Who buys options from whom? The role of options in an economy with heterogeneous

Accounting and Finance

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Who buys options from whom? The role of options in an economy with heterogeneous. / Huang, J.
Lancaster University: The Department of Accounting and Finance, 2000. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Huang, J 2000 'Who buys options from whom? The role of options in an economy with heterogeneous' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Huang, J. (2000). Who buys options from whom? The role of options in an economy with heterogeneous. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Huang J. Who buys options from whom? The role of options in an economy with heterogeneous. Lancaster University: The Department of Accounting and Finance. 2000. (Accounting and Finance Working Paper Series).

Author

Huang, J. / Who buys options from whom? The role of options in an economy with heterogeneous. Lancaster University : The Department of Accounting and Finance, 2000. (Accounting and Finance Working Paper Series).

Bibtex

@techreport{5932ddb3a1ad4ac2a0cb96203d0456ce,

title = "Who buys options from whom? The role of options in an economy with heterogeneous",

abstract = "In this paper we first show that call options, together with the market portfolio, are sufficient to obtain Pareto efficiency while put options are not. Next we investigate how investors' heterogeneous preferences and beliefs affect their investment strategies and who buys options from whom. We show that an investor buys options with strike prices below a threshold from investors who have lower cautiousness/optimism while selling options with strike prices above the threshold to investors who have higher cautiousness/optimism. We also show that the investor's threshold increases with increases in his cautiousness and optimism.",

author = "J Huang",

year = "2000",

language = "English",

series = "Accounting and Finance Working Paper Series",

publisher = "The Department of Accounting and Finance",

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RIS

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T1 - Who buys options from whom? The role of options in an economy with heterogeneous

AU - Huang, J

PY - 2000

Y1 - 2000

N2 - In this paper we first show that call options, together with the market portfolio, are sufficient to obtain Pareto efficiency while put options are not. Next we investigate how investors' heterogeneous preferences and beliefs affect their investment strategies and who buys options from whom. We show that an investor buys options with strike prices below a threshold from investors who have lower cautiousness/optimism while selling options with strike prices above the threshold to investors who have higher cautiousness/optimism. We also show that the investor's threshold increases with increases in his cautiousness and optimism.

AB - In this paper we first show that call options, together with the market portfolio, are sufficient to obtain Pareto efficiency while put options are not. Next we investigate how investors' heterogeneous preferences and beliefs affect their investment strategies and who buys options from whom. We show that an investor buys options with strike prices below a threshold from investors who have lower cautiousness/optimism while selling options with strike prices above the threshold to investors who have higher cautiousness/optimism. We also show that the investor's threshold increases with increases in his cautiousness and optimism.

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - Who buys options from whom? The role of options in an economy with heterogeneous

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -

Research

Electronic data