search query: @indexterm Financial market trading / total: 54
reference: 26 / 54
| Author: | Brenner, M. Eldor, R. Hauser, S. |
| Title: | The price of options illiquidity |
| Journal: | Journal of Finance
2001 : APR, VOL. 56:2, p. 789-805 |
| Index terms: | CENTRAL BANKS CURRENCY FINANCIAL MARKET TRADING LIQUIDITY OPTIONS |
| Language: | eng |
| Abstract: | The purpose of this paper is to examine the effect of illiquidity on the value of currency options. The authors use a dataset that allows them to explore this issue in special circumstances where options are issued by a central bank and are not traded prior to maturity. The value of these options is compared to similar options traded on the exchange. |
SCIMA