著者

川久保 佐記 和泉 潔

出版者

一般社団法人 人工知能学会

雑誌

人工知能学会論文誌 (ISSN:13460714)

巻号頁・発行日

vol.31, no.6, pp.AG-D-1-10, 2016-11-01 (Released:2016-11-02)

参考文献数

29

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The effect of option markets on their underlying markets has been studied intensively since the first option market launched. Despite considerable efforts, including the development of theoretical and empirical approaches, we do not yet have conclusive evidence on this effect. We investigate the effect of option markets, especially that of dynamic hedging, on their underlying markets by using an artificial market. We propose a two-market model in which an option market and its underlying market interact. We confirmed that trading behaviors on expire date are not effect on its underlying market, but dynamic hedging, arbitrage trading changed volatility on the price of underlying asset under certain conditions.