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Asymptotics of riskless profit under selling of discrete time call options

A. V. Nagaev, S. A. Nagaev (2003)

Applicationes Mathematicae

A discrete time model of financial market is considered. In the focus of attention is the guaranteed profit of the investor which arises when the jumps of the stock price are bounded. The limit distribution of the profit as the model becomes closer to the classic model of geometrical Brownian motion is established. It is of interest that the approximating continuous time model does not assume any such profit.

Auctions with Untrustworthy Bidders

Braynov, Sviatoslav, Pavlov, Radoslav (2007)

Serdica Journal of Computing

The paper analyzes auctions which are not completely enforceable. In such auctions, economic agents may fail to carry out their obligations, and parties involved cannot rely on external enforcement or control mechanisms for backing up a transaction. We propose two mechanisms that make bidders directly or indirectly reveal their trustworthiness. The first mechanism is based on discriminating bidding schedules that separate trustworthy from untrustworthy bidders. The second mechanism is a generalization of...

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