Option Value and Bargaining Power

期权价值和议价能力

• 批准号: 9422830
• 负责人: Curtis Taylor
• 金额: $ 5.08万
• 依托单位: Texas A&M Research Foundation
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1995
• 资助国家: 美国
• 起止时间: 1995-04-01 至 1997-09-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9422830&HistoricalAwards=false
• 关键词: Option; Value; Bargaining; Power

9422830 Taylor Few concepts in economics are as intuitive as the idea that traders on the long side of a market receive little of the gains from trade. In the classic one-shot trading game in which identical buyers each with unit demands for an indivisible homogenous good face identical sellers each with one unit of the good for sale, if buyers outnumber sellers then any outcome that confers gains from trade to a buyer will be undercut by higher bids from the buyers who would otherwise be frozen out. By the same logic if sellers outnumber buyers, then sellers will keep making lower offers until all gains from trade for the sellers have been eliminated. But this classic result is brittle because the equilibrium abruptly changes when moving from more sellers than buyers to more buyers than sellers and market institutions affect the distribution of the gains from trade only in the very special case in which the number of buyers and sellers is equal. The contribution of this research will be to extend the classic one-shot trading game to an infinite horizon environment with stochastic arrival of new traders. This generalization not only lends realism to the setting but it softens the brittle "all-or-nothing" equilibrium outcome in an intuitive and appealing way. Preliminary findings indicate that the equilibrium terms of trade depend both on spot market conditions and market demographics. When agents discount heavily, the degree of imbalance in the spot-market plays the central role in determining the equilibrium terms of trade, and when agents are patient, market demographics are paramount. Several pricing institutions are considered, and the incremental value to the side of the market which posts prices is identified. Under a simple dynamic adjustment process, the expected duration of a market "correction" can be calculated.

9422830 Taylor 经济学中很少有概念比市场多头交易者从交易中获得的收益很少这样直观。 在经典的一次性交易游戏中，每个买家对不可分割的同质商品都有单位需求，而每个买家都拥有一个单位待售商品，如果买家数量超过卖家，那么任何为买家带来贸易收益的结果都将被买家更高的出价所削弱，否则买家将被冻结。 按照同样的逻辑，如果卖家数量超过买家，那么卖家将继续提供更低的报价，直到卖家从交易中获得的所有收益都被消除。 但这一经典结果是脆弱的，因为当从卖方多于买方转向买方多于卖方时，均衡会突然发生变化，并且市场制度仅在买方和卖方数量相等的非常特殊的情况下才会影响贸易收益的分配。 这项研究的贡献是将经典的一次性交易游戏扩展到新交易者随机到来的无限视野环境中。 这种概括不仅给场景增添了现实感，而且以直观和吸引人的方式软化了脆弱的“全有或全无”的平衡结果。 初步研究结果表明，均衡贸易条件取决于现货市场条件和市场人口统计数据。 当代理商大幅折扣时，现货市场的不平衡程度在决定贸易均衡条件方面发挥着核心作用，而当代理商有耐心时，市场人口统计数据至关重要。 考虑了多个定价机构，并确定了发布价格的市场一侧的增量价值。 在简单的动态调整过程下，可以计算出市场“修正”的预期持续时间。