Imperial College London

Professor Franklin Allen

Business School

Assoc Dean of Faculty & Res/ Dir of Brevan Howard Centre
 
 
 
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Contact

 

+44 (0)20 7594 9195f.allen Website CV

 
 
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Location

 

2.05B52-53 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Allen:1990:10.1007/BF01498458,
author = {Allen, F and Gale, D},
doi = {10.1007/BF01498458},
journal = {The Geneva Papers on Risk and Insurance Theory},
pages = {17--46},
title = {Incomplete markets and incentives to set up an options exchange},
url = {http://dx.doi.org/10.1007/BF01498458},
volume = {15},
year = {1990}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AB - Traditional analyses with incomplete markets take the securities that are traded as exogenous. In this paper we endogenize the market structure by considering incentives to introduce (costly) options exchanges which issue derivative securities. The method of financing the exchange is critical in determining whether the market structure is socially efficient. If the exchange can charge fees to all agents and make every agent's participation a necessary condition for establishing the exchange then the market structure chosen in equilibrium is efficient. However, if either of these conditions is not satisfied then an inefficient market structure may be chosen. © 1990 Kluwer Academic Publishers.
AU - Allen,F
AU - Gale,D
DO - 10.1007/BF01498458
EP - 46
PY - 1990///
SN - 0926-4957
SP - 17
TI - Incomplete markets and incentives to set up an options exchange
T2 - The Geneva Papers on Risk and Insurance Theory
UR - http://dx.doi.org/10.1007/BF01498458
VL - 15
ER -