A moment matching method for option pricing under stochastic interest rates
Sign Up to like & getrecommendations! Published in 2021 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2624
Abstract: In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black \& Scholes market characterized by stochastic interest rates. The method, based on a straightforward Gaussian moment… read more here.
Keywords: pricing; moment matching; interest; option ... See more keywords
Pricing Basket Spread Option Under the Correlated Skew Brownian Motions
Sign Up to like & getrecommendations! Published in 2025 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.70040
Abstract: In this article, we propose synthetic analytical approximate pricing formulas for basket and basket spread options within a multidimensional correlated skew Brownian motion framework. For basket options, we derive two analytical approximate pricing formulas by… read more here.
Keywords: skew brownian; basket spread; basket; correlated skew ... See more keywords
The Common Ratio Effect in Choice, Pricing, and Happiness Tasks
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DOI: 10.1002/bdm.2017
Abstract: The Allais common ratio effect is one of the most robust violations of rational decision making under risk. In this paper, we conduct a novel test of the common ratio effect in which we elicit… read more here.
Keywords: common ratio; happiness; pricing; ratio effect ... See more keywords
Illuminating the Pricing Kernels: Short‐Term and Long‐Term Index Option Returns
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DOI: 10.1002/fut.70016
Abstract: The shape of the pricing kernel has important implications for expected option returns. We shed light on the pricing kernel puzzle (i.e., mixed results regarding the shape of the pricing kernel) by examining S&P 500… read more here.
Keywords: pricing; term; option returns; index ... See more keywords
Incentives to implement personalized medicine under second-best pricing.
Sign Up to like & getrecommendations! Published in 2022 at "Health economics"
DOI: 10.1002/hec.4588
Abstract: We characterize the socially optimal pricing policy inducing the implementation of personalized medicine. As a benchmark, we analyze the first-best allocation and the second-best optimal policy when only one treatment is available. Then, we characterize… read more here.
Keywords: pricing; second best; policy; personalized medicine ... See more keywords
Personalized Pricing of an e‐Tailer in the Presence of Identity Management
Sign Up to like & getrecommendations! Published in 2025 at "Managerial and Decision Economics"
DOI: 10.1002/mde.4520
Abstract: Advanced information technology allows e‐tailers to impose personalized pricing based on consumer information. However, consumers generally have an aversion to price discrimination and someone even strategically bypasses the tailored price by identity management. This paper… read more here.
Keywords: identity management; tailer; personalized pricing; pricing ... See more keywords
Updating pricing rules
Sign Up to like & getrecommendations! Published in 2018 at "Economic Theory"
DOI: 10.1007/s00199-018-1125-9
Abstract: This paper studies the problem of updating the super-replication prices of arbitrage-free finite financial markets with a frictionless bond. Any super-replication price is a pricing rule represented as the support function of some polytope of… read more here.
Keywords: updating pricing; pricing rule; pricing; pricing rules ... See more keywords
Weak time-derivatives and no-arbitrage pricing
Sign Up to like & getrecommendations! Published in 2018 at "Finance and Stochastics"
DOI: 10.1007/s00780-018-0371-9
Abstract: We prove a risk-neutral pricing formula for a large class of semimartingale processes through a novel notion of weak time-differentiability that permits to differentiate adapted processes. In particular, the weak time-derivative isolates drifts of semimartingales… read more here.
Keywords: time; pricing; time derivatives; weak time ... See more keywords
Existence and characterization of optimal dynamic pricing strategies with reference-price effects
Sign Up to like & getrecommendations! Published in 2020 at "Central European Journal of Operations Research"
DOI: 10.1007/s10100-019-00645-w
Abstract: In this paper, we revisit the problem of existence of an optimal dynamic pricing strategy when the demand depends on a reference price. Using alternative assumptions and technique to those typically used in the literature,… read more here.
Keywords: pricing; price; optimal dynamic; existence ... See more keywords
Pricing strategy and system performance in a cloud-based manufacturing system built on blockchain technology
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Intelligent Manufacturing"
DOI: 10.1007/s10845-020-01548-3
Abstract: Blockchain technology has been enjoying rapid development in numerous areas where trust, safety, and global payments are deemed important. In this research, we introduce a framework that integrates blockchain technology with the emerging concept of… read more here.
Keywords: system; blockchain technology; cloud; manufacturing ... See more keywords
Optimal pricing and sourcing strategies in the presence of supply uncertainty and competition
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Intelligent Manufacturing"
DOI: 10.1007/s10845-020-01557-2
Abstract: The implementation of cost leadership strategy can enable enterprises to obtain a lasting competitive advantage. In this paper, we construct a supply chain with two competing suppliers and two competing manufacturers. The suppliers act as… read more here.
Keywords: supply; sourcing strategies; dual sourcing; pricing ... See more keywords