Option Implied Stock Buy-Side and Sell-Side Market Depths
This paper investigates option valuation when the underlying market suffers from illiquidity of price impact. Using option data, I infer trading activities and price impacts on the buy side and the sell side in the stock market from option prices across maturities. The finding displays that the stoc...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-10-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/7/4/108 |