Modeling the impacts of market activity on bid-ask spreads in the option market
By: Young-Hye Cho, Robert F. Engle
Contributors: Engle, R. F.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 7331; Working paper series (National Bureau of Economic Research) -- working paper no. 7331.
Publisher: National Bureau of Economic Research
Published: 1999
Place of publication: Cambridge, MA
Language: eng
Number of pages: 34
Subjects: Stock options -- Prices -- United States -- Econometric models.; Hedging (Finance) -- United States -- Econometric models.; Stock exchanges -- United States -- Econometric models.
Other titles: Impacts of market activity on bid-ask spreads in the option market
Notes: "September 1999."

JEL no. G14.

Includes bibliographical references (p. 31-34).

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Electronic version available via the Internet at the NBER World Wide Web site.