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Keywords: Options Spreads
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (3): 297–324.
Published: 31 August 2012
... are often detected when we directly apply the single market model into the KOSPI200 options market where the ITM options are relatively illiquid while the OTM options are extremely liquid. We also find that the effect of the order flow information of the futures market on the option spread and its permanent...
