Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets

Detalhes bibliográficos
Autor(a) principal: Amaro de Matos, João
Data de Publicação: 2006
Outros Autores: Lacerda, Ana
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/83087
Resumo: 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.
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spelling Equilibrium Bid-Ask Spread of European Derivatives in Dry MarketsIn 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.Nova SBERUNAmaro de Matos, JoãoLacerda, Ana2019-10-03T08:15:45Z2006-01-032006-01-03T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/83087engAmaro de Matos, João and Lacerda, Ana, Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets (January, 2006). FEUNL Working Paper Series No. 480info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:36:58Zoai:run.unl.pt:10362/83087Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:36:16.689893Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets
title Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets
spellingShingle Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets
Amaro de Matos, João
title_short Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets
title_full Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets
title_fullStr Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets
title_full_unstemmed Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets
title_sort Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets
author Amaro de Matos, João
author_facet Amaro de Matos, João
Lacerda, Ana
author_role author
author2 Lacerda, Ana
author2_role author
dc.contributor.none.fl_str_mv RUN
dc.contributor.author.fl_str_mv Amaro de Matos, João
Lacerda, Ana
description 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.
publishDate 2006
dc.date.none.fl_str_mv 2006-01-03
2006-01-03T00:00:00Z
2019-10-03T08:15:45Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/83087
url http://hdl.handle.net/10362/83087
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 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
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Nova SBE
publisher.none.fl_str_mv Nova SBE
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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