Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/78402
Authors: 
Koch, Alexander K.
Lazarov, Zdravetz
Year of Publication: 
2001
Series/Report no.: 
Bonn Econ Discussion Papers 30/2001
Abstract: 
Trades in DAX index options with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options with close strike prices are good substitutes. The degree of substitution between options with neighboring strikes depends on the strike price grid and options' characteristics. Using regression analysis we analyze the relation between clustering, grid size, and the options' characteristics. To our knowledge this paper is the first to explore how the grid size of strike prices affects options' trading volume.
Subjects: 
Clustering
Incidental Truncation
Index Options
Volume
JEL: 
C24
G10
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.