Essays about: "Martin Harr"

Found 2 essays containing the words Martin Harr.

  1. 1. Option Pricing in the Presence of Liquidity Risk

    University essay from Institutionen för fysik

    Author : Martin Harr; [2010]
    Keywords : liquidity risk; liquidity costs; option theory; supply curve; martingale approach in option pricing;

    Abstract : The main objective of this paper is to prove that liquidity costs do exist in option pricingtheory. To achieve this goal, a martingale approach to option pricing theory is usedand, from a model by Jarrow and Protter [JP], a sound theoretical model is derived toshow that liquidity risk exists. READ MORE

  3. 2. The Impact of Liquidity Risk in Option Pricing Theory with a Supply Curve

    University essay from Handelshögskolan vid Umeå universitet

    Author : Martin Harr; [2010]
    Keywords : Liquidity risk;

    Abstract : Fisher Black and Myron Scholes (Black and Scholes, 1973) presented in 1973 a valuation model for options that was intuitive and user friendly. This revolutionized the option market and made pricing an option easy.   To get a sound understanding of liquidity risk we have to specify and describe liquidity (Matz and Neu, 2007, p.5). READ MORE