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Keywords: Cross-Market Model
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (3): 297–324.
Published: 31 August 2012
...Doojin Ryu; Jin-Young Yang This study examines the bid/ask spread and its components in the KOSPI200 options market under the framework of the cross-market model, which utilizes the order flow information of both KOSPI200 futures and options markets. We also compare the results by the single-market...
