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Common-Value Auctions with Liquidity Needs: An Experimental Test of a Troubled Assets Reverse Auction
Liquidity Needs reverse auction
2015/9/18
We report the results of an experimental test of alternative auction designs suitable for pricing
and removing troubled assets from banks’ balance sheets as part of the financial rescue
planned by...
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Pricing options illiquid assets liquid proxies utility indifference dynamic-static hedging
2012/6/4
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
We propose the development of a prediction market for forecasting prices for “toxic assets” to be transferred from Irish banks to the National Asset Management Agency (NAMA). Such a market allows mark...