We provide a thorough analysis of the path-dependent volatility model introduced by Guyon proving existence and uniqueness of a strong solution, characterising its behaviour at boundary points, providing asymptotic closed-form option prices as well as deriving small-time behaviour estimates

In a recurring auction early bids may reveal bidders' types, which in turn affects bidding in later auctions. Bidders take this into account and may bid in a way that conceals their private information until the last auction is played. The present paper analyzes the equilibrium of a sequence of...

In this paper we investigate whether markets with heterogeneous network externalities can belocked-in by old technologies even if superior technologies are available. Heterogeneous networkexternalities are present when some consumers care more about the size of the market share of agood than...