Demand-Based Option Pricing
收藏NBER2005-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w11843
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资源简介：
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the price
提供机构：
美国国家经济研究局
创建时间：
2005-12-01
