Selling options

• 成果类型: Article
• 署名作者: Board, Simon
• 署名单位: University of Toronto
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2006.08.005
• 发表日期: 2007
• 页码: 324-340
• 关键词: Auctions; options; optimal stopping; mechanism design

摘要

Contracts often take the form of options: oil fields can be abandoned, planning permission may go unused, and acquired firms can be liquidated. We consider a seller who auctions a dynamic option among N agents. After the auction, the economy evolves and the winning bidder chooses both if and when to execute the option. The revenue-maximising auction consists of an up-front bid and a contingent fee, where the latter is chosen in a Pigouvian manner, so the winning agent's choice of exercise time maximises the seller's revenue. This contingent payment is time- and state- invariant, so the seller does not have to observe post-auction information in order to implement the optimal auction. The revenue -maximising mechanism induces a dynamic distortion: the option is exercised later than under the comparable welfare-maximising mechanism. (C) 2006 Elsevier Inc. All rights reserved.