51 citations
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q-fin.ST2025★ 1 cited
A Stochastic Model for Illiquid Stock Prices and its Conclusion about Correlation Measurement
Erina Nanyonga, Juma Kasozi, Fred Mayambala +2
This study explores the behavioral dynamics of illiquid stock prices in a listed stock market. Illiquidity, characterized by wide bid and ask spreads affects price formation by dec…
q-fin.MF2025
Hedging Options on Asset Portfolios against Just One Underlying Asset in the Presence of Transaction Costs
Erina Nanyonga, Matt Davison
Options are contingent claims regarding the value of underlying assets. The Black-Scholes formula provides a road map for pricing these options in a risk-neutral setting, justified…