Equilibrium open interest

DOI10.1016/j.jedc.2010.07.006zbMath1200.91112MaRDI QIDQ608910

Dietmar P. J. Leisen, Kenneth L. Judd

Publication date: 26 November 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.07.006

zbMATH Keywords

co-skewness; open interest; option demand; skewness preference

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

Related Items

Aggregation of preferences for skewed asset returns

Cites Work

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