Optionsbewertung bei endogenem Preis des Basisinstruments: Der Fall der Glattstellungsoption

Wolfgang Bühler and Alexander Kempf
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Wolfgang Bühler: Universitat Mannheim
Alexander Kempf: Universitat Mannheim

Schmalenbach Journal of Business Research, 1998, vol. 50, issue 5, 411-435

Abstract: Summary It has been reported in numerous empirical studies that trading in options or theexercising of options influences the price of the underlying and as a consequence‍the value of the option. The traditional option pricing theory does not take intoaccount this interaction. In this paper, we propose a model where the price of the‍underlying is adversely affected when the option is exercised. Thus, there is abidirectional relation between the prices of the option and the underlying. Based‍on this model, we analyze the effect of exercising an option on the option value.

Date: 1998
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DOI: 10.1007/BF03371514

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