Volatility uncertainty, time decay, and option bid-ask spreads in an incomplete market
PeiLin Hsieh, Robert Jarrow
| Year of publication: |
2019
|
|---|---|
| Authors: | Hsieh, PeiLin ; Jarrow, Robert A. |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 65.2019, 4, p. 1833-1854
|
| Subject: | option pricing | incomplete market | bid-ask spread | implied volatility | market microstructure | maturity effect | Geld-Brief-Spanne | Bid-ask spread | Volatilität | Volatility | Unvollkommener Markt | Incomplete market | Optionsgeschäft | Option trading | Marktmikrostruktur | Market microstructure | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2017.2867 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012022670