The role of options in an economy with background risk: a note

Accounting and Finance

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Research output: Working paper

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The role of options in an economy with background risk: a note. / Huang, J.
Lancaster University: The Department of Accounting and Finance, 2002. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Huang, J 2002 'The role of options in an economy with background risk: a note' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Huang, J. (2002). The role of options in an economy with background risk: a note. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Huang J. The role of options in an economy with background risk: a note. Lancaster University: The Department of Accounting and Finance. 2002. (Accounting and Finance Working Paper Series).

Author

Huang, J. / The role of options in an economy with background risk: a note. Lancaster University : The Department of Accounting and Finance, 2002. (Accounting and Finance Working Paper Series).

Bibtex

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title = "The role of options in an economy with background risk: a note",

abstract = "This note presents three results closely related to Franke, Stapleton and Subrahmanyams work (11) on the role of options in an economy with non-hedgeable background risk. It first shows two necessary conditions for the existence of equilibrium when negative terminal wealth is non allowed. It then shows the impact on investors cautiousness of background risk and gives a simple proof of one main result in their work. Thirdly, it shows how investors construct their optimal sharing rules using call options.",

author = "J Huang",

year = "2002",

language = "English",

series = "Accounting and Finance Working Paper Series",

publisher = "The Department of Accounting and Finance",

type = "WorkingPaper",

institution = "The Department of Accounting and Finance",

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RIS

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T1 - The role of options in an economy with background risk: a note

AU - Huang, J

PY - 2002

Y1 - 2002

N2 - This note presents three results closely related to Franke, Stapleton and Subrahmanyams work (11) on the role of options in an economy with non-hedgeable background risk. It first shows two necessary conditions for the existence of equilibrium when negative terminal wealth is non allowed. It then shows the impact on investors cautiousness of background risk and gives a simple proof of one main result in their work. Thirdly, it shows how investors construct their optimal sharing rules using call options.

AB - This note presents three results closely related to Franke, Stapleton and Subrahmanyams work (11) on the role of options in an economy with non-hedgeable background risk. It first shows two necessary conditions for the existence of equilibrium when negative terminal wealth is non allowed. It then shows the impact on investors cautiousness of background risk and gives a simple proof of one main result in their work. Thirdly, it shows how investors construct their optimal sharing rules using call options.

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - The role of options in an economy with background risk: a note

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -

Research

Electronic data