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Tagged with liquidity option-pricing
3 questions
2
votes
1
answer
205
views
Implied volatility of hypothetical options market
I am attempting to create a volatility surface for a US electricity market that has a liquid futures market but nearly non-existent options market (<5 trades per month across all strikes and ...
- 555
4
votes
1
answer
483
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Using option pricing methods to model real asset liquidity
Liquidity risk (in the sense of asset exit risk) is warranted on investments that may not be easily divested at the going market or fair-value price. I am looking at a portfolio of private assets ...
- 1,074
8
votes
2
answers
516
views
illiquid american options pricing
What are the standard methods to price american call/put options on illiquid underlyings?
- 2,013