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Competition in securities markets: the impact on liquidity

✍ Scribed by Michael Chlistalla; Marco Lutat


Book ID
107341690
Publisher
Springer US
Year
2011
Tongue
English
Weight
615 KB
Volume
25
Category
Article
ISSN
1555-4961

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The impact of liquidity on option prices
✍ Robin K. Chou; San-Lin Chung; Yu-Jen Hsiao; Yaw-Huei Wang πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 148 KB

This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei ( 2009), a clear link remains between option p