Option Value and Bargaining Power

[9422830]在经济学中，很少有概念像做多市场的交易者从交易中获得的收益很少这样直观。在经典的单次交易博弈中，相同的买家都对一种不可分割的同质商品有单位需求，面对相同的卖家，每个卖家都有一个单位的商品可供出售，如果买家数量超过卖家，那么任何从交易中获得收益的结果都会被买家的更高出价所削弱，否则买家就会被冻结。按照同样的逻辑，如果卖者多于买者，那么卖者就会不断压低报价，直到卖者从交易中获得的所有收益被消除。但这一经典结果是脆弱的，因为当从卖者多于买者转为买者多于卖者时，均衡会突然改变，而市场制度只会在买者和卖者数量相等的非常特殊的情况下影响交易收益的分配。本研究的贡献在于将经典的单次交易博弈扩展到新交易者随机到来的无限视界环境中。这种概括不仅为背景增添了现实性，还以一种直观且吸引人的方式软化了脆弱的“全有或全无”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结构。当代理商大幅打折时，现货市场的不平衡程度在决定均衡贸易条件方面起着核心作用，而当代理商有耐心时，市场人口结构是最重要的。考虑了几个定价机构，并确定了发布价格的市场侧的增量价值。在一个简单的动态调整过程中，可以计算出市场“修正”的预期持续时间。

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.