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dc.contributor.authorJunike, Gero
dc.contributor.authorArratia Quesada, Argimiro Alejandro
dc.contributor.authorCabaña Nigro, Ana Alejandra
dc.contributor.authorSchoutens, Wim
dc.contributor.otherUniversitat Politècnica de Catalunya. Departament de Ciències de la Computació
dc.date.accessioned2019-05-02T11:34:04Z
dc.date.available2020-10-01T00:27:36Z
dc.date.issued2020-01
dc.identifier.citationJunike, G. [et al.]. American and exotic options in a market with frictions. "The european journal of finance", Gener 2020, vol. 26, núm. 2-3, p. 179-199.
dc.identifier.issn1351-847X
dc.identifier.urihttp://hdl.handle.net/2117/132516
dc.description.abstractIn a market with frictions, bid and ask prices are described by sublinear pricing functionals, which can be defined recursively using coherent risk measures. We prove the convergence of bid and ask prices for various European and American possible path-dependent options, in particular plain vanilla, Asian, lookback and barrier options in a binomial model with transaction costs. We perform several numerical experiments to confirm the theoretical findings. We apply the results to real market data of American options and compute an implied liquidity to describe the bidask spread. This method describes liquidity over time very well, compared to the classical approach of describing bid and ask prices by quoting bid and ask implied volatilities.
dc.format.extent40 p.
dc.language.isoeng
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera
dc.subject.lcshFinance -- Econometric models
dc.subject.otherMarket with frictions
dc.subject.otherBid-ask spread
dc.subject.otherAmerican options
dc.subject.otherBarrier options
dc.subject.otherBinomial model
dc.titleAmerican and exotic options in a market with frictions
dc.typeArticle
dc.subject.lemacFinances -- Models economètrics
dc.contributor.groupUniversitat Politècnica de Catalunya. LARCA - Laboratori d'Algorísmia Relacional, Complexitat i Aprenentatge
dc.identifier.doi10.1080/1351847X.2019.1599407
dc.description.peerreviewedPeer Reviewed
dc.rights.accessOpen Access
local.identifier.drac24238941
dc.description.versionPostprint (author's final draft)
dc.relation.projectidinfo:eu-repo/grantAgreement/AEI/TIN2017-89244-R
local.citation.authorJunike, G.; Arratia, A.; Cabaña, A.; Schoutens, W.
local.citation.publicationNameThe european journal of finance
local.citation.startingPage179
local.citation.endingPage199


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