Related papers: The Pricing Mechanism of Contingent Claims and its…
This paper studies the valuation of European contingent claims with short selling bans under the equal risk pricing (ERP) framework proposed in Guo and Zhu (2017) where analytical pricing formulae were derived in the case of monotonic…
We consider a periodical equilibrium pricing problem for multiple firms over a planning horizon of T periods. At each period, firms set their selling prices and receive stochastic demand from consumers. Firms do not know their underlying…
In this paper, we obtain a comparison theorem and a invariant representation theorem for backward stochastic differential equations (BSDEs) without any assumption on the second variable $z$. Using the two results, we further develop the…
We consider dynamic pricing algorithms as applied to the online set cover problem. In the dynamic pricing framework, we assume the standard client server model with the additional constraint that the server can only place prices over the…
We develop a theory of bid and ask price dynamics where the two prices form due to interaction of buy and sell orders. In this model the two prices are represented by eigenvalues of a 2x2 price operator corresponding to "bid" and "ask"…
Dynamic pricing is commonly used to regulate congestion in shared service systems. This paper is motivated by the fact that in the presence of users with varying price sensitivity (responsiveness), conventional monotonic pricing can lead to…
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…
Control reserves are power generation or consumption entities that ensure balance of supply and demand of electricity in real-time. In many countries, they are operated through a market mechanism in which entities provide bids. The system…
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the…
The Gaussian process (GP) regression model is a widely employed surrogate modeling technique for computer experiments, offering precise predictions and statistical inference for the computer simulators that generate experimental data.…
We propose a scenario-oriented approach for energy-reserve joint procurement and pricing for electricity market. In this model, without the empirical reserve requirements, reserve is procured according to all possible contingencies and…
A seller wants to sell a good to a set of bidders using a credible mechanism. We show that when the seller has private information about her cost, it is impossible for a static mechanism to achieve the optimal revenue. In particular, even…
We address a dynamic pricing problem for airlines aiming to maximize expected revenue from selling cargo space on a single-leg flight. The cargo shipments' weight and volume are uncertain and their precise values remain unavailable at the…
Motivated by posted price auctions where buyers are grouped in an unknown number of latent types characterized by their private values for the good on sale, we investigate revenue maximization in stochastic dynamic pricing when the…
The aim of this paper is to introduce a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general c{\`a}dl{\`a}g martingales. When the martingale is a standard Brownian motion,…
In this paper we extend the definition of time conditional G-expectations $\mathbb{\hat{E}}_{t}[\cdot]$ to a larger domain on which the dynamical consistency still holds. In fact we can consistently define, by taking the limit, the time…
A system of dynamically consistent nonlinear evaluation (${\cal{F}}$-evaluation) provides an ideal characterization for the dynamical behaviors of risk measures and the pricing of contingent claims. The purpose of this paper is to study the…
We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller's price of a…
This paper develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend…
Option pricing in real markets faces fundamental challenges. The Black--Scholes--Merton (BSM) model assumes constant volatility and uses a linear generator $g(t,x,y,z)=-ry$, while lacking explicit behavioral factors, resulting in systematic…