search query: @author Rubio, G. / total: 3
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| Author: | Pena, I. Rubio, G. Serna, G. |
| Title: | Smiles, bid-ask spreads and option pricing |
| Journal: | European Financial Management
2001 : SEP, VOL. 7:3, p. 351-374 |
| Index terms: | PRICING PRICE POLICY BIDDING LIQUIDITY |
| Language: | eng |
| Abstract: | A serious candidate to explain the pronounced pattern of volatility estimates across exercise prices might be related to liquidity costs. The influence of liquidity costs, as proxied by the relative bid-ask spread, on the pricing of options is studied. Surpricingly, alternative parametric option pricing models incorporating the bid-ask spread seem to perform poorly relative to Black-Scholes. |
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