๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

The Impact of Liquidity, Securitization, and Banks on the Real Economy

โœ Scribed by ERIC S. ROSENGREN


Book ID
109147089
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
268 KB
Volume
42
Category
Article
ISSN
0022-2879

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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