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| Author: | Poincelot, D. |
| Title: | La mesure de la liquidité : une application au marché des options de Chicago (CBOE) |
| Journal: | Finance
1996 : VOL. 17:2, p. 105-129 |
| Index terms: | STOCK OPTIONS STOCK MARKETS LIQUIDITY USA |
| Language: | fre |
| Abstract: | This study aims to measure liquidity of the Chicago Board Options Exchange for January and February 1988. This study is completed by an investigation of spread's factors. We find three factors : option's price, trading activity and the nature of options ("in" or "out the money"). |
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