Smiles, Bid-ask Spreads and Option Pricing
✍ Scribed by Ignacio Peña; Gonzalo Rubio; Gregorio Serna
- Book ID
- 108559657
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 527 KB
- Volume
- 7
- Category
- Article
- ISSN
- 1354-7798
No coin nor oath required. For personal study only.
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## Abstract This study analyzes two types of information flows in financial markets. The first type represents return information, where informed investors know whether the stock price will increase or decrease. The second type is labeled volatility information, where the direction of the stock pri
2See Kamara (1988) for a discussion why price disparities between substitute goods traded in different 'For example, see Amihud and Mendelson (1987), Haller andStoll (1989), and Hasbrouck and Ho (1987). markets are due to market microstructure differences. 'Regarding the second source of bias, Roll