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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26904
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| Title: | A Parimutuel Market Microstructure for Contingent Claims Trading |
| Authors: | Lange, Jeffrey
Economides, Nicholas |
| Issue Date: | 21-Nov-2001 |
| Series/Report no.: | S-DRP-01-16 |
| Abstract: | 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. This microstructure will be used by
Longitude Inc.'s clients to transact derivatives on economic statistics,
weather, insurance losses and other types of risks. JPMorgan Chase and
Deutsche Bank are some of the financial institutions that will be
holding parimutuel auctions in early 2002. |
| URI: | http://hdl.handle.net/2451/26904 |
| Appears in Collections: | Derivatives Research
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