Strategic Limits of Option Pricing
Abstract/Contents
- Abstract
- The market for option contracts relies on the ability to freely trade option contracts, and that the options themselves do not create strategic interactions between the market participants. In this paper, I show that a sufficiently complex option contract can create the possibility of strategic interactions, which makes the option unpriceable without knowing the identity of the option holders. I also identify the features of a contract that prevent such strategic interactions, and the implications for option pricing.
Description
| Type of resource | text |
|---|---|
| Date created | July 30, 2021 |
Creators/Contributors
| Author | Pohl, Walter |
|---|---|
| Organizer of meeting | Judd, Kenneth |
| Organizer of meeting | Pohl, Walter |
| Organizer of meeting | Schmedders, Karl |
| Organizer of meeting | Wilms, Ole |
Subjects
| Subject | economics |
|---|---|
| Genre | Text |
| Genre | Working paper |
| Genre | Grey literature |
Bibliographic information
Access conditions
- Use and reproduction
- User agrees that, where applicable, content will not be used to identify or to otherwise infringe the privacy or confidentiality rights of individuals. Content distributed via the Stanford Digital Repository may be subject to additional license and use restrictions applied by the depositor.
- License
- This work is licensed under a Creative Commons Attribution 4.0 International license (CC BY).
Preferred citation
- Preferred citation
- Pohl, W. (2022). Strategic Limits of Option Pricing. Stanford Digital Repository. Available at https://purl.stanford.edu/bm140gp8847
Collection
SITE Conference 2021
View other items in this collection in SearchWorksContact information
- Contact
- siteworkshop@stanford.edu
Also listed in
Loading usage metrics...