The Value of Liquidity and Option Timing from a Simple Game

  • 30 Sep 2009
  • By Ranjan Bhaduri

This quantitatively technical paper extends the work from the paper “The Value of Liquidity”. The Balls in the Hat game is examined in the asymptotic case. It helps to further establish that, from a behavioral finance perspective, humans are wired in such a way that we tend to underestimate the value of liquidity

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