Review of Derivatives Research · 2022 · 13 citations · 27 references
BusinessEconomicsFinanceAsset PricingFinancial EconomicsFinancial MarketsFinancial RiskLiquidityLiquidity RiskMarket LiquidityMarket RiskOption PricingBasket Option PricingBasket OptionsLiquidity Risk PricingLiquidity SpreadsSpread Option Pricing
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Illiquidity and stock returns: cross-section and time-series effects
Yakov Amihud · Journal of Financial Markets · 2002 · 10.3K citations · Full text
Liquidity Risk and Expected Stock Returns
Ľuboš Pástor, Robert F. Stambaugh · Journal of Political Economy · 2003 · 5.6K citations
Business, Finance, Asset Pricing +16
A Closed-Form GARCH Option Valuation Model
Steven L. Heston, Saikat Nandi · Review of Financial Studies · 2000 · 981 citations