Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets

Amaro de Matos, João; Lacerda, Ana

http://hdl.handle.net/10362/83087

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Autores

Amaro de Matos, João

Lacerda, Ana

Resumo(s)

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.

URI

http://hdl.handle.net/10362/83087

Citação

Amaro de Matos, João and Lacerda, Ana, Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets (January, 2006). FEUNL Working Paper Series No. 480

Editora

Nova SBE

Coleções

NSBE - Working Paper Series

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