Demand-based option pricing
Nicolae Garleanu, Lasse Heje Pedersen, Allen M. Poteshman, Centre for Economic Policy Research (Great Britain)
Centre for Economic Policy Research, 2006 - Business & Economics - 48 pages
What people are saying - Write a review
We haven't found any reviews in the usual places.
amount proportional average daily average implied volatility bar shows Bates Behavioral Finance Black-Scholes Black-Scholes-Merton calendar days CBOE CEPR coefficient compute consider covariance daily net demand dealers demand for options demand-based demand-pressure effects derivative prices Discussion Papers Economics effect of demand empirical end users end-user demand equilibrium prices excess implied volatility expensiveness Figure firm proprietary traders fitted values function future demand pressure hedge position impact implied volatility skew implied-volatility increases the price index options individual equity options jump risk market makers moneyness categories non-market makers non-market-maker net demand optimal option demand option positions option prices options with moneyness out-of-the-money payoff pricing kernel Proof of Proposition public customer put-call parity puts and calls risk aversion risk-neutral measure sample single-stock options SPX options Stochastic dominance stochastic volatility stock market strike price Structural Changes subsample Theorem time-series regression trade date underlying asset underlying stock unhedgeable variable volatility risk