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

DOI10.1007/S11147-006-9004-0MaRDI QIDQ375529zbMATH OpenOpenAlexFDO

Authors Richard Holowczak, Yusif E. Simaan, Liuren Wu

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

zbMATH Keywords

optionsstocksprice discoveryautomated quotingoptions tradeput-call parity

Mathematics Subject Classification ID

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

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Cites work

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