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Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
Huang, Jing-zhi; Wu, Liuren - Econometric Society - 2004
index options, one needs to incorporate an infinite activity jump component in the underlying asset return process, and also …
Persistent link: https://www.econbiz.de/10005699646
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Who makes markets? The Role of Dealers and Liquidity Provision
Wang, Albert; Chae, Joon - Econometric Society - 2004
We explore the role of dealers to determine whether they are liquidity-providing market makers or liquidity-taking information traders. Standard models of market making, such as Kyle (1985) and Grossman and Miller (1988), imply a negative contemporaneous correlation between market maker order...
Persistent link: https://www.econbiz.de/10005063725
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Who makes market
Chae, Joon; Wang, Albert - Econometric Society - 2004
We explore the role of dealers to determine whether they are liquidity-providing market makers or liquidity-taking information traders. Standard models of market making, such as Kyle (1985) and Grossman and Miller (1988), imply a negative contemporaneous correlation between market maker order...
Persistent link: https://www.econbiz.de/10005063764