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New evidence on the price and liquidity effects of the FTSE 100 index revisions

✍ Scribed by Khelifa Mazouz; Bharim Saadouni

Book ID: 116577310
Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 348 KB
Volume: 16
Category: Article
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2006.11.001

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## Abstract The Black–Scholes (BS; F. Black & M. Scholes, 1973) option pricing model, and modern parametric option pricing models in general, assume that a single unique price for the underlying instrument exists, and that it is the mid‐ (the average of the ask and the bid) price. In this article t