Maturity Effect on Bid-Ask Spreads of Otc Currency Options

Maturity Effect on Bid-Ask Spreads of Otc Currency Options

The paper ascertains the relation between bid-ask spreads and the contract maturity of OTC currency options. Contrary to previous findings in the futures market, spreads of currency options are found to be negatively related to the contract's term-to-maturity. The negative relation persists eve...

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書目詳細資料
Main Authors:	Chong, B.S., DING, David K., Tan, K.H.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2002
主題:	Business
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/741 https://doi.org/10.1023/A:1024883004298
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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