Related papers: Option Pricing with Delayed Information
This paper considers the problem of predicting the number of events that have occurred in the past, but which are not yet observed due to a delay. Such delayed events are relevant in predicting the future cost of warranties, pricing…
Online learning with delayed feedback has received increasing attention recently due to its several applications in distributed, web-based learning problems. In this paper we provide a systematic study of the topic, and analyze the effect…
We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our…
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…
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…
In opinion dynamics, time delays in agent-to-agent interactions are ubiquitous, which can substantially disrupt the dynamical processes rooted in agents' opinion exchange, decision-making, and feedback mechanisms. However, a thorough…
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…
We study the impacts of incomplete information on centralized one-to-one matching markets. We focus on the commonly used Deferred Acceptance mechanism (Gale and Shapley, 1962). We show that many complete-information results are fragile to a…
Online advertising platforms use automated auctions to connect advertisers with potential customers, requiring effective bidding strategies to maximize profits. Accurate ad impact estimation requires considering three key factors: delayed…
The objective is to develop a general stochastic approach to delays on financial markets. We suggest such a concept in the context of large platonic markets, which allow infinitely many assets and incorporate a restricted information…
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the…
We study dynamic pricing where a seller repeatedly interacts with a strategic, non-myopic buyer who has a fixed private valuation and discounts future utility. Prior work focused exclusively on posted-price mechanisms, which only extract…
We study the effect of communication delays on distributed consensus algorithms. Two ways to model delays on a network are presented. The first model assumes that each link delivers messages with a fixed (constant) amount of delay, and the…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
We study the upper hedging price for contingent claims in market models with strong types of arbitrage: increasing profit, strong arbitrage, and arbitrage of the first kind. The existence of arbitrage may make the price smaller than if it…
This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-indifference prices for buyers and sellers in continuous time,…
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support…
We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options with convex payoffs in terms of prices of call options with…
A method to estimate the time-dependent correlation via an empirical bias estimate of the time-delayed mutual information for a time-series is proposed. In particular, the bias of the time-delayed mutual information is shown to often be…