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Demand-Based Option Pricing

delete2009-02-25
delete395
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OA
AI
N
Nicolae Gârleanu *
L
Lasse Heje Pedersen
A
Allen M. Poteshman
DOI：10.1093/rfs/hhp005delete
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摘要

摘要

En 中文
We model demand-pressure effects on option prices. 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 the unhedgeable parts of the two options. Empirically, we identify aggregate positions of dealers and end-users using a unique dataset, and show that demand-pressure effects make a contribution to well-known option-pricing puzzles. Indeed, time-series tests show that demand helps explain the overall expensiveness and skew patterns of index options, and cross-sectional tests show that demand impacts the expensiveness of single-stock options as well.
Keyword:
CONTINGENT CLAIMS
ARBITRAGE
CURVES
PRICES
INFORMATION
VALUATION
BOUNDS
STOCKS
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期刊

Review of Financial Studies 封面图
Review of Financial Studies
IF:
5.4
论文数:
2.8K
被引数:
3.0W

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center for economic & policy research (cepr)
学者数:
335
论文数: 310
被引数: 2
N
National Bureau of Economic Research
学者数:
2.0K
论文数: 2.4K
被引数: 1.1W
University of California System 封面图
University of California System
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论文数: 33.8W
被引数: 6.6K
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