Showing 1 - 7 of 7
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...
Persistent link: https://www.econbiz.de/10010263054
It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of bounded variation and that a superhedge is possible if upper bounds on the volatility of the relevant processes are available, cf. El Karoui, Jeanblanc-Picque and Shreve (1998)...
Persistent link: https://www.econbiz.de/10010263067
In this paper, the effects of so-called model misspecification and the effects of dropping the assumption that continuous rebalancing is possible are examined. Strategies which are robust if applied continuously fail to be robust if applied in discrete time. Therefore, the hedging bias which...
Persistent link: https://www.econbiz.de/10010263078
Persistent link: https://www.econbiz.de/10001828712
Persistent link: https://www.econbiz.de/10001645751
Persistent link: https://www.econbiz.de/10001825459
Persistent link: https://www.econbiz.de/10001825761