A Parimutuel Market Microstructure for Contingent Claims Trading

A parimutuel market microstructure for contingent claims trading is proposed and analyzed. A parimutuel microstructure is a call auction where relative equilibrium prices of contingent claims are endogenously determined using a specific mechanism. We propose a market microstructure incorporating parimutuel principles which provides for notional derivatives transactions, limit orders, and bundling of contingent claims across states.(...)

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Year of publication:	2001-11-21
Authors:	Lange, Jeffrey ; Economides, Nicholas
Publisher:	Salomon Center <New York, NY>
Subject:	Call-Option \| Terminhandel \| Marktstruktur

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Extent:	727040 bytes 47 p. application/pdf
Series:	NYU Salomon Center for the Study of Financial Institutions - Derivates - Publications Arbeitspapier ; S-DRP-01-16
Type of publication:	Book / Working Paper
Language:	English
Classification:	G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847116