Option pricing with an illiquid underlying asset market

Hong Liu and Jiongmin Yong

Journal of Economic Dynamics and Control, 2005, vol. 29, issue 12, pages 2125-2156

Date: 2005
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Journal of Economic Dynamics and Control is edited by J. Bullard, C. Chiarella, C. H. Hommes, P. N. Ireland, T. Cogley and M. Juillard

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