首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Market Making in the Options Markets and the Costs of Discrete Hedge Rebalancing
Authors:MEL JAMESON  WILLIAM WILHELM
Abstract:In this paper we provide empirical evidence consistent with the hypothesis that options market makers face risks in managing inventory that are unique to the options markets. In particular, we show that risks associated with the inability to rebalance an option position continuously and uncertainty about the return volatility of the underlying stock each account for a statistically and economically significant proportion of the bid-ask spreads quoted for a sample of Chicago Board Options Exchange options.
Keywords:
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号