The Price of Options Illiquidity
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Reference14 articles.
1. Liquidity, maturity and the yields on U.S. government securities;Amihud;Journal of Finance,1991
2. Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange;Amihud;Journal of Financial Economics,1997
3. Option replication in discrete time with transaction costs;Boyle;Journal of Finance,1992
4. Hedging volatility in foreign currencies;Brenner;Journal of Derivatives,1993
5. Market structure and liquidity: A transactions data study of exchange listings;Christie;Journal of Financial Intermediation,1994
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