A General Equilibrium Analysis of Option and Stock Market Interactions
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Publication:3978431
DOI10.2307/2526876zbMath0735.90007OpenAlexW2030434827MaRDI QIDQ3978431
Larry Selden, Jérôme B. Detemple
Publication date: 25 June 1992
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2526876
Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items (12)
The financial market: not as big as you think ⋮ On the non-existence of redundant options ⋮ The effects of newly listed derivatives in a thin stock market ⋮ Pricing of non-redundant derivatives in a complete market ⋮ Equilibrium open interest ⋮ The impact of warrants introduction: sign effect or magnitude effect? ⋮ Real‐time waiting‐price trading interval in a heterogeneous options market: a Bernoulli distribution ⋮ NONREPLICATION OF OPTIONS ⋮ MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES ⋮ Incomplete markets and volatility ⋮ DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT? ⋮ EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1
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