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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2003
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| Subjects: | |
| 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 |