Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Rosário, J. & Amaro de Matos, J. (2002). Market power and the feedback effects from hedging derivatives. International Journal of Theoretical and Applied Finance. 5 (8), 845-875
Exportar Referência (IEEE) 
J. F. Rosário and J. A. Matos,  "Market power and the feedback effects from hedging derivatives", in Int. Journal of Theoretical and Applied Finance, vol. 5, no. 8, pp. 845-875, 2002
Exportar BibTeX 
@article{rosário2002_1732445051586,
	author = "Rosário, J. and Amaro de Matos, J.",
	title = "Market power and the feedback effects from hedging derivatives",
	journal = "International Journal of Theoretical and Applied Finance",
	year = "2002",
	volume = "5",
	number = "8",
	doi = "10.1142/S0219024902001766",
	pages = "845-875",
	url = "http://www.worldscientific.com/worldscinet/ijtaf"
}
Exportar RIS 
TY  - JOUR
TI  - Market power and the feedback effects from hedging derivatives
T2  - International Journal of Theoretical and Applied Finance
VL  - 5
IS  - 8
AU  - Rosário, J.
AU  - Amaro de Matos, J.
PY  - 2002
SP  - 845-875
SN  - 0219-0249
DO  - 10.1142/S0219024902001766
UR  - http://www.worldscientific.com/worldscinet/ijtaf
AB  - In this paper we model how the transaction of derivatives affects the price process of the underlying asset, considering the existence of a few agents with market power and a population of liquidity traders. This setting generates an equilibrium bid-ask spread for the underlying asset. The resulting feedback effect of hedging strategies is shown to depend on what type of agent more actively hedges. We also characterize how the feedback effect is lessened as the number of market-makers increases.
ER  -