The relationship between index option moneyness and relative liquidity

Journal of Futures Markets

Volumn 20, Issue 10, 2000, Pages 971-987

  Etling, Cheri ^b   Miller Jr , Thomas W ^a  

^a UNIVERSITY OF MISSOURI   (United States)

^b UNIVERSITY OF TAMPA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034368154     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/1096-9934(200011)20:10<971::AID-FUT5>3.0.CO;2-8     Document Type: Article

References (13)

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11. Morrison, D. F. (1976). Multivariate statistical methods. New York: McGraw-Hill.
12. Stoll, H. R. (1969). The relationship between put and call option prices. Journal of Finance, 28, 801-824.
13. Vijh, A. M. (1990). Liquidity of the CBOE equity options. Journal of Finance, 45, 1157-1179.