A General Equilibrium Analysis of Option and Stock Market Interactions

DOI10.2307/2526876MaRDI QIDQ3978431zbMATH OpenOpenAlexFDO

Authors Larry Selden, Jérôme 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)

Recommendations

• The Risk and Price Volatility of Stock Options in General Equilibrium
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Cited in

(17)

• A game theory analysis of options. Contributions to the theory of financial intermediation in continuous time
• The financial market: not as big as you think
• MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• The effects of newly listed derivatives in a thin stock market
• Pricing of non-redundant derivatives in a complete market
• The impact of warrants introduction: sign effect or magnitude effect?
• The Risk and Price Volatility of Stock Options in General Equilibrium
• DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
• EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹
• Nonreplication of options
• Incomplete markets and volatility
• Equilibrium open interest
• Real‐time waiting‐price trading interval in a heterogeneous options market: a Bernoulli distribution
• A computational study on general equilibrium pricing of derivative securities
• A general machine learning framework of real-time evaluation for financial derivatives portfolios
• On the non-existence of redundant options

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