitative Finance …, 2021 - Springer
This study incorporates the Markov switching model with return jumps to depict the behavior
of stock returns. Based on the daily Standard & Poor's 500 index (hereafter SPX) and the …
of stock returns. Based on the daily Standard & Poor's 500 index (hereafter SPX) and the …