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Deep limit order book events dynamics

Bilodeau, Yann - 2020

Persistent link: https://www.econbiz.de/10012384636

Financial markets performance : theory and empirical evidence

Marquardt, Dirk Steffen - 1998

Persistent link: https://www.econbiz.de/10000671527

Marchés dérivés et trading de volatilité

Capelle-Blancard, Gunther - In: Revue économique : revue bimestrielle 54 (2003) 3, pp. 663-673

Persistent link: https://www.econbiz.de/10001765922

Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market

Hsieh, PeiLin Billy - 2017

This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate as the option's maturity date approaches. To explain this stylized fact, this paper provides a market microstructure model for the bid-ask spread in options...

Persistent link: https://www.econbiz.de/10012974407

Bid-ask spread and liquidity searching behaviour of informed investors in option markets

Bernales, Alejandro; Cañón, Carlos Iván; Verousis, Thanos - In: Finance research letters 25 (2018), pp. 96-102

Persistent link: https://www.econbiz.de/10012003477

Liquidity effects and FFA returns in the international shipping derivatives market

Alizadeh-Masoodian, Amir H.; Kappou, Konstantina; … - In: Transportation research / E : an international journal 76 (2015), pp. 58-75

Persistent link: https://www.econbiz.de/10010518610

Discrete-time option pricing with stochastic liquidity

Leippold, Markus; Schärer, Steven - 2016

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity … liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the … stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options …

Persistent link: https://www.econbiz.de/10011515968

Discrete-time option pricing with stochastic liquidity

Leippold, Markus; Schärer, Steven - In: Journal of banking & finance 75 (2017), pp. 1-16

Persistent link: https://www.econbiz.de/10011742148

Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market

Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003760003

Optimal liquidation in a limit order book for a risk-averse investor

Løkka, Arne - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 696-727

Persistent link: https://www.econbiz.de/10011308171