Aggregating information in option transactions
The listed options market in the United States trades hundreds of option contracts across different strikes and expirations for each underlying stock. The order flow from these option transactions reveals important information about the underlying stock price movement and its volatility variation. H...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3609 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4608/viewcontent/SSRN_id1787407.pdf |
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| Institution: | Singapore Management University |
| Language: | English |