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- W2278381005 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." @default.
- W2278381005 created "2016-06-24" @default.
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- W2278381005 date "2011-01-01" @default.
- W2278381005 modified "2023-09-24" @default.
- W2278381005 title "Pricing Derivatives with Liquidity Limitations" @default.
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- W2278381005 doi "https://doi.org/10.2139/ssrn.1947870" @default.
- W2278381005 hasPublicationYear "2011" @default.
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