Understanding and measuring determinants of bid-ask spreads is decisive to clarifying the efficiency of the microstructure of any exchange and general market liquidity. This paper examines the market microstructure of a low liquidity, market maker driven option market, the relations to the underlying securities’ market and the challenges of pricing liquidity. Comparing empirical results with pr...

In order to price commodity derivatives, it is necessary to estimate the market prices of risk as well as the functions of the stochastic processes of the factors in the model. However, the estimation of the market prices of risk is an open question in the jump-diffusion derivative literature when a closed-form solution is not known. In this paper, we propose a novel approach for estimating the...

The purpose of this study is to analyse theoretically the implications of applying the procedure for market delineation used by competition authorities in the EU and in the US. Specifically, we investigate the circumstances under which the procedure will lead to a positive relation between actual market power and the assessed degree of market dominance. Another objective is to test whether the ...

As the title suggests, this paper compares two “formula” or mechanical investment techniques, dollar cost averaging and a relatively new proposal, value averaging, to a form of random investing to determine if any technique yields superior investment performance. Results indicate that value averaging does provide superior expected investment returns when investment prices are quite volatile and...