Related papers: American Options with Asymmetric Information and R…
Can stated preferences inform counterfactual analyses of actual choice? This research proposes a novel approach to researchers who have access to both stated choices in hypothetical scenarios and actual choices, matched or unmatched. The…
We consider a model of oligopolistic competition in a market with search frictions, in which competing firms with products of unknown quality advertise how much information a consumer's visit will glean. In the unique symmetric equilibrium…
When human agents come together to make decisions, it is often the case that one human agent has more information than the other. This phenomenon is called information asymmetry and this distorts the market. Often if one human agent intends…
We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and…
A variational inequality for pricing the perpetual American option and the corresponding difference equation are considered. First, the maximum principle and uniqueness of the solution to variational inequality for pricing the perpetual…
We analyze a problem of revealed preference given state-dependent stochastic choice data in which the payoff to a decision maker (DM) only depends on their beliefs about posterior means. Often, the DM must also learn about or pay attention…
An agent has access to multiple information sources, each of which provides information about a different attribute of an unknown state. Information is acquired continuously -- where the agent chooses both which sources to sample from, and…
In the context of a general semimartingale model of a complete market, we aim at answering the following question: How much is an investor willing to pay for learning some inside information that allows to achieve arbitrage? If such a value…
We develop a practical framework for identifying and quantifying the hidden layers of risks and optionality embedded in American options by introducing stochasticity into one or more of their underlying determinants. The heuristic approach…
Bidding is a key element of search advertising, but the variation in bidders' valuations and strategies is often overlooked. Disclosing bid information helps uncover this heterogeneity and enables platforms to tailor their disclosure…
An agent acquires information dynamically until her belief about a binary state reaches an upper or lower threshold. She can choose any signal process subject to a constraint on the rate of entropy reduction. Strategies are ordered by "time…
This work addresses the buyer's inspection paradox for information markets. The paradox is that buyers need to access information to determine its value, while sellers need to limit access to prevent theft. To study this, we introduce an…
In this paper, we define a new total order on R^N and use this order together with backward stochastic viability property(for short BSVP) to study the property of the generator of backward stochastic differential equation(for short BSDE)…
The model of a side information "vending machine" accounts for scenarios in which acquiring side information is costly and thus should be done efficiently. In this paper, the three-node cascade source coding problem is studied under the…
In the recent paper \cite{DESZ}, the notion of $\mathscr{Y}^{g,\xi}$-submartingale processes has been introduced. Within a jump-diffusion model, we prove here that a process $X$ which satisfies the simultaneous…
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…
Conflicts of interest often arise between data sources and their users regarding how the users' information needs should be interpreted by the data source. For example, an online product search might be biased towards presenting certain…
This paper mainly discusses the American option's hedging strategies via binomialmodel and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small…
We study a single-buyer pricing problem with unreliable side information, motivated by the increasing use of AI-assisted decision-making and LLM-based predictions. The seller observes a private sample that may be either accurate (coinciding…
We introduce a fully probabilistic framework of consumer product choice based on quality assessment. It allows us to capture many aspects of marketing such as partial information asymmetry, quality differentiation, and product placement in…