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Abstract: In designing a derivative contract, an exchange carefully considers how its attributes affect the expected profits of its members. On November 3, 1997, the Chicago Mercantile Exchange halved the denomination of its S&P 500 futures contract and doubled its tick size, providing a rare opportunity to examine empirically the search for an optimal contract design. This paper measures changes in the trading environment that occurred after the changes were made. We find that the contract redesign... (Update)
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BibTeX entry: (Update)
@misc{ bollen-optimal,
author = "Nicholas P. B. Bollen and Tom Smith and Robert E. Whaley",
title = "Optimal Contract Design: For Whom?",
url = "citeseer.ist.psu.edu/bollen01optimal.html" }
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