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Monopolistic Security Design In Finance Economies

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Author Info
Karl Schmedders (Northwestern University)

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Abstract

Asset 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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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number 129.

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Date of creation: 05 Jul 2000
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Handle: RePEc:sce:scecf0:129

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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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Web page: http://enginy.upf.es/SCE/
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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. 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. [Downloadable!] (restricted)
  2. Detemple, Jerome B & Selden, Larry, 1991. "A General Equilibrium Analysis of Option and Stock Market Interactions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 279-303, May. [Downloadable!] (restricted)
  3. Bisin, Alberto, 1998. "General Equilibrium with Endogenously Incomplete Financial Markets," Journal of Economic Theory, Elsevier, vol. 82(1), pages 19-45, September. [Downloadable!] (restricted)
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  1. Kenneth L. Judd & Sy-Ming Guu, 2001. "Asymptotic Methods for Asset Market Equilibrium Analysis," NBER Working Papers 8135, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2009-12-9.

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