IDEAS home Printed from https://ideas.repec.org/a/adr/anecst/y2004i73p119-139.html
   My bibliography  Save this article

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

Author

Listed:
  • Cécile Boyer
  • Gabrielle Demange

Abstract

We examine whether the liquidation of an option offers new opportunities of price manipulation 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," Annals of Economics and Statistics, GENES, issue 73, pages 119-139.
  • Handle: RePEc:adr:anecst:y:2004:i:73:p:119-139
    as

    Download full text from publisher

    File URL: http://www.jstor.org/stable/20079071
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:adr:anecst:y:2004:i:73:p:119-139. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Secretariat General or Laurent Linnemer (email available below). General contact details of provider: https://edirc.repec.org/data/ensaefr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.