Der Einfluß von Optionsmärkten auf die Stabilität der Devisenmärkte

The Influence of Option Markets on the Stability of Foreign Exchange Markets This study analyzes within the framework of the option price theory of Black and Scholes the importance of arbitrage relations between option and futures markets for the simultaneous equilibrium of foreign exchange markets. It shows that the creation of option markets and the resultant hedging contracts of option suppliers may destabilize the orginial equilibrium. In the case of alternative exchange rate expectations in particular, supply and demand may, under certain conditions, no longer be found to be balancing each other at the level of all market participants' average expectations, but to show a polarization of countervailing equilibrium exchange rates. In borderline cases, a situation of multiple (stable and instable) equilibria may occur on the foreign exchange market impairing the efficiency of futures markets and increasing the volatility of exchange rates