| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11843 |
| 来源ID | Working Paper 11843 |
| Demand-Based Option Pricing | |
| Nicolae Garleanu; Lasse Heje Pedersen; Allen M. Poteshman | |
| 发表日期 | 2005-12-12 |
| 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 help explain well-known option-pricing puzzles. First, end users are net long index options, especially out-of-money puts, which helps explain their apparent expensiveness and the smirk. Second, demand patterns help explain the prices of single-stock options. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w11843 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569494 |
| 推荐引用方式 GB/T 7714 | Nicolae Garleanu,Lasse Heje Pedersen,Allen M. Poteshman. Demand-Based Option Pricing. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11843.pdf（456KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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