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The effect of exchange trading of gold options on the volatility of the underlying asset |
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| Authors: | Adrian E. Tschoegl |
| Affiliation: | University of Michigan, Ann Arbor, MI 48109, USA |
| Abstract: | On April 2, 1981 the European Options Exchange introduced options on gold. Data for the period immediately before and after is consistent with the effect being to reduce the daily price volatility of the underlying asset. |
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