This article reveals that the intensity of search determines whether illiquid currency options trade at premia or at discounts. For options in a standalone search market, illiquidity leads to price premia, as intermediating dealers, who are presumably short in the equilibrium, demand additional compensation. With the presence of listed options at exchanges, illiquidity results in price discounts, as dealers provide concessions for customers’ alternative trading opportunities. The presence of substitutes changes the market outcome. Illiquidity premia and discounts coexist in a sufficiently one-sided market.

中文翻译：

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场外市场的期权流动性不足


本文揭示了搜索的强度决定了非流动性货币期权是否以溢价或折价进行交易。对于独立搜索市场中的期权，流动性不足会导致价格溢价，因为可能在均衡中短缺的中间交易商会要求额外补偿。由于交易所存在上市期权，流动性不足导致价格折扣，因为交易商为客户的替代交易机会提供让步。替代品的存在改变了市场结果。非流动性溢价和折价在一个足够一边倒的市场中并存。