A carregar...
Publicação
Options markets and the feedback effect in the presence of a bid-ask spread in the undelying asset
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 18.99 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
In this work the feedback effect of hedging on an equilibrium dynamic model for the bid-ask spread of an underlying asst is modelled. The patterns of options trading with a bid-ask spread in the underlying asset are established in order to determine the hedging strategies....