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Consumption-Based CAPM and Option Pricing under Jump-Diffusion Uncertainty
Kusuda, Koji - 2003
In Kusuda [45], we developed equilibrium analysis in security market economy with jump-Wiener information where no finite number of securities can complete markets. Assuming approximately complete markets (Björk et al. [11] [12]) in which a continuum of bonds are traded and any contingent claim...
Persistent link: https://www.econbiz.de/10010263367
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Cooperation, Competition, and Welfare in a Matching Market
Bester, Helmut; Sákovics, József - 2022
We investigate the welfare effect of increasing competition in an anonymous two-sided matching market, where matched … pairs play an infinitely repeated Prisoner's Dilemma. Higher matching efficiency is usually considered detrimental as it … creates stronger incentives for defection. We point out, however, that a reduction in matching frictions also increases …
Persistent link: https://www.econbiz.de/10014467786
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Cooperation, competition, and welfare in a matching market
Bester, Helmut; Sákovics, József - 2022
We investigate the welfare effect of increasing competition in an anonymous two-sided matching market, where matched … pairs play an infinitely repeated Prisoner's Dilemma. Higher matching efficiency is usually considered detrimental as it … creates stronger incentives for defection. We point out, however, that a reduction in matching frictions also increases …
Persistent link: https://www.econbiz.de/10013333575
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Jump bidding and budget constraints in all-pay auctions and wars of attrition
Dekel, Eddie; Jackson, Matthew O.; Wolinsky, Asher - 2007
We study all-pay auctions (or wars of attrition), where the highest bidder wins an object, but all bidders pay their bids. We consider such auctions when two bidders alternate in raising their bids and where all aspects of the auction are common knowledge including bidders.valuations. We analyze...
Persistent link: https://www.econbiz.de/10010266326
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An Evolutionary Approach to Congestion
Sandholm, William H. - 1997
Using techniques from evolutionary game theory, we analyze potential games with continuous player sets, a class of games which includes a general model of network congestion as a special case. We concisely characterize both the complete set of Nash equilibria and the set of equilibria which are...
Persistent link: https://www.econbiz.de/10012236010
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Existence, Uniqueness, and Determinacy of Equilibria in Complete Security Markets with Infinite Dimensional Martingale Generator
Kusuda, Koji - 2002
There is a strong evidence that most of financial variables are better described by a combination of difusion and jump processes. Considering such evidence, researchers have studied security market models with jumps, in particular, in the context of option pricing. In most of their models, jump...
Persistent link: https://www.econbiz.de/10010263366
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On the smoothness of value functions
Strulovici, Bruno; Szydlowski, Martin - 2012
We prove that under standard Lipschitz and growth conditions, the value function of all optimal control problems for one-dimensional diffusions is twice differentiable, as long as the control space is compact and the volatility is uniformly bounded below, away from zero. Under similar...
Persistent link: https://www.econbiz.de/10010286985
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Correlation of types in Bayesian games
De Castro, Luciano - 2012
Despite their importance, games with incomplete information and dependent types are poorly understood; only special cases have been considered and a general approach is not yet available. In this paper, we propose a new condition (named richness) for correlation of types in (asymmetric) Bayesian...
Persistent link: https://www.econbiz.de/10010352858
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Affiliation, equilibrium existence and revenue ranking of auctions
De Castro, Luciano I. - 2010
Affiliation has been a prominent assumption in the study of economic models with statistical dependence. Despite its large number of applications, especially in auction theory, affiliation has limitations that are important to be aware of. This paper shows that affiliation is a restrictive...
Persistent link: https://www.econbiz.de/10010282914
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Affiliation and dependence in economic models
de Castro, Luciano I. - 2009
Affiliation has been a prominent assumption in the study of economic models with statistical dependence. Despite its large number of applications, especially in auction theory, affiliation has limitations that are important to be aware of. This paper shows that affiliation is a restrictive...
Persistent link: https://www.econbiz.de/10010282939