Related papers: American Options with Asymmetric Information and R…
Evidence-based decision-making entails collecting (costly) observations about an underlying phenomenon of interest, and subsequently committing to an (informed) decision on the basis of accumulated evidence. In this setting, active sensing…
In modern recommender systems, both users and items are associated with rich side information, which can help understand users and items. Such information is typically heterogeneous and can be roughly categorized into flat and hierarchical…
This paper presents the Runge-Kutta-Legendre finite difference scheme, allowing for an additional shift in its polynomial representation. A short presentation of the stability region, comparatively to the Runge-Kutta-Chebyshev scheme…
We study whether a planner can robustly implement a state-contingent social choice function when (i) agents must incur a cost to learn the state and (ii) the planner faces uncertainty regarding agents' preferences over outcomes, information…
The emergent behavior of a distributed system is conditioned by the information available to the local decision-makers. Therefore, one may expect that providing decision-makers with more information will improve system performance; in this…
We consider an environment where players need to decide whether to buy a certain product (or adopt a technology) or not. The product is either good or bad, but its true value is unknown to the players. Instead, each player has her own…
In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers. Our approach relies on approximating the set of uniformly square integrable martingales by a finite…
Consumers are increasingly delegating purchase decisions to AI agents, providing natural-language descriptions of their preferences and identity. We argue that these representations constitute an information channel, role coherence, through…
We study sequential bilateral trade where sellers and buyers valuations are completely arbitrary (i.e., determined by an adversary). Sellers and buyers are strategic agents with private valuations for the good and the goal is to design a…
We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility function at final time T, we obtain an asymptotic expansion of…
Regression plays a key role in many research areas and its variable selection is a classic and major problem. This study emphasizes cost of predictors to be purchased for future use, when we select a subset of them. Its economic aspect is…
A forward-looking agent observes signals of a state that follows a Gaussian AR(1) process. He balances the cost of having imprecise beliefs with the cost of acquiring more precise signals. I characterize his optimal information acquisition…
We consider the question of whether collusion among bidders (a "bidding ring") can be supported in equilibrium of unrepeated first-price auctions. Unlike previous work on the topic such as that by McAfee and McMillan [1992] and Marshall and…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…
We study a class of two-player repeated games with incomplete information and informational externalities. In these games, two states are chosen at the outset, and players get private information on the pair, before engaging in repeated…
We consider the problem of computing the Value Adjustment of European contingent claims when default of either party is considered, possibly including also funding and collateralization requirements. As shown in Brigo et al. (\cite{BLPS},…
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American…
We consider a two-player zero-sum stochastic differential game in which one of the players has a private information on the game. Both players observe each other, so that the non-informed player can try to guess his missing information. Our…
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…