Armantier O., Florens J-P., and J-F. Richard, "Approximation of Nash 
Equilibria in Bayesian Games", Journal of Applied Econometrics, Vol. 23, 
No. 7, 2008, pp. 965-981.

In addition to this one, there are five files. Each contains a program
coded in FORTRAN 77. All of these are ASCII files in DOS format, and they
are zipped together in the file afr-progs.zip. Unix users should use
"unzip -a".

The program data_sym_asym.f should be run first to generate the simulated
points for the symmetric and the asymmetric examples.

The program data_multi.f should be run first to generate the simulated
points for the multi_unit example.

The file sym.f contains the code for the symmetric auction example (Figure 1
in the paper).

The file asym.f contains the code for the asymmetric auction example (Figure
2 in the paper).

The file multi.f contains the code for the multi-unit auction example
(Figure 3 in the paper).

Note that all these programs require the mathematical library IMSL.
Additional examples, relying on readily available numerical routines, are
available on one of the authors' website at:

http://www.sceco.umontreal.ca/liste_personnel/armantier/index.htm.