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S&P 100 index options market
1
asymmetric information
1
bid-ask spreads
1
derivative hedge
1
liquidity
1
market microstructure
1
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Free
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Undetermined
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Engle, Robert F
1
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Department of Economics, University of California-San Diego (UCSD)
1
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University of California at San Diego, Economics Working Paper Series
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Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
Engle, Robert F
-
Department of Economics, University of California-San …
-
1999
using transaction data. We propose a new market microstructure theory called a
derivative
hedge
theory, in which option …
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