Related papers: Pricing average price advertising options when und…

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…

There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we introduce a new pricing formula which can…

Causally identifying the effect of digital advertising is challenging, because experimentation is expensive, and observational data lacks random variation. This paper identifies a pervasive source of naturally occurring, quasi-experimental…

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…

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…

Advertisement (abbreviated ad) options are a recent development in online advertising. Simply, an ad option is a first look contract in which a publisher or search engine grants an advertiser a right but not obligation to enter into…

American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale…

In this paper, we analyze a natural learning algorithm for uniform pacing of advertising budgets, equipped to adapt to varying ad sale platform conditions. On the demand side, advertisers face a fundamental technical challenge in automating…

Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…

Ad exchanges are becoming an increasingly popular way to sell advertisement slots on the internet. An ad exchange is basically a spot market for ad impressions. A publisher who has already signed contracts reserving advertisement…

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…

We consider an online ad network problem in which an ad exchange auctions ad slots and intermediaries called demand side platforms (DSPs) buy these ad slots for their clients (advertisers). An intermediary represents multiple advertisers.…

We present a model of digital advertising with three key features: (i) advertisers can reach consumers on and off a platform, (ii) additional data enhances the value of advertiser-consumer matches, and (iii) bidding follows auction-like…

We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for…

In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the…

With the emergence of new online channels and information technology, digital advertising tends to substitute more and more to traditional advertising by offering the opportunity to companies to target the consumers/users that are really…

The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…

Given a finite set of European call option prices on a single underlying, we want to know when there is a market model which is consistent with these prices. In contrast to previous studies, we allow models where the underlying trades at a…

Online advertising is progressively moving towards a programmatic model in which ads are matched to actual interests of individuals collected as they browse the web. Letting the huge debate around privacy aside, a very important question in…

Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…