Optimal Innovation of Futures Contracts

被引：63

作者：

Duffie, Darrell ^{[1
]}

Jackson, Matthew O. ^{[2
]}

机构：

[1] Stanford Univ, Stanford, CA 94305 USA

[2] Northwestern Univ, Evanston, IL 60208 USA

来源：

REVIEW OF FINANCIAL STUDIES | 1989年 / 2卷 / 03期

关键词：

D O I：

10.1093/rfs/2.3.275

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article presents a simple model of the innovation of new futures contracts by transaction volume-maximizing futures exchanges in incomplete markets under uncertainty, with mean-variance preferences and proportional transactions costs. We characterize the set of Nash equilibria for a number of exchanges simultaneously or sequentially choosing contracts. The optimal monopolistic contract design is shown to be Pareto-optimal. An example shows the failure of Pareto optimality for a particular Nash equilibrium. Likewise, in a monopolistic multiperiod setting, an example shows the failure of Pareto optimality given an incentive for the exchange to induce turnover.

引用

页码：275 / 296

页数：22

共 17 条

[1] Optimal Security Design [J].