TY - GEN
T1 - Using priced options to solve the exposure problem in sequential auctions
AU - Mous, Lonneke
AU - Robu, Valentin
AU - La Poutré, Han
PY - 2010
Y1 - 2010
N2 - This paper studies the benefits of using priced options for solving the exposure problem that bidders with valuation synergies face when participating in multiple, sequential auctions. We consider a model in which complementary-valued items are auctioned sequentially by different sellers, who have the choice of either selling their good directly or through a priced option, after fixing its exercise price. We analyze this model from a decision-theoretic perspective and we show, for a setting where the competition is formed by local bidders, that using options can increase the expected profit for both buyers and sellers. Furthermore, we derive the equations that provide minimum and maximum bounds between which a synergy buyer's bids should fall in order for both sides to have an incentive to use the options mechanism. Next, we perform an experimental analysis of a market in which multiple synergy bidders are active simultaneously.
AB - This paper studies the benefits of using priced options for solving the exposure problem that bidders with valuation synergies face when participating in multiple, sequential auctions. We consider a model in which complementary-valued items are auctioned sequentially by different sellers, who have the choice of either selling their good directly or through a priced option, after fixing its exercise price. We analyze this model from a decision-theoretic perspective and we show, for a setting where the competition is formed by local bidders, that using options can increase the expected profit for both buyers and sellers. Furthermore, we derive the equations that provide minimum and maximum bounds between which a synergy buyer's bids should fall in order for both sides to have an incentive to use the options mechanism. Next, we perform an experimental analysis of a market in which multiple synergy bidders are active simultaneously.
UR - http://www.scopus.com/inward/record.url?scp=77956108589&partnerID=8YFLogxK
U2 - 10.1007/978-3-642-15237-5_3
DO - 10.1007/978-3-642-15237-5_3
M3 - Conference contribution
AN - SCOPUS:77956108589
SN - 3642152368
SN - 9783642152368
T3 - Lecture Notes in Business Information Processing
SP - 29
EP - 45
BT - Agent-Mediated Electronic Commerce and Trading Agent Design and Analysis - AAMAS Workshop, AMEC 2008, and AAAI Workshop, TADA 2008, Revised Selected Papers
PB - Springer
T2 - 10th Workshop on Agent-Mediated Electronic Commerce, AMEC-X, Co-located with AAMAS 2008 and the 6th Workshop on Trading Agent Design and Analysis, TADA, Co-located with AAAI 2008
Y2 - 14 July 2008 through 14 July 2008
ER -