We are concerned with the optimal decision to sell or buy a stock in a given period with reference to the ultimate average of the stock price. More precisely, we aim to determine an optimal selling (buying) time to maximize (minimize) the expectation of the ratio of the selling (buying) price to the ultimate average price over the period. This is an optimal stopping time problem which can be fo...

We consider a company selling heterogeneous products where the final price is set by negotiation between sales agents and customers. Negotiation is common in many industries including retail automotive sales, consumer lending, insurance and many business-to-business markets. We assume that each sales agent has a minimum reserve price that he/she will accept and each customer has a maximum willi...

Background material on measure-theoretic probability theory and stochastic calculus is provided in order to clarify notation and inform the reader unfamiliar with these concepts. These fields are then employed in exploring two distinct but related approaches to fair option pricing: developing a partial differential equation whose solution, given specified boundary conditions, is the desired fai...

We develop a tractable uni…ed framework for solving optimal timeand state-dependent price-setting problems. We illustrate our approach by solving a price-setting problem where adjustments are costly, and there are two types of information. One type of information is freely available and ‡ows continuously, while the other type is costly and requires the payment of a lump-sum cost to be obtained....

The disposition effect is a phenomenon in which investors hold onto losing assets longer than they hold onto gaining assets. In this study, we used functional magnetic resonance imaging (fMRI) to measure the response of valuation regions in the brain during the decision to keep or to sell an asset that followed a random walk in price. The most common explanation for the disposition effect is pr...

We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix E onto a non-random vector. The scaling index E models prices of the individual financial assets (stocks, mutual funds, etc.). We find the functional form of the characteristic function of real powers of the price returns a...

Content delivery is a growing enterprise in the Internet. Critical to the management of content delivery systems is understanding customer behavior, its impact on the consumption of system resources and how together, these affect revenue. We believe that price dictates overall customer behavior and that understanding the relationship between price and customer behavior is the key to effective s...

We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent price systems.

Abstract In this paper, we study the pricing of contracts in fixed income markets under volatility uncertainty sense Knightian or model uncertainty. The starting point is an arbitrage-free bond market about modeled by a G -Brownian motion, which drives forward rate dynamics. absence arbitrage ensured drift condition. Such setting leads to sublinear measure for additional contracts, yields eithe...