Derivative Security Markets, Market Manipulation, and Option Pricing Theory
研究大型交易者经济中期权定价的新理论，分析衍生证券市场如何引发市场操纵，并给出避免额外操纵的条件，在此条件下标准二项式期权模型仍适用但波动率随机。
This paper studies a new theory for pricing options in a large trader economy. This theory necessitates studying the impact that derivative security markets have on market manipu? lation. In an economy with a stock, money market account, and a derivative security, it is shown, by example, that the introduction ofthe derivative security generates market manip? ulation trading strategies that would otherwise not exist. A sufficient condition is provided on the price process such that no additional market manipulation trading strategies are introduced by a derivative security. Options are priced under this condition, where it is shown that the standard binomial option model still applies but with random volatilities.