Conic quantization: stochastic volatility and market implied liquidity

Lucio Fiorin and Wim Schoutens

Quantitative Finance, 2020, vol. 20, issue 4, 531-542

Abstract: Market implied liquidity links the pricing of European options under stochastic volatility with the Conic Finance theory of two prices

Date: 2020
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DOI: 10.1080/14697688.2019.1687928

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