Equilibrium bid-ask spread of European derivatives in dry markets

Research output: Contribution to journalArticlepeer-review


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.
Original languageEnglish
JournalSSRN Electronic Journal
Publication statusPublished - 19 Feb 2006


Dive into the research topics of 'Equilibrium bid-ask spread of European derivatives in dry markets'. Together they form a unique fingerprint.

Cite this