Modeling the impacts of market activity on bid-ask spreads in the option market

Modeling the impacts of market activity on bid-ask spreads in the option market

Bibliographic Details
Main Author: Cho, Young-Hye
Other Authors: Engle, Robert F.
Format: Book
Language:English
Published: Cambridge National Bureau of Economic Research 1999.
Series:NBER working paper series no.7331
Subjects:
Stock options > Prices > Econometric models. > United States.
Hedging (Finance) > Econometric models. > United States.
Stock exchanges > Econometric models. > United States.