The impact of liquidity on option prices
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Robin K. Chou; San-Lin Chung; Yu-Jen Hsiao; Yaw-Huei Wang
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Article
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2011
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John Wiley and Sons
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English
β 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