Equilibrium open interest

Kenneth L. Judd; Dietmar P.J. Leisen

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Equilibrium open interest

机译：均衡未平仓合约

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摘要

This paper analyses what determines an individual investor's risk-sharing demand for options and, aggregating across investors, what the equilibrium demand for options. We find that agents trade options to achieve their desired skewness; specifically, we find that portfolio holdings boil down to a three-fund separation theorem that includes a so-called skewness portfolio that agents like to attain. Our analysis indicates also, however, that the common risk-sharing setup used for option demand and pricing is incompatible with a stylized fact about open interest across strikes.

机译：本文分析了决定个人投资者对期权的风险分担需求的因素，以及汇总了各个投资者对期权的均衡需求的因素。我们发现代理商交易选择权以实现其期望的偏度；具体来说，我们发现投资组合持有量归结为三支基金分离定理，其中包括代理商喜欢获得的所谓的偏度投资组合。但是，我们的分析还表明，用于期权需求和定价的通用风险分担设置与关于行使价格的未平仓头寸的典型事实不兼容。

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来源
《Journal of Economic Dynamics and Control》 |2010年第12期|p.2578-2600|共23页
作者
Kenneth L. Judd; Dietmar P.J. Leisen;
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作者单位

Stanford University, Hoover Institution and NBER. Stanford, CA 94305, United States;

University of Mainz, Faculty of Law and Economics, 55099 Mainz, Germany;

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正文语种 eng
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关键词
option demand; open interest; co-skewness; skewness preference;

机译：期权需求;未平仓合约共偏度偏度偏好;

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Equilibrium open interest

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