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Garleanu, Pedersen, and Poteshman model the demand-pressure effect on prices when options cannot be hedged perfectly.(Conferences)

Publication: NBER Reporter
Publication Date: 22-JUN-05
Format: Online - approximately 131 words
Delivery: Immediate Online Access

Article Excerpt
Garleanu, Pedersen, and Poteshman model the demand-pressure effect on prices when options cannot be hedged perfectly. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the...

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...demand pressure increases the...

NOTE: All illustrations and photos have been removed from this article.



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