A General Equilibrium Analysis of Option and Stock Market Interactions

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

zbMATH Keywords

derivative and primary securitiesMossin mean-variance modelsimultaneous pricing problem

Mathematics Subject Classification ID

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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