Keywords
PortfolioAsk priceExpected returnEconometricsJump diffusionRest (music)Bid pricePoisson processExpected utility hypothesisEconomicsJumpPoisson distributionFinancial economicsMathematicsFinanceStatistics
Affiliated Institutions
Related Publications
Information Effects on the Bid‐Ask Spread
ABSTRACT An individual who chooses to serve as a market‐maker is assumed to optimize his position by setting a bid‐ask spread which maximizes the difference between expected rev...
SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*
Sections II and III of this paper set forth the simple logic which leads directly to the determination of explicit equilibrium prices of risk assets traded in competitive market...
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
ABSTRACT In an efficient market, the fundamental value of a security fluctuates randomly. However, trading costs induce negative serial dependence in successive observed market ...
Theory of Option Strategy Under Risk Aversion
We shall investigate the problem of optimal exercising strategy for option holders for the case in which option holders are averse to risk. A model of stock price changes incorp...
Invisible Parameters in Option Prices
ABSTRACT This paper characterizes contingent claim formulas that are independent of parameters governing the probability distribution of asset returns. While these parameters ma...
Publication Info
- Year
- 1981
- Type
- article
- Volume
- 9
- Issue
- 1
- Pages
- 47-73
- Citations
- 1418
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
1418
OpenAlex
Cite This
Thomas Ho,
Hans R. Stoll
(1981).
Optimal dealer pricing under transactions and return uncertainty.
Journal of Financial Economics
, 9
(1)
, 47-73.
https://doi.org/10.1016/0304-405x(81)90020-9
Identifiers
- DOI
- 10.1016/0304-405x(81)90020-9