Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
Published Online:13 Nov 2017https://doi.org/10.1287/mnsc.2017.2867
Supplemental Material
mnsc.2017.2867-sm.pdf (387 KB)
- Cited by
- 11 August 2025 | Journal of Futures Markets, Vol. 45, No. 11
- 22 November 2022 | Journal of Futures Markets, Vol. 43, No. 3
- 10 August 2021 | Computational Management Science, Vol. 19, No. 1
- Future Generation Computer Systems, Vol. 124
Volume 65, Issue 4
April 2019
Pages 1455-1947
Article Information
Supplemental Material
Metrics
Information
- Received:September 11, 2015
- Accepted:May 26, 2017
- Published Online:November 13, 2017
Copyright © 2017, INFORMS
Cite as
PeiLin Hsieh, Robert Jarrow (2017) Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market. Management Science 65(4):1833-1854.
https://doi.org/10.1287/mnsc.2017.2867
Keywords
