Impact de la liquidation d'une option sur un marché d'action

Cécile Boyer and Gabrielle Demange

Annals of Economics and Statistics, 2004, issue 73, 119-139

Abstract: We examine whether the liquidation of an option offers new opportunities of price manipulation manipulation on the underlying stock. In a call auction on the stock at the option exercise date, traders compete through demand schedules. The convexity of the option payoffs may induce equilibrium demand schedules to be increasing in price, which rationalize stop orders and generate discontinuities in the exchange price. Moreover, multiple equilibria may exist even in the class of linear equilibria, due to positive externalities among option holders.

Date: 2004
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Working Paper: Impact de la liquidation d'une option sur un marché d'action (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2004:i:73:p:119-139

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