✦ LIBER ✦

The buy price in auctions with discrete type distributions

✍ Scribed by Yusuke Inami

Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 343 KB
Volume: 61
Category: Article
ISSN: 0165-4896
DOI: 10.1016/j.mathsocsci.2010.09.002

No coin nor oath required. For personal study only.

✦ Synopsis

This paper considers second-price, sealed-bid auctions with a buy price where bidders' types are discretely distributed. We characterize all equilibria in which bidders whose types are less than the buy price bid their own valuations. Budish and Takeyama ( 2001) analyze the two-bidder, two-type framework. They show that if bidders are risk-averse, then the seller can obtain a higher expected revenue from the auction with a certain buy price than from the auction without a buy price. We extend their revenue improvement result to the n-bidder, two-type framework. In case of three or more types, however, bidders' risk aversion is not a sufficient condition for a revenue improvement. We point out that even if bidders are risk-averse, the seller cannot always obtain a higher expected revenue from the auctions with a buy price.

📜 SIMILAR VOLUMES

On the generalized A-quadratic mappings

On the generalized A-quadratic mappings associated with the variance of a discrete-type distribution

✍ Kil-Woung Jun; Hark-Mahn Kim 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 207 KB

In this paper, we prove the Hyers-Ulam-Rassias stability of the following generalized quadratic functional equation of Euler-Lagrange type n

Discrete limit distributions in the prob

Discrete limit distributions in the problem of balls falling in cells with arbitrary probabilities

✍ V. P. Chistyakov 📂 Article 📅 1967 🏛 SP MAIK Nauka/Interperiodica 🌐 English ⚖ 205 KB

Approximate MLE's of the parameters of a

Approximate MLE's of the parameters of a discrete Weibull distribution with type I censored data

✍ K.B. Kulasekera 📂 Article 📅 1994 🏛 Elsevier Science 🌐 English ⚖ 190 KB

Pricing American Asian options with high

Pricing American Asian options with higher moments in the underlying distribution

✍ Keng-Hsin Lo; Kehluh Wang; Ming-Feng Hsu 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 515 KB

We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined bi

The moments of ruin time in the classica

The moments of ruin time in the classical risk model with discrete claim size distribution

✍ Philippe Picard; Claude Lefèvre 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 544 KB

Firstly exact simple expressions are given for the moments Mr = Eo(Trl{T<~}) when the initial reserves are equal to zero. Then for positive initial reserves the same moments are expressed very compactly through the Mr's, and the polynomials e,~(O = eXtP(St = n), n = 0, 1 .... In both cases the resul

Pricing European Asian options with skew

Pricing European Asian options with skewness and kurtosis in the underlying distribution

✍ Keng-Hsin Lo; Kehluh Wang; Ming-Feng Hsu 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 336 KB

## Abstract Numerical valuation model is extended for European Asian options while considering the higher moments of the underlying asset return distribution. The Edgeworth binomial lattice is applied and the lower and upper bounds of the option value are calculated. That the error bound in pricing