SSRNTrading, Microstructure & Execution
Pricing Fixed Income with Liquidity Model
The 'liquid Merton' model improves bond pricing accuracy and offers a new solution for the liquidity premium puzzle by incorporating informed trading.
Featured in No. 90 on 26 Mar 2025 · 6 days after release
- Released
- 20 Mar 2025
- First featured
- No. 90 · 26 Mar 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 5187354
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).