MARKET MAKING IN THE OPTIONS MARKETS AND THE COSTS OF DISCRETE HEDGE REBALANCING

• 成果类型: Note
• 署名作者: JAMESON, M; WILHELM, W
• 署名单位: Boston College
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329123
• 发表日期: 1992
• 页码: 765-779
• 关键词: AMERICAN CALL OPTIONS; Bid-ask spread; EQUITY OPTIONS; COMPETITION; components; valuation; Dividends; QUOTES; stocks

摘要

In this paper we provide empirical evidence consistent with the hypothesis that options market makers face risks in managing inventory that are unique to the options markets. In particular, we show that risks associated with the inability to rebalance an option position continuously and uncertainty about the return volatility of the underlying stock each account for a statistically and economically significant proportion of the bid-ask spreads quoted for a sample of Chicago Board Options Exchange options.