Garleanu, Nicolae (contributor); … - 2005
-pressure effect on prices when options cannot be per-
fectly hedged. The model shows that demand pressure in one option contract …-pressure effects help explain well-known
option-pricing puzzles. First, end users are net long index options, especially out-
of … single-stock options.
∗ We are grateful for helpful comments from David Bates, Nick Bollen, Oleg Bondarenko, Men-
achem …