Equilibrium open interest

DOI10.1016/J.JEDC.2010.07.006zbMath1200.91112OpenAlexW1989625696MaRDI QIDQ608910

Dietmar P. J. Leisen, Kenneth L. Judd

Publication date: 26 November 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.07.006

zbMATH Keywords

co-skewnessopen interestoption demandskewness preference

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Aggregation of preferences for skewed asset returns

Cites Work

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• Heterogeneity and option pricing
• The market for crash risk
• The equilibrium allocation of diffusive and jump risks with heterogeneous agents
• Investor heterogeneity, asset pricing and volatility dynamics
• Who buys and who sells options: the role of options in an economy with background risk
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• Options and Efficiency
• Optimal positioning in derivative securities
• Asset allocation and derivatives
• Risk Vulnerability and the Tempering Effect of Background Risk
• An Empirical Portfolio Perspective on Option Pricing Anomalies*
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• Asymptotic methods for asset market equilibrium analysis

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