Price Clustering Phenomenon in CBOE Index Option Quotes
| Autor: | Chia-Hua Chen, 陳家華 |
|---|---|
| Rok vydání: | 2008 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 96 The asset price clustering phenomenon has been found for financial market. But the price clustering phenomenon in the index option market shows a blank. This paper provides the evidence of price clustering for the index options contract traded on the CBOE. We offer evidence that the clustering phenomenon in low-price index options are clustered on x.05 and x.1 for bids. Low-price index options are highly clustered on x.5 for offers. But each index options clustered on different prices. High-price index options are highly clustered on round dollars and half-dollars price for bids and offers. Nonetheless, in the money index options and out of the money index options are also highly clustered on round dollars and half-dollars for bids and offers. The price clustering on x.0 and x.5 increases with the volatility for bids and offers. The SPX price clustering on x.0 increases with bid-ask spread but decreases with date until expiry. The SPX price clustering on x.5 decreases with bid-ask spread, return and open interest. The OEX price clustering on x.0 and x.5 decreases with delta but increases with date until expiry. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|