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Liquidity Costs in Futures Options Markets AgEcon
Shah, Samarth; Brorsen, B. Wade; Anderson, Kim B..
The major finding is that liquidity costs in futures options market are two to three times higher than liquidity costs in the futures market. Liquidity cost is one potential factor to consider when choosing between hedging with a futures contract or with an option contract. While there is considerable research that estimates liquidity costs of futures trading, there is little comparable research about options markets. This study, for the first time, attempts to determine and compare liquidity costs in options and futures markets. The study uses July 2007 wheat futures and options contracts traded on Kansas City Board of Trade. Two measures of liquidity costs were used for both options and futures markets. One measure of liquidity costs in options markets...
Tipo: Conference Paper or Presentation Palavras-chave: Bid-ask spread; Black model; KCBT; Liquidity costs; Options; Agribusiness; Agricultural Finance; Financial Economics; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/53047
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