TY - JOUR
T1 - Equilibrium bid-ask spread of European derivatives in dry markets
AU - Amaro de Matos, João
AU - Lacerda, Ana
PY - 2006/2/19
Y1 - 2006/2/19
N2 - In the framework of incomplete markets, due to the non-existence of trade at some points in time, and using a partial equilibrium analysis, we show how the bid-ask spread of an European derivative is generated. We also find conditons for the existence of the spread. These conditions concern the market structure of the maret-makers, which can be a oligolopoly with price competition or a monopoly, as well as the riskaversion of the demand and supply of the market.
AB - In the framework of incomplete markets, due to the non-existence of trade at some points in time, and using a partial equilibrium analysis, we show how the bid-ask spread of an European derivative is generated. We also find conditons for the existence of the spread. These conditions concern the market structure of the maret-makers, which can be a oligolopoly with price competition or a monopoly, as well as the riskaversion of the demand and supply of the market.
U2 - 10.2139/ssrn.882796
DO - 10.2139/ssrn.882796
M3 - Article
SN - 1556-5068
JO - SSRN Electronic Journal
JF - SSRN Electronic Journal
ER -