George, Thomas J.; Longstaff, Francis A. - In: Journal of Financial and Quantitative Analysis 28 (1993) 03, pp. 381-397
This paper examines the cross-sectional distribution of bid-ask spreads in the S&P 100 index options market. Cross-sectional differences in bid-ask spreads are found to be directly related to differences in market-making costs and trading activity across options. We also examine the relation of...
