search query: @indexterm call options / total: 24
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| Author: | Kehr, C.-H. Krahnen, J. P. |
| Title: | The anatomy of a call market |
| Journal: | Journal of Financial Intermediation
2001 : JUL-OCT, VOL. 10:3-4, p. 249-270 |
| Index terms: | AUCTIONS BIDDING CALL OPTIONS TRANSACTION COSTS |
| Language: | eng |
| Abstract: | This paper provides a detailed analysis of the call auction procedure on the Frankfurt Stock Exchange. The authors develop a direct measure of execution costs in a call auction that is comparable to the bid-ask spread in a continuous market. |
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