Advanced search
Publication Cover
Applied Economics Letters Volume 3, 1996 - Issue 7
Submit an article Journal homepage
14
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

An analysis of bid–ask spreads on American-and European-style index options

Owain Ap Gwilym European Business Management School, University of Wales, Swansea, SA2 8PP, Wales, UK
&
Mike Buckle European Business Management School, University of Wales, Swansea, SA2 8PP, Wales, UK
Pages 445-449 | Received 16 Aug 1995, Published online: 02 Nov 2006

References

  • Dawson , P. 1994 . Comparative pricing of American and European index options: an empirical analysis . Journal of Futures Markets , 14 : 363 – 78 .
  • Dawson , P. and Gemmill , G. 1990 . Returns to market-making on the London Traded Options Market . Review of Futures Markets , 9 : 666 – 80 .
  • Gemmill , G. 1991 . “ Using options' prices to reveal traders' expectations ” . In Working paper , London : City University Business School .
  • Gemmill , G. and Dickins , P. 1986 . An examination of the efficiency of the London Traded Options Market . Applied Economics , 18 : 995 – 1010 .
  • George , T. J. and Longstaff , F. A. 1993 . Bid–ask spreads and trading activity in the S&P100 index options market . Journal of Financial and Quantitative Analysis , 28 : 381 – 97 .
  • Nisbet , M. J. and Dickinson , J. P. 1987 . “ Pricing in the London Traded Options Market: an empirical study ” . In Working paper , University of Glasgow .
  • Phillips , S. M. and Smith , C. W. Jr. 1980 . Trading costs for listed options: the implications for market efficiency . Journal of Financial Economics , 8 : 179 – 201 .
  • Wang , G. H. K. , Michalski , R. J. , Jordan , J. V. and Moriarty , E. J. 1994 . An intraday analysis of bid–ask spreads and price volatility in the S&P500 index futures market . Journal of Futures Markets , 14 : 837 – 59 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.