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Trading Cost Dynamics of Market Making in Equity Options · Study

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PreprintTrading Cost Dynamics of Market Making in Equity Options

Ruslan Y. Goyenko2014

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Preprintgreen2014

Trading Cost Dynamics of Market Making in Equity Options

Ruslan Y. Goyenko · Chayawat Ornthanalai · Shengzhe Tang

19 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

1973The Pricing of Options and Corporate Liabilities 2002Illiquidity and stock returns: cross-section and time-series effects 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 1991Inferring Trade Direction from Intraday Data 2005Asset pricing with liquidity risk 1993The journal of financial economics

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

2012Illiquidity Premia in the Equity Options Marketpreprint · 48 shared references 2017Illiquidity Premia in the Equity Options Marketarticle · 45 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 25 shared references 2015Options market makers׳ hedging and informed trading: Theory and evidencearticle · 24 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 22 shared references 2012Option trading: Information or differences of opinion?article · 20 shared references

Details

Year2014

Typepreprint

Published2014-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations19

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2492506

openalex_workW84114087

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