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      A Semiparametric Estimation of Liquidity Effects on Option Pricing 

      Ferreira García, María Eva; Gago, Mónica; Rubio Irigoyen, Gonzalo (1999-09)
      This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the ...