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Bounds for the utility-indifference prices of non-traded assets in incomplete markets

โœ Scribed by Hobson, D.G.


Publisher
Springer
Year
2005
Weight
161 KB
Volume
28
Category
Article
ISSN
1127-1035

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Handling missing prices in a thinly trad
โœ Juha-Pekka Kallunki ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 856 KB

This paper employs a simulation approach to provide new evidence on how thin trading affects the specification of the event study methods in a thinly traded environment. We examine the properties of the returns computed with alternative procedures for handling missing prices as well as their impact