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Hedging costs, liquidity, and inventory management : the evidence from option market makers
Wu, Wei-shao; Liu, Yu-jane; Lee, Yi-tsung; Fok, Robert C. W. - In: Journal of financial markets 18 (2014), pp. 25-48
Persistent link: https://www.econbiz.de/10010442502
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Crypto quanto and inverse options
Alexander, Carol; Chen, Ding; Imeraj, Arben - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1005-1043
Persistent link: https://www.econbiz.de/10014370619
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High-frequency trading in the stock market and the costs of option market making
Nimalendran, Mahendrarajah; Rzayev, Khaladdin; Sagade, … - 2021
Persistent link: https://www.econbiz.de/10012818340
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High-frequency trading in the stock market and the costs of option market making
Nimalendran, Mahendrarajah; Rzayev, Khaladdin; Sagade, … - 2021
Persistent link: https://www.econbiz.de/10012800831
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Utility-based pricing, timing and hedging of an American call option under an incomplete market with partial information
Song, Dandan; Yang, Zhaojun - In: Computational economics 44 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010396234
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Market power and feedback effects from hedging derivatives
DeMatos, João Amaro; DoRosário, João Sobral - In: International journal of theoretical and applied finance 5 (2002) 8, pp. 845-875
Persistent link: https://www.econbiz.de/10001763195
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Modeling the impacts of market activity on bid-ask spreads in the option market
Cho, Young-hye; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001415115
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Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
Cho, Young-Hye - 1999
using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which … volume as a measure of liquidity and supports the derivative hedge theory. Option market spreads are positively related to …
Persistent link: https://www.econbiz.de/10012471453
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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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An analysis of the covered warrants listed on the Athens Exchange
Siriopoulos, Costas; Fassas, Athanasios P. - In: Journal of risk & control 1 (2014) 1, pp. 13-30
Persistent link: https://www.econbiz.de/10010509213