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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Bibliographic Details
Main Authors: CHONG, Beng Soon, DING, David K., TAN, Kok Hui
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2003
Subjects:
maturity effect
bid-ask spread
OTC
currency options
term-to-maturitymaturity effect
term-to-maturity
Business
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1160
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2159/viewcontent/MaturityEffectOnBid_AskSpreads_av.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/1160
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2159/viewcontent/MaturityEffectOnBid_AskSpreads_av.pdf

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