Results 21 to 30 of about 1,202,647 (294)
Estimation of Ask and Bid Prices for Geometric Asian Options
Discrete Dynamics in Nature and Society, 2019 Traditional derivative pricing theories usually focus on the risk-neutral price or the equilibrium price. However, in highly competitive financial markets, we observed two prices which are called bid and ask prices; then the unique risk-neutral price ...
Tao Chen, Kaili Xiang, Xuemei Luo
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FAKTOR-FAKTOR YANG MEMPENGARUHI BID-ASK SPREAD PADA PERUSAHAAN MANUFAKTUR
Jurnal Akuntansi Indonesia, 2015 The amount of information asymmetry faced by dealers will be reflected in the spread. Dealers will try to maintain the bid-ask spreads are optimal, so the need to determine the factors that affect the bid- ask spread .
Adistie Nucke Arista Dewi, Indri Kartika
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Jurnal Manajemen Dan Kewirausahaan, 2023 Go-public companies can use various techniques and strategies to collect capital for their companies. One of them is by carrying out corporate actions. Stock Split is a company strategy that increases the liquidity of a stock by breaking it into several ...
Hery Haryanto, Lina Lina
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Discrete Dynamics in Nature and Society, 2021 Conic finance is a new and exciting development in quantitative finance, which is widely applied to several topics in finance. The theory of conic finance extends the law of one price to the law of two prices, which yields closed forms for bid-ask prices
Xiankang Luo, Tao Chen
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A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING
International Journal of Theoretical and Applied Finance, 2022 This paper develops a model for the bid and ask prices of a European-type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend on a Markov chain. A Girsanov theorem for Markov chains is implemented for the change of coefficients, including
ENGEL JOHN C. DELA VEGA +1 more
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Cogent Economics & Finance, 2022 The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables in determining whether the foreign exchange market’s price formation process in response to macroeconomic announcements is ...
Muhammad Ishfaq +4 more
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Clearing price distributions in call auctions [PDF]
, 2019 We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically.
de Vilder, R., Derksen, M., Kleijn, B.
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Bid-Ask Price Competition with Asymmetric Information between Market-Makers [PDF]
Review of Economic Studies, 2006 We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Bayesian game is proposed in which there is price competition between two market makers with two different information partitions.
Calcagno Riccardo, Lovo Stefano
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Jurnal Akuntansi: Kajian Ilmiah Akuntansi, 2016 This research aim to analysis whether/what there are influence from bid- ask spread, market value, variance return, dividend yield and earning per share to holding period.
Ade Nahdiatul
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