MARKETWIDE LIQUIDITY AND OPTIONS MARKET
In this paper, we study the relationship between marketwide liquidity and options market. Using the Chicago Board Options Exchange (CBOE) Volatility Index, VIX as a measure of overall value of the S&P 500 (SPX) options, and the CBOE SKEW Index as a measure of market crash risk premium in the option...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Tuwhera Open Access Publisher
2022-05-01
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| Col·lecció: | Applied Finance Letters |
| Accés en línia: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/535 |
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