Performance bounds on optimal fixed prices

نویسندگان

چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Performance bounds on optimal fixed prices

We consider the problem of selling a fixed stock of items over a finite horizon when the buyers arrive following a Poisson process. We obtain a general lower bound on the performance of using a fixed price rather than dynamically adjusting the price. The bound is 63.21% for one unit of inventory, and it improves as the inventory increases. For the one-unit case, we also obtain tight bounds: 89....

متن کامل

On Optimal Scarcity Prices

This article contributes to the debate of missing money (e.g. Joskow(2007)) which has seriously questioned the desirability of caps on scarcity prices in markets with fluctuating demand by emphasizing their potentially negative impact on firms investment decisions in the long run. A prominent example are recently liberalized electricity markets, where competition authorities have imposed caps i...

متن کامل

Static arbitrage bounds on basket option prices

We consider the problem of computing upper and lower bounds on the price of an European basket call option, given prices on other similar options. Although this problem is hard to solve exactly in the general case, we show that in some instances the upper and lower bounds can be computed via simple closed-form expressions, or linear programs. We also introduce an efficient linear programming re...

متن کامل

Optimal Bounds on Tail Probabilities

The required number of references for the reorganization process under CS to approach the optimum within 1 + : The ratio between a Chebyshev-based bound and the stopping point in Theorem 7. The required number of references for the reorganization process under CS to approach the optimum within 1 + : The ratio between a Hoeeding-based bound and the stopping point in (1.22). 22 The Laplace transf...

متن کامل

Static versus Dynamic Arbitrage Bounds on Multivariate Option Prices

We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multivariate generalization of the [BS73] model. While there is no gap between these two sets of prices in the univariate case, we observe here that contrary to our intuition about model risk for at-the-money calls, there is a somewhat l...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Operations Research Letters

سال: 2013

ISSN: 0167-6377

DOI: 10.1016/j.orl.2013.06.013