Identifying Stock Market Bubbles
Azar Karimov
Broschiertes Buch

Identifying Stock Market Bubbles

Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities

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This 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 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 methods introduced here will enable readers interested in risk management, portfolio optimization and hedging in real-time to identify when asset price...