A General Equilibrium Analysis of Option and Stock Market Interactions
证明在不完全市场中，原生资产与衍生资产市场存在互动，衍生品合约特征会影响均衡价格；基于Mossin均值-方差模型，分析发现引入看涨期权交易会提高均衡股价。
The traditional pricing methodology in finance values derivative securities as redundant assets that have no impact on equilibrium prices and allocations. This paper demonstrates that, when the market is incomplete, primary and derivative asset markets, generically, interact: the valuation of derivative and primary security prices depend on the contractual characteristics of the derivative assets available. In a version of the Mossin mean-variance model, the authors analyze an equilibrium in which a call option (derivative asset) is traded and the equilibrium stock price (primary asset) increases when the options market is opened. Copyright 1991 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.