RESEARCH NOTE: A NOTE ON STOPPING STRATEGY OF AUCTION: MAXIMIZATION SELLER GAIN PERSPECTIVE (p.109119) 

by 

Reza Habibi, Central Bank of Iran 

Keywords : Auction, Binomial tree, Bond, Call option, Stopping strategy 

JEL classification : D44, G11, G12 


Abstract 
In the current paper, the binomial tree is used to derive the optimal stopping time for seller of a commodity in a specified auction. It is assumed that the bids signals have valuable information to make decision about the best time for selling the commodity while using the derived optimal strategy the seller gain is maximized. It is seen that it is the time point at which a portfolio containing a bond and a call option gets its maximum. Some examples are given to show the value of theoretical results. 
