Option pricing in a privacy-aware market

In a privacy-aware market a producer may satisfy the demand by end customers either by producing itself the items or by placing the items provided by privacy-aware suppliers at a reduced price. Price-aware suppliers provide a noisy information about their level of stock. Through an option contract the producer may protect itself against the risk of buying also the excess items delivered by privacy-aware suppliers. We provide a formula for the option price, which is found to be somewhat larger than the cost of the declared excess items.