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Asymmetric option price distribution and bid–ask quotes: consequences for implied volatility smiles
16 references·0 citing·33 second hop
Asymmetric option price distribution and bid–ask quotes: consequences for implied volatility smiles (2003)Asymmetric option price distribution and …Theory of rational option pricing (2005)Theory of rational option pri…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information (1994)Strategic Trading with Asymme…Bid-ask spreads in the interbank foreign exchange markets (1994)Bid-ask spreads in the interb…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…The Use of the Control Variate Technique in Option Pricing (1988)The Use of the Control Variat…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Dealership market (1980)Dealership marketOption pricing: A simplified approach (1979)Option pricing: A simplified …THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS (1978)THE PRICING OF SECURITY DEALE…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Measuring the Information Content of Stock Trades (1991)In Search of Attention (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Asset pricing and the bid-ask spread (1986)Market Liquidity and Funding Liquidity (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Market microstructure (1976)The effect of large block transactions on security prices: A cross-sectional analysis (1987)Trades, quotes, inventories, and information (1988)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Illiquidity and stock returns: cross-section and time-series effects (2002)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Empirical Performance of Alternative Option Pricing Models (1997)Post-'87 crash fears in the S&P 500 futures option market (2000)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1980Dealership market965 cited
  • 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS630 cited
  • 1994Bid-ask spreads in the interbank foreign exchange markets211 cited
  • 1988The Use of the Control Variate Technique in Option Pricing204 cited
  • 1994Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information

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