How Large Are the Benefits from Using Options?
在一个单风险资产、消费时点固定的经济模型中，研究期权在波动率不确定时对投资者的价值，发现使用期权的收益相对较小。
The paper explores the economic value of being able to span market outcomes through the use of options. We model an economy with a single risky asset. Consumption takes place at one date, corresponding to the horizon of all investors. Options on the consumption good are not redundant securities in the economy because volatility is uncertain. The model enables us to examine the benefits to investors of using options to optimize their investments. Within this model, the gains from the use of options appear to be relatively minor.