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Pricing options in an extended black-scholes economy with illiquidity: theory and empirical evidence

Cetin, Umut, Jarrow, P., Protter, M. and Warachka, M. (2006) Pricing options in an extended black-scholes economy with illiquidity: theory and empirical evidence. Review of Financial Studies, 19 (2). pp. 493-529. ISSN 1465-7368

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Item Type: Article
Official URL: http://rfs.oxfordjournals.org/
Additional Information: Copyright © 2007 Society for Financial Studies
Library of Congress subject classification: H Social Sciences > HG Finance
Q Science > QA Mathematics
H Social Sciences > HA Statistics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 02 Nov 2007
URL: http://eprints.lse.ac.uk/2839/

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