Demand-Based Option Pricing

By Nicolae Gârleanu, Lasse Heje Pedersen, Allen M. Poteshman. 2009

757 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f8c40b510a29587b0a1fc64428c55a691f1dcbfb

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Citations in the corpus

Cross-Section of Option Returns and Idiosyncratic Stock Volatility (2013, neutral): “It is consistent with the demand-pressure effect shown in Bollen and Whaley (2004) and Garleanu, Pedersen, and Poteshman (2009).”
Order Flow and Expected Option Returns (2015, neutral): “Similarly, Garleanu et al. (2009) show that the marketmaker net positions are correlated with the spread between the observed implied volatility and the implied volatility estimated from a jump-diffusion model.”
Financial Reporting Opacity and Expected Crash Risk: Evidence from Implied Volatility Smirks (2014, background): “Bollen and Whaley (2004) and Gârleanu et al. (2009) document that net buying pressure for OTM put options contributes significantly to the volatility smirk phenomenon implicit in both index and individual stock option prices.”
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, neutral): “Also related is a growing literature that investigates the effect of changes in investors’ sentiment (e.g., Han (2008)), market structure, and net buying pressure (e.g., Bollen and Whaley (2004), Dennis and Mayhew (2002), and Gârleanu et al. (2009)) on the shape of the implied volatility smile.”
Intermediary Asset Pricing (2013, neutral): “We elaborate on each of the elements of the model in the next sections.”
Investor Sentiment and Option Prices (2008, neutral): “The index risk-neutral skewness under the Heston (1993) model is calculated via Equation (12) with τ = 1/12.”
The Price of Correlation Risk: Evidence from Equity Options (2009, background): “Simultaneously, it should be noted that the market makers who are active in markets for both index and individual options can be expected to earn the correlation risk premium, since end-users of options have been shown to be net long index options and net short individual options (Garleanu et al. (2”
Bond Liquidity Premia (2012, background): “The gradual decay of the premium with age has been documented by Goldreich et al. (2005). For instance, immediately following its issuance (i.”