Related papers: A lattice framework for pricing display advertisem…
Advertising options have been recently studied as a special type of guaranteed contracts in online advertising, which are an alternative sales mechanism to real-time auctions. An advertising option is a contract which gives its buyer a…
In this paper, we price European Call three different option pricing models, where the volatility is dynamically changing i.e. non constant. In stochastic volatility (SV) models for option pricing a closed form approximation technique is…
We consider a novel pricing and advertising framework, where a seller not only sets product price but also designs flexible 'advertising schemes' to influence customers' valuation of the product. We impose no structural restriction on the…
Display advertising has traditionally been sold via guaranteed contracts -- a guaranteed contract is a deal between a publisher and an advertiser to allocate a certain number of impressions over a certain period, for a pre-specified price…
While page views are often sold instantly through real-time auctions when users visit websites, they can also be sold in advance via guaranteed contracts. In this paper, we present a dynamic programming model to study how an online…
In sponsored search, advertisement (abbreviated ad) slots are usually sold by a search engine to an advertiser through an auction mechanism in which advertisers bid on keywords. In theory, auction mechanisms have many desirable economic…
This paper presents a new model for options pricing. The Black-Scholes-Merton (BSM) model plays an important role in financial options pricing. However, the BSM model assumes that the risk-free interest rate, volatility, and equity premium…
There are two major ways of selling impressions in display advertising. They are either sold in spot through auction mechanisms or in advance via guaranteed contracts. The former has achieved a significant automation via real-time bidding…
Real-time bidding (RTB) has become a major paradigm of display advertising. Each ad impression generated from a user visit is auctioned in real time, where demand-side platform (DSP) automatically provides bid price usually relying on the…
Display advertising is an important online advertising type where banner advertisements (shortly ad) on websites are usually measured by how many times they are viewed by online users. There are two major channels to sell ad views. They can…
We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…
Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing…
The real-time bidding (RTB), aka programmatic buying, has recently become the fastest growing area in online advertising. Instead of bulking buying and inventory-centric buying, RTB mimics stock exchanges and utilises computer algorithms to…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…
Online advertising platforms must decide how to allocate multiple ads across limited screen real estate, where each ad's effectiveness depends not only on its own placement but also on nearby ads competing for user attention. Such spatial…
We present an adaptive approach for valuing the European call option on assets with stochastic volatility. The essential feature of the method is a reduction of uncertainty in latent volatility due to a Bayesian learning procedure. Starting…
This paper presents a marketing analytics framework that operationalizes subscription pricing as a dynamic, guardrailed decision system, uniting multivariate demand forecasting, segment-level price elasticity, and churn propensity to…
In this paper, we propose a stochastic model to describe how search service providers charge client companies based on users' queries for the keywords related to these companies' ads by using certain advertisement assignment strategies. We…
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…
The display advertising industry has recently transitioned from second- to first-price auctions as its primary mechanism for ad allocation and pricing. In light of this, publishers need to re-evaluate and optimize their auction parameters,…