| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5418 |
| DP5418 Did Vasco da Gama Matter for European Markets? Testing Frederick Lane's Hypotheses Fifty Years Later | |
| Jeffrey G. Williamson; Kevin O'Rourke | |
| 发表日期 | 2005-12-19 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of their unhedgeable parts. Empirically, we identify aggregate positions of dealers and end users using a unique dataset, and show that demand-pressure effects contribute to well-known option-pricing puzzles. Indeed, time-series tests show that demand helps explain the overall expensiveness and skew patterns of both index options and single-stock options. |
| 主题 | Financial Economics |
| 关键词 | Option Demand Valuation Intermediation Market makers Implied volatility Hedging Price pressure Risk Dealers |
| URL | https://cepr.org/publications/dp5418 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534277 |
| 推荐引用方式 GB/T 7714 | Jeffrey G. Williamson,Kevin O'Rourke. DP5418 Did Vasco da Gama Matter for European Markets? Testing Frederick Lane's Hypotheses Fifty Years Later. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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