Modeling the Bid-Ask Spread by Option Hedging
碩士 === 國立中山大學 === 應用數學系研究所 === 93 === The bid-ask spread costs consist of three components, which include order processing costs, inventory-holding costs, and adverse selection costs. In this paper, we model the inventory-holding costs of the bid-ask spread by option hedging. Theinventory-holding co...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/17596251658503510346 |