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

DOI10.1007/s11147-006-9004-0zbMath1274.91383OpenAlexW2073191379MaRDI QIDQ375529

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

zbMATH Keywords

optionsstocksput-call parityprice discoveryautomated quotingoptions trade

Mathematics Subject Classification ID

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

Related Items (1)

Variance disparity and market frictions

Cites Work

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

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