Order Flow and Expected Option Returns
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jofi.12380/fullpdf
Reference39 articles.
1. Stealth trading in options markets;Anand;Journal of Financial and Quantitative Analysis,2007
2. On the existence of linear equilibria in models of market making;Bagnoli;Mathematical Finance,2001
3. Large option trades, market makers, and limit orders;Berkman;Review of Financial Studies,1996
4. Does net buying pressure affect the shape of implied volatility functions?;Bollen;Journal of Finance,2004
5. Option replication in discrete time with transaction costs;Boyle;Journal of Finance,1992
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