Studies on the Impact of the Option Market on the Underlying Stock Market
Sabrina Ecca (),
Mario Locci () and
Additional contact information
Sabrina Ecca: University of Cagliari
Mario Locci: University of Cagliari
Chapter 9 in Artificial Markets Modeling, 2007, pp 127-139 from Springer
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)
References: Add references at CitEc
Citations: Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-540-73135-1_9
Ordering information: This item can be ordered from
Access Statistics for this chapter
More chapters in Lecture Notes in Economics and Mathematical Systems from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().