Option prices and costly short-selling

• 成果类型: Article
• 署名作者: Atmaz, Adem; Basak, Suleyman
• 署名单位: Purdue University System; Purdue University; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.04.004
• 发表日期: 2019
• 页码: 1-28
• 关键词: option prices; Options market making; Shorting fee; Partial lending; Short-selling bans

摘要

Much empirical evidence shows that stock short-selling costs and bans have significant effects on option prices. We reconcile these findings by providing a dynamic analysis of option prices with costly short-selling and option market makers. We obtain simple, closed-form, unique option bid and ask prices that represent option market makers' expected hedging costs, and are weighted averages of well-known benchmark prices (Black-Scholes, Heston). Our analysis delivers rich implications that support the empirical evidence on the effects of short-selling costs and bans on option prices, as well as uncovering several novel predictions. We also apply our methodology to corporate bonds, which have option-like payoffs. (C) 2019 Published by Elsevier B.V.