Gregoriou, Andros; Healy, Jerome; Ioannidis, Christos - In: Journal of Futures Markets 27 (2007) 5, pp. 471-494
The Black–Scholes (BS; F. Black & M. Scholes, 1973) option pricing model, and modern parametric option pricing models in general, assume that a single unique price for the underlying instrument exists, and that it is the mid‐ (the average of the ask and the bid) price. In this article the...