Modeling the bid/ask spread: Measuring the inventory-holding premium

Journal of Financial Economics

Volumn 72, Issue 1, 2004, Pages 97-141

  Bollen, Nicolas P B ^a   Smith, Tom ^b   Whaley, Robert E ^c  

^a VANDERBILT UNIVERSITY   (United States)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^c DUKE UNIVERSITY   (United States)

Author keywords

Bid ask spread; Expected insurance cost; Inventory holding premium; Semi variance; Stochastic time to expiration

Indexed keywords

EID: 1542402004     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(03)00169-7     Document Type: Article

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