Arbeitspapier
Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
We consider a standard two-player all-pay auction with private values, where the valuation for the object is private information to each bidder. The crucial feature is that one bidder is favored by the allocation rule in the sense that he need not bid as much as the other bidder to win the auction. Analogously, the other bidder is handicapped by the rule as overbidding the rival may not be enough to win the auction. Clearly, this has important implications on equilibrium behavior. We fully characterize the equilibrium strategies for this auction format and show that there exists a unique pure strategy Bayesian Nash Equilibrium.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bonn Econ Discussion Papers ; No. 13/2002
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Incomplete markets
model misspecification
trading restrictions
hedging
super-hedging
martingale measure
duplication costs
Optionspreistheorie
Hedging
Strategie
Modell-Spezifikation
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dudenhausen, Antje
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Bonn, Bonn Graduate School of Economics (BGSE)
- (wo)
-
Bonn
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Dudenhausen, Antje
- University of Bonn, Bonn Graduate School of Economics (BGSE)
Entstanden
- 2002
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