Derivatives and market (il)liquidity
We study how derivatives (with nonlinear payoffs) affect the underlying assets liquidity. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect different investors utility differently, possibly...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2024
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/7282 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8281/viewcontent/DerivativesMarketilliq_sv.pdf |
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| 機構: | Singapore Management University |
| 語言: | English |