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Price impacts of options volume

โœ Scribed by Christian Schlag; Hans Stoll


Book ID
116482250
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
167 KB
Volume
8
Category
Article
ISSN
1386-4181

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๐Ÿ“œ SIMILAR VOLUMES


The impact of liquidity on option prices
โœ Robin K. Chou; San-Lin Chung; Yu-Jen Hsiao; Yaw-Huei Wang ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 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