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Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

Franke, Gunter et al.
NYU Faculty Digital Archive · Papers
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multidisciplinary
In this paper, we drive an equilibrium in which some investors buy call/put options on the market portfolio while others sell them. Also, some investors supply and others demand forward contracts. Since investors are assumed to have similar risk-averse preferences, the demand for these contracts is
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