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Brenner et al., 2001 - Google Patents

The price of options illiquidity

Brenner et al., 2001

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Document ID
14925381241652556912
Author
Brenner M
Eldor R
Hauser S
Publication year
Publication venue
The Journal of Finance

External Links

Snippet

The purpose of this paper is to examine the effect of illiquidity on the value of currency options. We use a unique dataset that allows us to explore this issue in special circumstances where options are issued by a central bank and are not traded prior to …
Continue reading at papers.ssrn.com (PDF) (other versions)

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