کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
957352 | 928523 | 2007 | 17 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Selling options Selling options](/preview/png/957352.png)
Contracts often take the form of options: oil fields can be abandoned, planning permission may go unused, and acquired firms can be liquidated. We consider a seller who auctions a dynamic option among N agents. After the auction, the economy evolves and the winning bidder chooses both if and when to execute the option. The revenue-maximising auction consists of an up-front bid and a contingent fee, where the latter is chosen in a Pigouvian manner, so the winning agent's choice of exercise time maximises the seller's revenue. This contingent payment is time- and state-invariant, so the seller does not have to observe post-auction information in order to implement the optimal auction. The revenue-maximising mechanism induces a dynamic distortion: the option is exercised later than under the comparable welfare-maximising mechanism.
Journal: Journal of Economic Theory - Volume 136, Issue 1, September 2007, Pages 324–340