Related papers: American Options with Asymmetric Information and R…
We study a repeated trading problem in which a mechanism designer facilitates trade between a single seller and multiple buyers. Our model generalizes the classic bilateral trade setting to a multi-buyer environment. Specifically, the…
How do consultants price expertise? This paper studies a problem of selling information products (expertise) to a buyer (client) who faces decision-making problem under uncertainty. The client is privately informed about the type of…
We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…
Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volatility is time dependent, it is not reasonable to assume that…
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…
An informed seller designs a dynamic mechanism to sell an experience good. The seller has partial information about the product match, which affects the buyer's private consumption experience. We characterize equilibrium mechanisms of this…
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…
We explore a model of duopolistic competition in which consumers learn about the fit of each competitor's product. In equilibrium, consumers comparison shop: they learn only about the relative values of the products. When information is…
This paper studies a dynamic model of information acquisition, in which information might be secretly manipulated. A principal must choose between a safe action with known payoff and a risky action with uncertain payoff, favoring the safe…
Critical decisions in hiring, college admissions, and credit lending are guided by predictions made in the presence of uncertainty. While uncertainty imparts errors across all demographic groups, this paper shows that the types of errors…
We consider stopping problems in which a decision maker (DM) faces an unknown state of nature and decides sequentially whether to stop and take an irreversible action; pay a fee and obtain additional information; or wait without acquiring…
In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on fixed point argument, $\theta$-method and truncation…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how…
This paper introduces a dynamic change of measure approach for computing the analytical solutions of expected future prices (and therefore, expected returns) of contingent claims over a finite horizon. The new approach constructs hybrid…
The information investors acquire in asset markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of an asset may reach in the future. This paper explores the market impacts…
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, the indifference price is formulated as a…
In this paper, we study the doubly conditional reflected backward stochastic differential equations (BSDEs), where constraints are made on the conditional expectation of the first component of the solution with respect to a general…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs), called conditional expectation BSDEs, whose drivers depend not only on the value of the solutions but also on their conditional expectations with…
A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-parameter estimation problem, thus justifying calling C…