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Efficiency and options on the market index

✍ Scribed by Gabrielle Demange; Guy Laroque

Publisher
Springer
Year
1999
Tongue
English
Weight
110 KB
Volume
14
Category
Article
ISSN
0938-2259

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✍ Kyong Shik Eom; Sang Buhm Hahn πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 288 KB

## Abstract We analyze traders' strategic behavior in an index options market, examining the relationships among expected duration, frequency of trades, trade size, and time to maturity using a modified ACD model. Using intraday data at‐the‐money put and call options, we obtain the following result