| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13029
|
| DP13029 Option Prices and Costly Short-Selling |
| Suleyman Basak; Adem Atmaz
|
| 发表日期 | 2018-07-02
|
| 出版年 | 2018
|
| 语种 | 英语
|
| 摘要 | Much empirical evidence shows that stock short-selling costs and bans have significant effects on option prices. We reconcile these findings by providing a dynamic analysis of option prices with costly short-selling and option marketmakers. In our framework, short-sellers incur a shorting fee to borrow stock shares from lenders, who only partially lend their long positions. We obtain simple, closed-form, unique option bid and ask prices that represent option marketmakers’ expected hedging costs, and are weighted-averages of well-known benchmark prices (Black-Scholes, Heston). Consistent with evidence, we show that bid-ask spreads of typical options, put option implied volatilities, and apparent put-call parity violations are increasing in the shorting fee. Our analysis also uncovers several novel predictions, most notably, option bid-ask spreads are decreasing in the partial lending, the option marketmakers’ participation in the stock lending market is decreasing in the shorting fee for each call option sold, and the effects of short-selling costs on option bid-ask spreads are more pronounced for relatively illiquid options. We also apply our methodology to corporate bonds, which have option-like payoffs. |
| 主题 | Financial Economics
|
| 关键词 | Option prices
Short-selling
Shorting fee
Partial lending
Options marketmaking
Bid-ask spreads
Put-call parity violations
Short-selling bans
stochastic volatility
|
| URL | https://cepr.org/publications/dp13029
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541836
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推荐引用方式
GB/T 7714 |
Suleyman Basak,Adem Atmaz. DP13029 Option Prices and Costly Short-Selling. 2018.
|
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