Monopolistic Security Design In Finance Economies
AbstractAsset markets are usually incomplete. Security exchanges often introduce derivative securities which partially complete the market. The marketmakers make profits through a bid-ask spread. We use computational methods to determine the profit-maximizing choice of options for a marketmaker and examine how the optimal option depends on tastes
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number 129.
Date of creation: 05 Jul 2000
Date of revision:
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Postal: CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain
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Other versions of this item:
- Karl Schmedders, 2000. "Monopolistic Security Design in Finance Economies," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1288, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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.:
- Detemple, Jerome & Jorion, Philippe, 1990. "Option listing and stock returns : An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 781-801, October.
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- Bisin, Alberto, 1998. "General Equilibrium with Endogenously Incomplete Financial Markets," Journal of Economic Theory, Elsevier, vol. 82(1), pages 19-45, September.
- Chiaki Hara, 2010. "Pareto Improvement and Agenda Control of Sequential Financial Innovations," KIER Working Papers 748, Kyoto University, Institute of Economic Research.
- Kenneth L. Judd & Sy-Ming Guu, 2001.
"Asymptotic Methods for Asset Market Equilibrium Analysis,"
NBER Working Papers
8135, National Bureau of Economic Research, Inc.
- Sy-Ming Guu & Kenneth L. Judd, 2001. "Asymptotic methods for asset market equilibrium analysis," Economic Theory, Springer, Springer, vol. 18(1), pages 127-157.
- Hara, Chiaki, 2011. "Pareto improvement and agenda control of sequential financial innovations," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 336-345.
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