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Stock returns on option expiration dates: Price impact of liquidity trading

✍ Scribed by Chiang, Chin-Han


Book ID
122241144
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
852 KB
Volume
28
Category
Article
ISSN
0927-5398

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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