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Order Flow and Expected Option Returns

Muravyev, Dmitriy - 2015

I show that the inventory risk faced by market-makers has a first-order effect on option prices. I introduce a simple approach that decomposes the price impact of trades into inventory risk and asymmetric information components. While both components are large for option trades, the inventory...

Persistent link: https://www.econbiz.de/10013037472

Options Decimalization

Chin, Faith - 2019

measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out …

Persistent link: https://www.econbiz.de/10012902538

Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes

Echenim, Mnacho; Gobet, Emmanuel; Maurice, Anne-Claire - In: Quantitative finance 23 (2023) 9, pp. 1285-1304

Persistent link: https://www.econbiz.de/10014339922

On bid and ask pricing of European options via direct discretization of Choquet distorted expectations

Michielon, Matteo - In: Quantitative finance 24 (2024) 12, pp. 1729-1745

Persistent link: https://www.econbiz.de/10015196963

Asymmetric price distribution and bid-ask quotes in the stock options market

Chan, Kalok; Chung, Y. Peter - In: Asia-Pacific journal of financial studies 41 (2012) 1, pp. 87-102

Persistent link: https://www.econbiz.de/10009514733

Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads

Peña, Javier; Vera, Juan C.; Zuluaga, Luis F. - In: European journal of operational research : EJOR 222 (2012) 2, pp. 369-376

Persistent link: https://www.econbiz.de/10009570402

Options decimalization

Chin, Faith; Garriott, Corey - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 88-103

Persistent link: https://www.econbiz.de/10011931871

How fundamental is the one-period trinomial model to European option pricing bounds : a new methodological approach

Braouezec, Yann - In: Finance research letters 21 (2017), pp. 92-99

Persistent link: https://www.econbiz.de/10011807511

Estimation of bid-ask prices for options on LIBOR based instruments

Sonono, Masimba Energy; Mashele, Hopolang Phillip - In: Finance research letters 19 (2016), pp. 33-41

Persistent link: https://www.econbiz.de/10011657436

Volatility and expected option returns: a note

Chaudhury, Mohammed M. - In: Economics letters 152 (2017), pp. 1-4

Persistent link: https://www.econbiz.de/10011800758

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