This paper examines the impact of option listing in the NASDAQ equity market on the bid-ask spread of the underlying … stock. We find that both the market adjusted percentage and dollar spreads decrease with option listing, which is consistent …

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency … data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes … and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps …

asset pricing, illiquidity and risk premia correlate negatively with proxies for the risk-bearing capacity of CDS market …

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity … term and skew structures of bid-ask spreads typically observed in option markets. We show how to implement such a …

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency … data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes … and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps …

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U …

An analytic study of liquidity limitations point out to option prices increase/decrease via volatility enhancements …

Option markets have significant variation in liquidity across different option series. Illiquidity reduces the …