Demand-Based Option Pricing
建立模型说明期权需求压力会推高价格，幅度取决于不可对冲部分的方差，并用独特数据验证需求压力解释了指数和个股期权的昂贵程度与偏斜模式。
We model demand-pressure effects on option prices. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of the unhedgeable parts of the two options. Empirically, we identify aggregate positions of dealers and end users using a unique dataset, and show that demand-pressure effects contribute to well-known option-pricing puzzles. Indeed, time-series tests show that demand helps explain the overall expensiveness and skew patterns of both index options and single-stock options. We are grateful for helpful comments from David Bates, Nick Bollen, Oleg Bondarenko, Menachem