Equilibrium open interest

DOI10.1016/J.JEDC.2010.07.006MaRDI QIDQ608910zbMATH OpenOpenAlexFDO

Authors Kenneth L. Judd, Dietmar P. J. Leisen

Publication date 26 November 2010

Published in Journal of Economic Dynamics and 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

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

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Cites work

• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 3307201 (Why is no real title available?)
• A General Equilibrium Analysis of Option and Stock Market Interactions
• An Empirical Portfolio Perspective on Option Pricing Anomalies*
• Asset allocation and derivatives
• Asymptotic methods for asset market equilibrium analysis
• Heterogeneity and option pricing
• Investor heterogeneity, asset pricing and volatility dynamics
• Optimal positioning in derivative securities
• Options and Efficiency
• Risk Vulnerability and the Tempering Effect of Background Risk
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• The equilibrium allocation of diffusive and jump risks with heterogeneous agents
• The market for crash risk
• Who buys and who sells options: the role of options in an economy with background risk

Cited in

(2)

• Aggregation of preferences for skewed asset returns
• Who buys and who sells options: the role of options in an economy with background risk

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