IDEAS home Printed from
   My bibliography  Save this article

The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening


  • Chiara Coluzzi

    () (Università di Roma "Tor Vergata")


The Italian Treasury selects a group of Specialists within the Government securities primary market participants. They benefit from a set of obligations and privileges. Academic literature paid scant attention to the privilege of participation in reserved auction reopenings, i.e. the right to buy predetermined additional quantities of Government securities at the auction price. This paper attempts to price this privilege as a call option in the framework of the Cox - Ingersoll - Ross model. No matter the one-day life, it has a value significantly different from zero. Moreover, it helps to explain part of the mispricing between the primary and secondary market.

Suggested Citation

  • Chiara Coluzzi, 2011. "The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening," Rivista di Politica Economica, SIPI Spa, issue 1, pages 189-221, January-M.
  • Handle: RePEc:rpo:ripoec:y:2011:i:1:p:189-221

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    References listed on IDEAS

    1. Robert C. Feenstra & Gordon H. Hanson, 1999. "The Impact of Outsourcing and High-Technology Capital on Wages: Estimates For the United States, 1979–1990," The Quarterly Journal of Economics, Oxford University Press, vol. 114(3), pages 907-940.
    2. Deardorff, Alan V., 2005. "A trade theorist's take on skilled-labor outsourcing," International Review of Economics & Finance, Elsevier, vol. 14(3), pages 259-271.
    3. Giovanni Ferri & Giovanni Costa, 2007. "The determinants and employment effects of international outsourcing: the case of Italy," SERIES 0016, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Apr 2007.
    4. F. Daveri & C. Jona-Lasinio, 2007. "Off-shoring and productivity growth in the Italian manufacturing industries," Economics Department Working Papers 2007-EP08, Department of Economics, Parma University (Italy).
    5. Koen De Backer & Norihiko Yamano, 2007. "The Measurement of Globalisation using International Input-Output Tables," OECD Science, Technology and Industry Working Papers 2007/8, OECD Publishing.
    6. Manasse, Paolo & Stanca, Luca & Turrini, Alessandro, 2004. "Wage premia and skill upgrading in Italy: why didn't the hound bark?," Labour Economics, Elsevier, vol. 11(1), pages 59-83, February.
    7. Horgos, Daniel, 2009. "Labor market effects of international outsourcing: How measurement matters," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 611-623, October.
    8. Gene M. Grossman & Esteban Rossi-Hansberg, 2008. "Trading Tasks: A Simple Theory of Offshoring," American Economic Review, American Economic Association, vol. 98(5), pages 1978-1997, December.
    9. Deardorff, A.V., 1998. "Fragmentation Across Cones," Working Papers 427, Research Seminar in International Economics, University of Michigan.
    10. Chiara Broccolini & Alessia Lo Turco & Andrea F. Presbitero & Stefano Staffolani, 2008. "Individual Earnings, International Outsourcing and Technological Change," Development Working Papers 242, Centro Studi Luca d'Agliano, University of Milano.
    11. Eli Berman & John Bound & Zvi Griliches, 1994. "Changes in the Demand for Skilled Labor within U. S. Manufacturing: Evidence from the Annual Survey of Manufactures," The Quarterly Journal of Economics, Oxford University Press, vol. 109(2), pages 367-397.
    12. Luca De Benedictis, 2005. "Three Decades of Italian Comparative Advantages," The World Economy, Wiley Blackwell, vol. 28(11), pages 1679-1709, November.
    13. Helg, Rodolfo & Tajoli, Lucia, 2005. "Patterns of international fragmentation of production and the relative demand for labor," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 233-254, August.
    14. Robert Feenstra & Gordon Hanson, 2001. "Global Production Sharing and Rising Inequality: A Survey of Trade and Wages," NBER Working Papers 8372, National Bureau of Economic Research, Inc.
    15. Alexander Hijzen & Paul Swaim, 2007. "Does offshoring reduce industry employment?," National Institute Economic Review, National Institute of Economic and Social Research, vol. 201(1), pages 86-96, July.
    16. Dluhosch, Barbara, 2006. "Intraindustry trade and the gains from fragmentation," The North American Journal of Economics and Finance, Elsevier, vol. 17(1), pages 49-64, March.
    17. Pol Antràs & Elhanan Helpman, 2006. "Contractual Frictions and Global Sourcing," NBER Working Papers 12747, National Bureau of Economic Research, Inc.
    18. Gene M. Grossman & Esteban Rossi-Hansberg, 2006. "The rise of offshoring: it's not wine for cloth anymore," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 59-102.
    19. Geishecker, Ingo & Gorg, Holger, 2005. "Do unskilled workers always lose from fragmentation?," The North American Journal of Economics and Finance, Elsevier, vol. 16(1), pages 81-92, March.
    20. Karel Havik & Kieran Mc Morrow, 2006. "Global trade integration and outsourcing : How well is the EU coping with the new challenges?," European Economy - Economic Papers 2008 - 2015 259, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    21. Egger, Hartmut & Egger, Peter, 2001. "Cross-border sourcing and outward processing in EU manufacturing," The North American Journal of Economics and Finance, Elsevier, vol. 12(3), pages 243-256, November.
    22. Alexander Hijzen, 2005. "A Bird’s Eye View of International Outsourcing: Data, Measurement and Labour Demand Effects," Economie Internationale, CEPII research center, issue 104, pages 45-63.
    23. Amiti, Mary & Wei, Shang-Jin, 2004. "Fear of Outsourcing: Is It Justified?," CEPR Discussion Papers 4719, C.E.P.R. Discussion Papers.
    24. Roberto Antonietti & Davide Antonioli, 2011. "The impact of production offshoring on the skill composition of manufacturing firms: evidence from Italy," International Review of Applied Economics, Taylor & Francis Journals, vol. 25(1), pages 87-105.
    Full references (including those not matched with items on IDEAS)

    More about this item


    term structure of interest rates; option pricing; auctions; mispricing;

    JEL classification:

    • D49 - Microeconomics - - Market Structure, Pricing, and Design - - - Other
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rpo:ripoec:y:2011:i:1:p:189-221. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sabrina Marino). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.