The Risk and Price Volatility of Stock Options in General Equilibrium
在资产结构不完备的一般均衡模型中，期权不再是冗余资产，其价格与标的股票价格相互影响，且投资者偏好会影响这种关系，这与Black-Scholes-Merton理论预测不同。
The traditional valuation formulas for options were derived in a complete market setting and were based on the no-arbitrage principle. If the asset structure is incomplete, the presence of options affects the linear subspace spanned by the payoffs of the existing assets, and the pricing of options and underlying primary assets becomes a simultaneous valuation problem. We characterize the relationship between the prices of options and the prices of the stocks on which the options are written in a general equilibrium model where options are non-redundant assets. Contrary to the predictions of the Black-Scholes-Merton theory, in our model investor preferences have an impact on the relationship between the prices of primary and derivative assets. Copyright 1995 by The editors of the Scandinavian Journal of Economics.