Price Discovery in Near- and Away-from-the-Money Option Markets

Financial Review ◽

10.1111/j.1540-6288.2012.00352.x ◽

2013 ◽

Vol 48 (1) ◽

pp. 25-48 ◽

Author(s):

Thomas Rourke

Keyword(s):

Price Discovery ◽

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Price Discovery Across Equity and Option Markets

SSRN Electronic Journal ◽

10.2139/ssrn.2325714 ◽

2013 ◽

Author(s):

Hayden Kane

Keyword(s):

Price Discovery ◽

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Trading costs and the relative rates of price discovery in stock, futures, and option markets

Journal of Futures Markets ◽

10.1002/(sici)1096-9934(199606)16:4<353::aid-fut1>3.0.co;2-h ◽

1996 ◽

Vol 16 (4) ◽

pp. 353-387 ◽

Author(s):

Jeff Fleming ◽

Barbara Ostdiek ◽

Robert E. Whaley

Keyword(s):

Price Discovery ◽

Trading Costs ◽

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Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

SSRN Electronic Journal ◽

10.2139/ssrn.1914114 ◽

2011 ◽

Author(s):

Michal Czerwonko ◽

Nabil Khoury ◽

Stylianos Perrakis ◽

Marko Savor

Keyword(s):

Empirical Evidence ◽

Price Discovery ◽

Microstructure Noise ◽

Tick Size ◽

Option Markets ◽

Inversion Effects

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Price discovery in the price disagreement between equity and option markets: Evidence from SSE ETF50 options of China

International Review of Economics & Finance ◽

10.1016/j.iref.2019.04.005 ◽

2019 ◽

Vol 64 ◽

pp. 557-571 ◽

Author(s):

Dehong Liu ◽

Qi Qiu ◽

J. Christopher Hughen ◽

Peter Lung

Keyword(s):

Price Discovery ◽

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How Option Markets Affect Price Discovery on the Spot Markets: A Survey of the Empirical Literature and Synthesis

International Journal of Business and Management ◽

10.5539/ijbm.v4n8p155 ◽

2009 ◽

Vol 4 (8) ◽

Author(s):

Afef ANSI ◽

Olfa BEN OUDA

Keyword(s):

Price Discovery ◽

Empirical Literature ◽

Spot Markets ◽

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Tick Size Reduction and Price Discovery in Option Markets: An Empirical Investigation

SSRN Electronic Journal ◽

10.2139/ssrn.1773096 ◽

2011 ◽

Author(s):

Michal Czerwonko ◽

Nabil Khoury ◽

Stylianos Perrakis ◽

Marko Savor

Keyword(s):

Empirical Investigation ◽

Price Discovery ◽

Size Reduction ◽

Tick Size ◽

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Price Discovery in Stock and Option Markets: A Portfolio Approach

SSRN Electronic Journal ◽

10.2139/ssrn.1404988 ◽

2009 ◽

Author(s):

Jung Hwang ◽

Raul Susmel

Keyword(s):

Price Discovery ◽

Option Markets ◽

Portfolio Approach

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Tick Size, Microstructure Noise, Informed Trading and Volatility Inversion Effects on Price Discovery in Option Markets: Theory and Empirical Evidence

SSRN Electronic Journal ◽

10.2139/ssrn.2025035 ◽

2012 ◽

Author(s):

Michal Czerwonko ◽

Nabil Khoury ◽

Stylianos Perrakis ◽

Marko Savor

Keyword(s):

Empirical Evidence ◽

Price Discovery ◽

Informed Trading ◽

Microstructure Noise ◽

Tick Size ◽

Option Markets ◽

Inversion Effects

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Kospi 200 (Increase of Option Multiplier and Price Discovery in Kospi 200 Spot and Option Markets)

SSRN Electronic Journal ◽

10.2139/ssrn.3016278 ◽

2014 ◽

Author(s):

Woo-Baik Lee ◽

Cheoljun Eom ◽

Jongwon Park

Keyword(s):

Price Discovery ◽

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International Real Estate Market Integration and Price Discovery: Evidence from Nonlinear Cointegration Analysis

10.15396/eres2005_232 ◽

2005 ◽

Keyword(s):

Real Estate ◽

Market Integration ◽

Price Discovery ◽

Real Estate Market ◽

Cointegration Analysis

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