We show that a multiple-unit descending-price auction in which the clock is not reset after each sale may be faster and yield more stable prices than an efficient alternative, thus providing sellers a rationale for using it in practice.

In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite difference scheme to exact solutions of the pricing PDE. This...