Optimal Innovation of Futures Contracts
成果类型：
Article
署名作者：
Duffie, Darrell; Jackson, Matthew O.
署名单位：
Stanford University; Northwestern University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/2.3.275
发表日期：
1989
页码：
275
关键词：
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.