Studies on the Impact of the Option Market on the Underlying Stock Market

Sabrina Ecca (), Mario Locci () and Michele Marchesi ()
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Sabrina Ecca: University of Cagliari
Mario Locci: University of Cagliari
Michele Marchesi: University of Cagliari

Chapter 9 in Artificial Markets Modeling, 2007, pp 127-139 from Springer

Abstract: Abstract In the past thirty years, options have become an important financial instrument, and now they account for a substantial percentage of total trading activity. From a research perspective, a lot of research have been carried out about the theoretical computation of option prices, starting from the seminal works of Black and Scholes (1973) and Merton (1973). Several researchers also examined the issue of to which extent options interact with their underlying stocks, and in particular their possible effects on stock returns and volatility, and on the overall quality of the underlying security market.

Keywords: Stock Market; Trading Strategy; Price Volatility; Expiration Date; Strike Price (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-540-73135-1_9

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DOI: 10.1007/978-3-540-73135-1_9

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