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Strategic design under uncertain evaluations: structural analysis of design‐build auctions
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Hidenori Takahashi 《The Rand journal of economics》2018,49(3):594-618
I investigate firms' competition over price and product design under uncertain design evaluations in the context of Design‐Build (DB) auctions. Reviewers' design evaluations contain uncertainty from a bidder's perspective, leading luck to dampen differences in the firms' chances of winning. I model bidders' behavior and show semiparametric identification of the model primitives. Uncertain design evaluations increase the expected price of design quality and exacerbate an auctioneer's uncertainty in auction outcomes. These effects are mostly due to changes in bidding strategies. Bid ranking swaps due to uncertain evaluations account for a small share of these effects. 相似文献
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Takaoka (Asia–Pacific Financial Markets 11:431–444, 2004) proposed a generalization of the Black–Scholes stock price model by taking a weighted average of geometric Brownian motions of different variance parameters. The model can be classified as a local volatility model, though its local volatility function is not explicitly given. In the present paper, we prove some properties concerning the instantaneous volatility process, the implied volatility curve, and the local volatility function of the generalized model. Some numerical computations are also carried out to confirm our results. 相似文献
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Hidenori Futami 《Asia-Pacific Financial Markets》2009,16(4):347-369
In this paper, we extend the one-factor, single regime shift, affine term structure model with time-dependent regime-shift
probability to a multi-factor model. We model the nominal interest rate and the expected inflation rate, and estimate the
term structure of the real interest rate in the Japanese government bond market using inflation-indexed bond data under zero
interest rates. Incorporating the economic structure that the Bank of Japan terminates the zero interest rate when the expected
inflation rate gets out of deflationary regime, we estimate the yield curve of the real interest rate for less than 10 years,
consistent with the expectation of the market participants in the Japanese government bond market, where inflation-indexed
bonds are traded for only around 10 years. 相似文献
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