Selling options
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Publication:2455665
DOI10.1016/j.jet.2006.08.005zbMath1281.91152OpenAlexW4242039828MaRDI QIDQ2455665
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
Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items (10)
Computing a mechanism for a Bayesian and partially observable Markov approach ⋮ 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 ⋮ Optimal procurement and investment in new technologies under uncertainty ⋮ A Markovian Stackelberg game approach for computing an optimal dynamic mechanism ⋮ Multidimensional auctions for long-term procurement contracts with early-exit options: the case of conservation contracts ⋮ Security bid auctions for agency contracts
Cites Work
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- Properties of optimal extended-valued stopping rules for S\(_n\)/n
- The one-shot-deviation principle for sequential rationality
- Sequential Screening
- The Role of Information in U.S. Offshore Oil and Gas Lease Auction
- Envelope Theorems for Arbitrary Choice Sets
- Optimal Information Disclosure in Auctions and the Handicap Auction
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