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Optionsbewertung bei endogenem Preis des Basisinstruments: Der Fall der Glattstellungsoption

Author

Listed:
  • Wolfgang Bühler

    (Universitat Mannheim)

  • Alexander Kempf

    (Universitat Mannheim)

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.

Suggested Citation

  • Wolfgang Bühler & Alexander Kempf, 1998. "Optionsbewertung bei endogenem Preis des Basisinstruments: Der Fall der Glattstellungsoption," Schmalenbach Journal of Business Research, Springer, vol. 50(5), pages 411-435, May.
    • Handle: RePEc:spr:sjobre:v:50:y:1998:i:5:d:10.1007_bf03371514
    DOI: 10.1007/BF03371514
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    References listed on IDEAS

    as
    1. Detemple, Jerome B & Selden, Larry, 1991. "A General Equilibrium Analysis of Option and Stock Market Interactions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 279-303, May.
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