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

Author

Listed:
  • Cécile Boyer

    (THEMA - Théorie économique, modélisation et applications - UCP - Université de Cergy Pontoise - Université Paris-Seine - CNRS - Centre National de la Recherche Scientifique)

  • Gabrielle Demange

    (DELTA - Département et Laboratoire d'Economie Théorique et Appliquée - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Cécile Boyer & Gabrielle Demange, 2004. "Impact de la liquidation d'une option sur un marché d'action," Post-Print halshs-00581408, HAL.
    • Handle: RePEc:hal:journl:halshs-00581408
    DOI: 10.2307/20079071
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00581408
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