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• W4210565535 abstract "Abstract In this paper, we study the pricing of vulnerable Asian options with liquidity risk. We employ general Lévy processes to capture the changes in the liquidity discount factors and the information processes of all assets. In the proposed pricing model, we obtain the closed-form pricing formula of vulnerable Asian options using the Fourier transform methods. Finally, the derived pricing formula is used to illustrate the effects of asymmetric jump risk, and the effects are relatively stable on (vulnerable) Asian options with different moneynesses." @default.
• W4210565535 created "2022-02-08" @default.
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• W4210565535 date "2022-02-07" @default.
• W4210565535 modified "2023-09-23" @default.
• W4210565535 title "Valuing vulnerable Asian options with liquidity risk under Lévy processes" @default.
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• W4210565535 doi "https://doi.org/10.1017/s026996482200002x" @default.
• W4210565535 hasPublicationYear "2022" @default.
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