Titlebook: Identifying Stock Market Bubbles; Modeling Illiquidity Azar Karimov Book 2017 Springer International Publishing AG 2017 conic finance.bid-a

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https://doi.org/10.1007/978-3-319-65009-8conic finance; bid-ask prices; Kou model; illiquidity premium; extended Black Scholes model; asset price

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Book 2017conic finance theory. Further, it shows how to develop the closed form formulas of the bid and ask prices of European options by using Black-Scholes and Kou models. By using the derived formulas and sliding windows technique, the book explains how to numerically calculate illiquidity premiums. The m

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Stock Prices Follow a Brownian Motion,and ask prices, the chapter moves on to the description of the financial data used to obtain the presented results. It continues to present a range of combined events that explains the increases in the illiquidity premium during the course of the option maturity.

FEAT

Stock Prices Follow a Double Exponential Jump-Diffusion Model,uction of Kou model. Afterwards, we calculate the distribution function of the stock price process that follows the Kou model. During the calculation steps, we use Residue Theorem from Complex Analysis and Inversion Formula from the Theory of Inverse Problems for densities.

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1431-1941 ioners can directy apply.Presents extended versions of the BThis book introduces readers to a new approach to identifying stock market bubbles by using the illiquidity premium, a parameter derived by employing conic finance theory. Further, it shows how to develop the closed form formulas of the bid

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Introduction,it pushed this inquiry to the spotlight. The modification and supplementation of the standard equilibrium and no-arbitrage models which accept the presence of infinity liquidity has turned into a need, as there is a clear necessity to develop new pricing and detection models and risk management systems.

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