Reference: | [1] Amihud, Y., 2002, Illiquidity and stock returns: cross-section and time-series effects, The Journal of Financial Markets 5, 31–56. [2] Bakstein, D., and S. Howison, 2003, Using Options on Greeks as Liquidity Protection, Mathematical Finance Group, University of Oxford, Working paper. [3] Brunetti, C., and A. Caldarera, 2006, Asset Prices and Asset Correlations in Illiquid Markets, Working Paper. [4] Cetin, H., M. Soner, N. Touzi, 2010, Option hedging for small investors under liquidity costs, Finance and Stochastics 14, 317–341. [5] Cetin, U., R. A. Jarrow, P. Protter, 2004, Liquidity risk and arbitrage pricing theory, Finance and Stochastics 8, 311–341. [6] Chou, R. K., S. L. Chung, Y. J. Hsiao, and Y. H. Wang, 2011, The Impact of Liquidity Risk on Option Prices, Journal of Futures Markets 31, 1116–1141. [7] Cox, J. C., J. E. Ingersoll, and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica 53, 385—407. [8] Duffie, D., J. Pan, and K. Singleton, 2000, Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica 68, 1343–1376. [9] Eraker, B., 2004, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, The Journal of Finance 59, 1367–1404. [10] Eraker, B., M. Johannes, and N. Polson, 2003, The Impact of Jumps in Volatility and Returns, The Journal of Finance 58, 1269–1300. [11] Feng, S. P., M. W. Hung, and Y. H. Wang, 2014, Option pricing with stochastic liquidity risk: Theory and evidence, Journal of Financial Markets 18, 77–95. [12] Franzoni, F., E. Nowak, and L. Phalippou, 2012, Private Equity Performance and Liquidity Risk, The Journal of Finance 67, 2341–2373. [13] Hameed, A., W. Kang, and S. Viswanathan, 2010, Stock market declines and liquidity, The Journal of Finance 65, 257–293. [14] Heston, S. L., 1993, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies 6, 327-343. [15] Hu, G. X., J. Pan, and J. Wang., 2013, Noise as Information for Illiquidity, The Journal of Finance 68, 2341–2382. [16] Kou, S. G., 2008, Jump-Diffusion Models for Asset Pricing in Financial Engineering, Handbooks in Operations Research and Management Science 15, 73–116. [17] Ku, H., K. Lee, and H. Zhu, 2012, Discrete time hedging with liquidity risk, Finance Research Letters 9, 135–143. [18] Leland, H., 1985, Option pricing and replication with transactions costs, The Journal of Finance 40, 1283—1301. [19] Mello, A. S., and J. E. Parsons, 2000, Hedging and liquidity, Review of Financial Studies 13, 127– 153. [20] Merton, R. C., 1976, Option Pricing When Underlying Stock Returns Are Discontinuous, Journal of Financial Economics 3, 125-144. [21] Pastor, L., and R. F. Stambaugh, 2003, Liquidity Risk and Expected Stock Returns, Journal of Political Economy 111, 642–85. [22] Rouah, F. D., 2013, The Heston Model and Its Extensions in Matlab and C#, Wiley & Sons, Inc., Hoboken, New Jersey. [23] Zhu, J., 209, Applications of Fourier Transform to Smile Modeling: Theory and Implementation, Springer, New York. |