BOYER, Cécile; DEMANGE, Gabrielle - In: Annales d'Economie et de Statistique (2004) 73, pp. 119-139
We examine whether the liquidation of an option offers new opportunities of price manipulation manipulation on the underlying stock. In a call auction on the stock at the option exercise date, traders compete through demand schedules. The convexity of the option payoffs may induce equilibrium...