Illiquidity is well-known to be a significant determinant of stock and bond returns. We report on illiquidity premia in … the equity options market. An increase in option illiquidity decreases the current option price and implies higher … approaches and when including various control variables. The illiquidity of the underlying stock affects the option return …

Illiquidity is well-known to be a signi?cant determinant of stock and bond returns. We report on illiquidity premia in … equity option markets. An increase in option illiquidity decreases the current option price and predicts higher expected … and when including various control variables. The illiquidity of the underlying stock affects the option return negatively …

, market illiquidity, and impacts on dividend and interest rates are considered. Part of the BAD tax revenue may be fictitious …

Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable … embrace blindly the Gaussian copula hypothesis, especially when the correlation coefficient between the pair of asset is too …