Related papers: Option Pricing with Delayed Information
We develop a model for pricing, lead-time quotation and delay compensation in a Markovian make-to-order production or service system with strategic customers who exhibit risk aversion. Based on a concave utility function of their net…
We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent…
We prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered are markets with proportional transaction costs and the illiquid markets. The dual representation for the…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
In this paper we examine a multivariate risk model, with common renewal counting process, constant interest rate, and each claim vector is accompanied by a random number of delayed claim vectors. The interest is focused on the asymptotic…
In the accompanied paper [14], a delayed nonlinear model for pricing corporate liabilities was developed. Using self-financed strategy and duplication we were able to derive two Random Partial Differential Equations (RPDEs) describing the…
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…
We investigate an infinite-horizon average reward Markov Decision Process (MDP) with delayed, composite, and partially anonymous reward feedback. The delay and compositeness of rewards mean that rewards generated as a result of taking an…
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of…
We study repeated bilateral trade where an adaptive $\sigma$-smooth adversary generates the valuations of sellers and buyers. We provide a complete characterization of the regret regimes for fixed-price mechanisms under different feedback…
In this paper, we aim to obtain the optimal delay-power tradeoff and the corresponding optimal scheduling policy for an arbitrary i.i.d. arrival process and adaptive transmissions. The number of backlogged packets at the transmitter is…
Reliable automated driving technology is challenged by various sources of uncertainties, in particular, behavioral uncertainties of traffic agents. It is common for traffic agents to have intentions that are unknown to others, leaving an…
The definitions of delayed mutual information and multi-information are recalled. It is shown how the delayed mutual information may be used to reconstruct the interaction topology resulting from some unknown scale-free graph with its…
We study the dynamic pricing problem with knapsack, addressing the challenge of balancing exploration and exploitation under resource constraints. We introduce three algorithms tailored to different informational settings: a Boundary…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
Preference elicitation explicitly asks users what kind of recommendations they would like to receive. It is a popular technique for conversational recommender systems to deal with cold-starts. Previous work has studied selection bias in…
Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differential equation smoothing techniques, we prove that the…
Many service systems use technology to notify customers about their expected waiting times or queue lengths via delay announcements. However, in many cases, either the information might be delayed or customers might require time to travel…
We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of…
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a…