Related papers: American Options with Asymmetric Information and R…
This paper investigates third-degree price discrimination under endogenous market segmentation. Segmenting a market requires access to information about consumers, and this information comes with a cost. I explore the trade-offs between the…
We consider a model of a data broker selling information to a single agent to maximize his revenue. The agent has a private valuation of the additional information, and upon receiving the signal from the data broker, the agent can conduct…
We study what changes to an agent's decision problem increase her value for information. We prove that information becomes more valuable if and only if the agent's reduced-form payoff in her belief becomes more convex. When the…
When an investor is faced with the option to purchase additional information regarding an asset price, how much should she pay? To address this question, we solve for the indifference price of information in a setting where a trader…
We consider two-alternative elections where voters' preferences depend on a state variable that is not directly observable. Each voter receives a private signal that is correlated to the state variable. Voters may be "contingent" with…
Mutual information is commonly used as a measure of similarity between competing labelings of a given set of objects, for example to quantify performance in classification and community detection tasks. As argued recently, however, the…
A decision maker is choosing between an active action (e.g., purchase a house, invest certain stock) and a passive action. The payoff of the active action depends on the buyer's private type and also an unknown state of nature. An…
We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers utility maximisation as a special case. A…
We investigate two-barriers-reflected backward stochastic differential equations with data from rank-based stochastic differential equation. More specifically, we focus on the solution of backward stochastic differential equations…
In many decision-making scenarios, individuals strategically choose what information to disclose to optimize their own outcomes. It is unclear whether such strategic information disclosure can lead to good societal outcomes. To address this…
The plethora of comparison shopping agents (CSAs) in today's markets enables buyers to query more than a single CSA when shopping, and an inter-CSAs competition naturally arises. We suggest a new approach, termed "selective price…
In many sequential decision problems, an agent performs a repeated task. He then suffers regret and obtains information that he may use in the following rounds. However, sometimes the agent may also obtain information and avoid suffering…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for…
Auctions with partially-revealed information about items are broadly employed in real-world applications, but the underlying mechanisms have limited theoretical support. In this work, we study a machine learning formulation of these types…
We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) action space at each time step. By introducing an enlarged…
We propose a constructive framework for the super-hedging problem of a European contingent claim under proportional transaction costs in discrete time. Our main contribution is an explicit recursive scheme that computes both the…
In this work we study the price-hedge issue for general defaultable contracts characterized by the presence of a contingent CSA of switching type. This is a contingent risk mitigation mechanism that allow the counterparties of a defaultable…
I consider the monopolistic pricing of informational good. A buyer's willingness to pay for information is from inferring the unknown payoffs of actions in decision making. A monopolistic seller and the buyer each observes a private signal…
This paper presents a model of costly information acquisition where decision-makers can choose whether to elaborate information superficially or precisely. The former action is costless, while the latter entails a processing cost. Within…