Equilibrium open interest

DOI10.1016/J.JEDC.2010.07.006zbMATH Open1200.91112OpenAlexW1989625696MaRDI QIDQ608910FDOQ608910

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

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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)

Cites Work

• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• Heterogeneity and option pricing
• Title not available (Why is that?)
• Title not available (Why is that?)
• An Empirical Portfolio Perspective on Option Pricing Anomalies*
• Title not available (Why is that?)
• Risk Vulnerability and the Tempering Effect of Background Risk
• Options and Efficiency
• Investor heterogeneity, asset pricing and volatility dynamics
• Who buys and who sells options: the role of options in an economy with background risk
• Optimal positioning in derivative securities
• The market for crash risk
• A General Equilibrium Analysis of Option and Stock Market Interactions
• The equilibrium allocation of diffusive and jump risks with heterogeneous agents
• Asymptotic methods for asset market equilibrium analysis
• Asset allocation and derivatives

Cited In (1)

• Aggregation of preferences for skewed asset returns

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