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Studies on the Impact of the Option Market on the Underlying Stock Market

In: Artificial Markets Modeling

Author

Listed:
  • Sabrina Ecca

    (University of Cagliari)

  • Mario Locci

    (University of Cagliari)

  • Michele Marchesi

    (University of Cagliari)

Abstract

In the past thirty years, options have become an important financial instrument, and now they account for a substantial percentage of total trading activity. From a research perspective, a lot of research have been carried out about the theoretical computation of option prices, starting from the seminal works of Black and Scholes (1973) and Merton (1973). Several researchers also examined the issue of to which extent options interact with their underlying stocks, and in particular their possible effects on stock returns and volatility, and on the overall quality of the underlying security market.

Suggested Citation

  • Sabrina Ecca & Mario Locci & Michele Marchesi, 2007. "Studies on the Impact of the Option Market on the Underlying Stock Market," Lecture Notes in Economics and Mathematical Systems, in: Andrea Consiglio (ed.), Artificial Markets Modeling, chapter 9, pages 127-139, Springer.
    • Handle: RePEc:spr:lnechp:978-3-540-73135-1_9
    DOI: 10.1007/978-3-540-73135-1_9
    as

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