Who buys and who sells options: the role of options in an economy with background risk

DOI10.1006/JETH.1998.2420MaRDI QIDQ1270754zbMATH OpenOpenAlexFDO

Authors Richard C. Stapleton, Marti G. Subrahmanyam, Guenter Franke

Publication date 3 November 1998

Published in Journal of Economic Theory (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://semanticscholar.org/paper/da7d8110dc322a2269c3e6279956105e28074c96

zbMATH Keywords

call/put options

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Recommendations

• Optimal risk sharing with background risk
• Effects of background risks on cautiousness with an application to a portfolio choice problem
• Risk taking with additive and multiplicative background risks
• Equilibrium open interest
• An Empirical Portfolio Perspective on Option Pricing Anomalies*

Cites work

• Preservation of More risk averse under expectations
• Proper Risk Aversion
• Risk Aversion in the Small and in the Large
• Risk Aversion with Random Initial Wealth
• Risk Vulnerability and the Tempering Effect of Background Risk
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Standard Risk Aversion

Cited in

(7)

• Optimal risk sharing with background risk
• How suboptimal are linear sharing rules?
• Incomplete markets and derivative assets
• Equilibrium open interest
• Effects of background risks on cautiousness with an application to a portfolio choice problem
• Risk taking with additive and multiplicative background risks
• Options can induce risk taking for arbitrary preferences

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