FrançoisHeude, Alain and Yousfi, Ouidad (2013): On the liquidity of CAC 40 index options Market.

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Abstract
Daily data available between May 2005 and August 2012 show the presence of a considerable number of outstanding PXA contracts that have not expired and been offset by taking or making delivery. The current paper concludes that CAC 40 index options displays some illiquidity problems, particularly long term maturity options that are deep out or in the money. To enhance liquidity, we test the generalized reset GR option of FrançoisHeude and Yousfi (2013) in the PXA options' market. Our preliminary results show a significant and positive effect on the liquidity of PXA options in several ways.
Item Type:  MPRA Paper 

Original Title:  On the liquidity of CAC 40 index options Market 
English Title:  On the liquidity of CAC 40 index options Market 
Language:  English 
Keywords:  strike reset, option, PXA, liquidity, reset option. 
Subjects:  G  Financial Economics > G1  General Financial Markets > G12  Asset Pricing ; Trading Volume ; Bond Interest Rates G  Financial Economics > G1  General Financial Markets > G13  Contingent Pricing ; Futures Pricing 
Item ID:  47921 
Depositing User:  Ouidad YOUSFI 
Date Deposited:  02 Jul 2013 07:40 
Last Modified:  10 Oct 2019 13:43 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/47921 