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Is There Price Discovery in Equity Options? · Study

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PreprintIs There Price Discovery in Equity Options?

Dmitriy Muravyev2010

OA

Preprintgreen2010

Is There Price Discovery in Equity Options?

Dmitriy Muravyev · Neil D. Pearson · John Paul Broussard

24 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1991Measuring the Information Content of Stock Trades 1995One Security, Many Markets: Determining the Contributions to Price Discovery 2006The Information in Option Volume for Future Stock Prices 2004Informed Trading in Stock and Option Markets 2010Deviations from Put-Call Parity and Stock Return Predictability 2002Trading and Exchanges: Market Microstructure for Practitioners 2003Intraday Price Formation in U.S. Equity Index Markets 1990Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2012Is there price discovery in equity options?article · 17 shared references 2013The Joint Cross Section of Stocks and Optionsreport · 12 shared references 2013Volatility spreads and earnings announcement returnsarticle · 12 shared references 2007Price discovery in the U.S. stock and stock options markets: A portfolio approacharticle · 12 shared references 2008A closer look at co-movements among stock returnsarticle · 12 shared references 2019Noise traders, mispricing, and price adjustments in derivatives marketsarticle · 11 shared references

Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1683587

openalex_workW2022487150

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