The Price of Options Illiquidity

By Menachem Brenner, Rafi Eldor, Shmuel Hauser. 2001

135 citations recorded by the source corpus.

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Illiquidity Premia in the Equity Options Market (2018, unknown): “[15] Brenner, M.”
Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? ☆ (2001, unknown): “Brenner, Eldor, and Hauser (2001) find that illiquid currency options often sell for as much as 20 percent less than the price of their liquid counterparts.”
Liquidity and Asset Prices (2005, unknown): “Options that cannot be traded over their life trade at large discounts relative to identical tradable options (Brenner et al., 2001).”
Option Market Liquidity: Commonality and Other Characteristics (2010, unknown): “1.(6) (5)Brockman, Chung and Pérignon (2007), using intra-day data from October 1, 2002 to June 30, 2004, for 47 exchanges around the world, also found a stronger commonality for smaller firms.”
The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market (2002, methodology): “The residual of this regression, the component of future liquidity di¤erences which is unrelated to current liquidity, is used on the right hand side of the regression in equation (8).”