Gendron, Michel; Khoury, Nabil; Yourougou, Pierre - In: Journal of Financial Research 17 (1994) 2, pp. 147-59
In this paper we take a new approach to the study of the interrelation between stock and option markets by extending Stoll's (1989) model of cost components of the bid-ask spread to include an error component in prices. Building upon Stoll's estimates of the probability of price reversals, we...
