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What is SSRN 1928119 about?

This document examines the volume profile of call options and its implications for empirical pricing, highlighting a non-symmetric relationship between trading volume and prices. It analyzes data from the Chicago Board Option Exchange over five years, revealing patterns in trading behavior and the importance of the strike price in option pricing models. The findings suggest that traders prefer to trade near the strike price, with significant implications for the development of option pricing models that acc

Author

weikeduanmu

Language

EN