Selling options

DOI10.1016/j.jet.2006.08.005zbMath1281.91152MaRDI QIDQ2455665

Simon Board

Publication date: 26 October 2007

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2006.08.005

zbMATH Keywords

options; optimal stopping; auctions; mechanism design

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91B26: Auctions, bargaining, bidding and selling, and other market models

Related Items

Computing a mechanism for a Bayesian and partially observable Markov approach, Optimal procurement and investment in new technologies under uncertainty, When (and how) to favor incumbents in optimal dynamic procurement auctions, Introduction to symposium on dynamic contracts and mechanism design, Optimal stopping with private information, Revenue management by sequential screening, Dynamic revenue maximization: a continuous time approach, Multidimensional auctions for long-term procurement contracts with early-exit options: the case of conservation contracts, A Markovian Stackelberg game approach for computing an optimal dynamic mechanism, Security bid auctions for agency contracts

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