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Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market

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References

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1990Stock Market Structure and Volatility544 cited

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1991

A Theory of Trading in Stock Index Futures

542 cited

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2000Bayesian analysis of contingent claim model error69 cited
2007Is there information in the volatility skew?67 cited
2010Liquidity effect in OTC options markets: Premium or discount?65 cited
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2017Funding liquidity, market liquidity and TED spread: A two-regime model53 cited
2016Discrete-time option pricing with stochastic liquidity51 cited
1994Trading Volume and Transaction Costs in Specialist Markets51 cited