A General Equilibrium Analysis of Option and Stock Market Interactions

摘要: The traditional pricing methodology in finance values derivative securities as redundant assets that have no impact on equilibrium prices and allocations. This paper demonstrates that, when the market is incomplete, primary asset markets, generically, interact: valuation of security depend contractual characteristics available. In a version Mossin mean-variance model, authors analyze an which call option (derivative asset) traded stock price (primary increases options opened. Copyright 1991 by Economics Department University Pennsylvania Osaka Institute Social Economic Research Association.