Holowczak, Richard; Simaan, Yusif; Wu, Liuren - In: Review of Derivatives Research 9 (2006) 1, pp. 37-65
, we use a portfolio of options to seclude the value change of the portfolio from the impact of volatility and higher … moments. We apply this portfolio approach to the price discovery analysis in the U.S. stock and stock options markets. We find … before as an increasing proportion of options market makers adopt automated quoting algorithms. Nevertheless, the options …