Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
收藏NBER1999-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w7331
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资源简介：
In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P 100 index options using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which option market percentage spreads will be inversely related to the
提供机构：
美国国家经济研究局
创建时间：
1999-09-01
