Volatility uncertainty, time decay, and option bid-ask spreads in an incomplete market
Year of publication: |
2019
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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
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Subject: | option pricing | incomplete market | bid-ask spread | implied volatility | market microstructure | maturity effect | Unvollkommener Markt | Incomplete market | Geld-Brief-Spanne | Bid-ask spread | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative |
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