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

Cécile Boyer and Gabrielle Demange

Post-Print from HAL

Abstract: We examine whether the liquidation of an option offers new opportunities of price 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.

Keywords: Aution; Equilibrium; Option; Enchère; équilibres (search for similar items in EconPapers)
Date: 2004
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00581408
References: Add references at CitEc
Citations:

Published in Annales d'Economie et de Statistique, 2004, 73, pp.06. ⟨10.2307/20079071⟩

Downloads: (external link)
https://shs.hal.science/halshs-00581408/document (application/pdf)

Related works:
Journal Article: Impact de la liquidation d'une option sur un marché d'action (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00581408

DOI: 10.2307/20079071

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().