Pricing Derivatives with Liquidity Limitations

Mark Syrkin

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SSRN Electronic Journal

Article . 2011 . Peer-reviewed

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https://dx.doi.org/10.2139/ssr...

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Pricing Derivatives with Liquidity Limitations

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2011 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Mark Syrkin;

doi: 10.2139/ssrn.1947870

Pricing Derivatives with Liquidity Limitations

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Abstract

An analytic study of liquidity limitations point out to option prices increase/decrease via volatility enhancements/suppressions for short and long portfolios respectively. We use asymptotics of long and short expirations along with non-perturbative considerations and present some practical approximations for simple estimates.

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