Market maker inventory, bid-ask spreads, and the computation of option implied risk measures
Bjørn Eraker and Daniela Osterrieder
| Year of publication: |
2023
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|---|---|
| Authors: | Eraker, Bjørn ; Osterrieder, Daniela |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 5, p. 1820-1851
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| Subject: | asymmetric bid-ask spreads | biased option mid-quotes | market-maker inventory | option-implied risk measures | Geld-Brief-Spanne | Bid-ask spread | Messung | Measurement | Optionsgeschäft | Option trading | Risikomaß | Risk measure | Risiko | Risk | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014444758