Consolidating information in option transactions
Underlying each stock trades hundreds of options at different strike prices and maturities. The order flows from these option transactions reveal important information about the underlying stock price. How to aggregate the trade information of different option contracts underlying the same stock pre...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5215 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6214/viewcontent/Consolidating_info_2011_Mar_wp.pdf |
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| Institution: | Singapore Management University |
| Language: | English |