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19 septembre 2019
- 1909.09257
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Puts (Finance) Put options Options exchange Options market Listed options Calls (Finance) Call options Options trading Put and call transactions Economic theory Political economyCiter ce document
Bastien Baldacci et al., « How to design a derivatives market? », arXiv - économie
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Résumé
We consider the problem of designing a derivatives exchange aiming at addressing clients needs in terms of listed options and providing suitable liquidity. We proceed into two steps. First we use a quantization method to select the options that should be displayed by the exchange. Then, using a principal-agent approach, we design a make take fees contract between the exchange and the market maker. The role of this contract is to provide incentives to the market maker so that he offers small spreads for the whole range of listed options, hence attracting transactions and meeting the commercial requirements of the exchange.