Risk mearures and bid-ask spreads of options over standard and poor index

Thesis

Fecha

2014-08-19

Registro en:

BOYRIE YOUNG O, Kim, and J PARK, "Price Risk and Bid - Ask Spreads of Currency Options"

HUANG. Roger ROLL. Huans, 1997, "The components of the Bid - ask Spread: a general approach"

GEORGE Thomas J. LONGSTAFF Francis A, 1993, "Bid - Ask Spreads and Trading Activity in the S&P 100 Index Options Derivates"

H. Goldstein, 1986, "Multilevel mixed linear model analysis using iterativegeneralized least squares"

CBOE, Chicago Board Options Exchange, www.cboe.com

J.C. Ndogmo, 2005, "Hedging of Financial Derivatives and Portfolio Insurance" " Index OptionTrading", www.theoptionsguide.com

BEYGELMAN, Raisa, 2005, "Bid - Ask Spreads and Asymmetry of Option Prices"

ROLL. Huns, 1989, "Inferring the components of the Bid - Ask Spread: Theory and empirical tests"

DIAZ Jhon Alexis, 2009, "Determinantes del Spread Bid - Ask de las opciones Call y Put sobre el índice Dow - Jones"

http://hdl.handle.net/10818/11528

http://repositorioslatinoamericanos.uchile.cl/handle/2250/3473603

Institución

Universidad de la Sabana (Colombia)

Resumen

This paper the bid-ask spread for options over the standard and poor index pof chicago boar option eschange (CBOE) and how explained by th greek letters ootions based on Maria E. de Boirie Yong o kim. Simon J Park. the contribution of this paper is to relate and extend this teory from currency options ti indexoptions, and demostrate the significance of the greeks of the options over the S&P index. Nota: Para consultar la carta de autorización de publicación de este documento por favor copie y pegue el siguiente enlace en su navegador de internet: http://hdl.handle.net/10818/11529

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