Uniqueness of the reserve price with asymmetric bidders

Download

811-5184-1-PB.pdf

Date

2016-8

Author

Günay, Hikmet
Meng, Xin
Nagelberg, Mark

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

274
views

83
downloads

We analyze the optimal reserve price in a second price auction when there are 𝑁 types of bidders whose valuations are drawn from different distribution functions. The seller cannot determine the specific “distribution type” of each bidder. In this paper, we give sufficient conditions for the uniqueness of the optimal reserve price. Then, we give sufficient conditions that ensure the seller will not use a reserve price; hence, the auction will be efficient.

Subject Keywords

Auction, Reserve (Reservation) Price, Asymmetric Bidders

URI

http://www2.feas.metu.edu.tr/metusd/ojs/index.php/metusd/article/view/811
https://hdl.handle.net/11511/58193

Journal

ODTÜ Gelişme Dergisi

Collections

Department of Economics, Article

Suggestions

OpenMETU
Core

Optimal Liquidation with Conditions on Minimum Price Mervan, Aksu; Sezer, Ali Devin; Department of Financial Mathematics (2022-9-1) The classical optimal trading problem is the closure of an initial position q_0 in a financial asset over a time interval [0 T]; the trader tries to maximize an expected utility under the constraint q_T = 0, which is the liquidation constraint. Given that the trading takes place in a stochastic environment, the constraint q_T=0 may be too restrictive; the trader may want to relax this constraint or slow down/stop trading depending on price behavior. The goal of this thesis is the formulation and a study of ...
Local volatility model applied to BIST30 european warrants: pricing and hedging Kirazoğlu, Zekiye Sıla; Sezer, Ali Devin; Department of Financial Mathematics (2016) One of the basic observations on pricing options is that the assumption of constant volatility does not agree with data and market price data gives a volatility smile that depends on maturities and strike prices. The ﬁrst model that developed to be compatible with this observation is the local volatility model. The purpose of this work is to study the performance of the local volatility model on BIST30 warrants and compare it to the standard Black Scholes model. To estimate the local volatility model from d...
Monotonicity of Liquidity sensitive Option Prices with respect to Market Liquidity Parameters Kuş, Selin Özlem; Sezer, Ali Devin; Department of Financial Mathematics (2022-2-18) Classical option pricing models assume that market prices of traded securities are given and independent of the actions of the traders. Recently, a number of option pricing models emerged where the impact of hedging transactions on prices of the traded securities is also taken into account in the pricing of the option. In this term project we study one of these models proposed by Gueant and Pu that is based on the optimal liquidation framework of Almgren and Chriss. The model includes the price impact of th...
Stochastic Models Forpricing And Hedging Derivatives İn Incomplete Makets: Structure, Calibration, Dynamical Programming, Risk Optimization Tezcan, Cihangir(2009-09-30) THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial assets and derivative instruments determine the price as the fair value. The latter is defined as a unique arbitrage free price in a complete market. It is determined as expected value of the corresponding discounted payoff w.r.t. to a unique equivalent martingale measure (EMM). This method essentially relies on the assumption that that the market is complete, such that the buyer price and seller price match exa...
Application of stochastic volatility models with jumps to BIST options Rahiminejat, Monireh; Sezer, Ali Devin; Department of Financial Mathematics (2017) This thesis gives a derivation of call and put option pricing formulas under stochastic volatility models with jumps; the precise model is a combination of Merton and Heston models. The derivation is based on the computation of the characteristic function of the underlying process. We use the derived formulas to fit the model to options written on two stocks in the BIST30 index covering the first two months of 2017. The fit is done by minimizing a weighted $L_2$ distance between the observed prices and the ...

Citation Formats

H. Günay, X. Meng, and M. Nagelberg, “Uniqueness of the reserve price with asymmetric bidders,” ODTÜ Gelişme Dergisi, vol. 43, no. 2, pp. 497–506, 2016, Accessed: 00, 2020. [Online]. Available: http://www2.feas.metu.edu.tr/metusd/ojs/index.php/metusd/article/view/811.