In this paper we derive asymptotic expansions for Australian options in the case of low volatility using the method of matched asymptotics. The expansion is performed on a volatility scaled parameter. We provides a solution for up to third order. In case that there is no drift in the underlying,...

This study investigates the impact of reducing the contract size threshold for offmarket trading on transaction costs in an options market. This study provides evidence that market makers compete more aggressively for small-to-medium trades and quote mid-size depths more often after the regime...

This study measures the magnitude of execution costs of outright options and options which constitute strategies (“strategy‐linked options”), and examines if any differences in execution costs between these two groups is attributable to differences in market making costs on the Australian...

The contemporaneous call options volume have a significant strong positive feedback effect on the implied volatility, but the contemporaneous feedback effect of volume on the TARCH volatility is insignificant. The contemporaneous feedback effects from the implied volatility and the TARCH...