Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*

DOI10.1093/ROF/RFM021zbMath1154.91439OpenAlexW2102665569MaRDI QIDQ5438502

Fabrice Riva, Laurent Deville

Publication date: 23 January 2008

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00162221/file/survivor_RoF-2revised.pdf

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Option pricing under short-lived arbitrage: theory and tests ⋮ Liquidity risks on power exchanges: a generalized Nash equilibrium model ⋮ Variance disparity and market frictions

This page was built for publication: Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*