紀要論文

「資本経済学」序説(2)

An introduction to capital economics (2)

jpn

00229741

https://doi.org/10.15002/00003105

法政大学経済学部学会

75

1

121

178

2007-07-25

Version of Record

The originality of this article lies in (1) the analysis of initial dynamic reaction of the price vector whose elements are the prices of the future, the call option, and the put option of the same underlying commodity. It is concerned with the change of the vector just after parity equations which hold among the three prices in equilibrium are disturbed. (2) The comparative statics concerning displacement (movement) of the equilibrium price vector after the initial equilibrium is disturbed, and (3) the analysis of the feedback mechanism from a change in the market price of the call option and/or a change in that of the put option back to the market price (or the cash price) of the underlying commodity. It has recently been pointed out in many empirical studies in the literature written in English that the stock price is influenced by the prices of its options. The analyses in the present paper can be useful in explaining the feedback phenomena. The price of the underlying commodity is one of the variables of the Black-Scholes formulae for pricing options. The price of the underlying commodity can be influenced by changes in the option prices which are governed by the demand and supply curves of the options. Behind the demand an supply curves there are many demanders and suppliers of the options, and they evaluate and price the options by use of the Black-Scholes pricing formulae. It is a feedback from the option market to the stock market. This paper refers to the history and the present state of the option markets in the United States. It also indicates the developing state of the transaction in the futures markets and option markets in Japan, as well as the developing state of the Japanese institution of these markets.

Article

AN00071028