Price discovery in the U.S. stock and stock options markets: a portfolio approach

DOI10.1007/S11147-006-9004-0zbMATH Open1274.91383OpenAlexW2073191379MaRDI QIDQ375529FDOQ375529

Liuren Wu, Richard Holowczak, Yusif E. Simaan

Publication date: 31 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-006-9004-0

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zbMATH Keywords

optionsstocksprice discoveryautomated quotingoptions tradeput-call parity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• The pricing of options and corporate liabilities
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Statistical analysis of cointegration vectors
• Modeling volatility persistence of speculative returns: a new approach
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Post-'87 crash fears in the S\&P 500 futures option market
• Towards a theory of volatility trading

Cited In (2)

• CHANCE DISCOVERY IN STOCK INDEX OPTION AND FUTURES ARBITRAGE
• Variance disparity and market frictions

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