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• Patrick Roger

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Paper provided by HAL in its series Post-Print with number halshs-00178162_v1.

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Date of creation: Jun 2002
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Handle: RePEc:hal:journl:halshs-00178162_v1

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Keywords: bid ask spread; market maker; martingale pricing;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, vol. 8(1), pages 31-53, March. [Downloadable!] (restricted)
2. P. Roger & L. Eeckhoudt, 1999. "Risk Aversion and the Bid-Ask Spread," European Financial Management, Blackwell Publishing Ltd, vol. 5(3), pages 323-340. [Downloadable!] (restricted)
3. Roger, Patrick, 2000. "Properties of bid and ask reservation prices in the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 34(3), pages 269-285, November. [Downloadable!] (restricted)
4. Biais, Bruno, 1993. " Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, vol. 48(1), pages 157-85, March. [Downloadable!] (restricted)
5. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March. [Downloadable!] (restricted)
   Other versions:
   • Thomas Ho & Hans Stoll, . "Optimal Dealer Pricing Under Transactions and Return Uncertainty," Rodney L. White Center for Financial Research Working Papers 27-79, Wharton School Rodney L. White Center for Financial Research.

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This page was last updated on 2009-12-18.