This study develops and empirically tests a simple market microstructure model to capture the main determinants of option bid-ask spread. The model is based on option market making costs (initial hedging, rebalancing, and order processing costs), and incorporates a reservation bid-ask spread that op
The market spread, limit orders, and options
β Scribed by Henk Berkman
- Publisher
- Springer
- Year
- 1993
- Tongue
- English
- Weight
- 1018 KB
- Volume
- 6
- Category
- Article
- ISSN
- 0920-8550
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