Articles scientifiques

Analytical solutions for the pricing of American bond and yield options

R. Elliott, R. Gibson, M. CHESNEY

Mathematical Finance

juillet 1993, vol. 3, n°3, pp.277-294

Départements : Finance


Asset Markets and the Information Revealed by Prices

P. Siconolfi, H. M. POLEMARCHAKIS

Economic Theory

1993, n°3

Départements : Finance


Asymétries d'information et marchés financiers : une synthèse de la littérature récente

T. FOUCAULT, B. BIAIS

L'Actualité Economique

mars 1993, vol. 69

Départements : Finance, GREGHEC (CNRS)


Competitive Equilibria Without Free Disposal or Nonsatiation

P. Siconolfi, H. M. POLEMARCHAKIS

Journal of Mathematical Economics

1993, n°22

Départements : Finance


Cournot Competition, Forward Markets and Efficiency

B. ALLAZ, J. Vila

Journal of Economic Theory

février 1993, vol. 59, n°1, pp.1-16

Départements : Finance, GREGHEC (CNRS)


We build a model with two Cournot duopolists who produce at Time 0 wich is the date at which all demand is realized. N periods before time 0, the duopolists trade on a forward market for delivery at Time 0. Having made these contracts, they trade again at time ( ? N + 1) for delivery at Time 0. etc. We show that, in equilibrium, each of them will sell forward which makes them worse off and makes consumers better off than if the forward market did not exist. When N, the number of forward trading periods prior to production, tends to infinity, the outcome tends to the competitive solution


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