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| Models de Risc de Liquiditat (Amihud, Roll, LOT)× | Model de salt-difusió de Merton× | |
|---|---|---|
| Camp | Finances | Finances |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2002 | 1976 |
| Autor original≠ | Amihud (2002); Roll (1984); Lesmond, Ogden & Trzcinka (LOT) | Robert C. Merton |
| Tipus≠ | Liquidity / illiquidity measurement models | Continuous-time asset price model (diffusion plus Poisson jumps) |
| Font seminal≠ | Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. DOI ↗ | Merton, R. C. (1976). Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3(1–2), 125–144. DOI ↗ |
| Àlies≠ | Amihud illiquidity, Roll spread estimator, LOT spread measure, Lesmond-Ogden-Trzcinka measure | Merton jump-diffusion, jump-diffusion process, Atlama Difüzyon Modeli (Merton Jump-Diffusion) |
| Relacionats≠ | 5 | 4 |
| Resum≠ | Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (Amihud, 2002), the Roll serial-covariance spread estimator (Roll, 1984), and the LOT (Lesmond-Ogden-Trzcinka) realised-spread measure. | The Merton Jump-Diffusion model, introduced by Robert C. Merton in 1976, extends Geometric Brownian Motion by adding sudden price jumps generated by a Poisson process. It captures the volatility smile and the fat-tailed return behaviour that standard Black-Scholes cannot explain, and is widely used in option pricing and risk management. |
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