We deal with the pricing of callable Russian options. A callable Russian option is a contract in which both of the seller and the buyer have the rights to cancel and to exercise at any time, respectively. The pricing of such an option can be formulated as an optimal stopping problem between the seller and the buyer, and is analyzed as Dynkin game. We derive the value function of callable Russia...

The risk of supply disruption increases as firms seek to procure from cheaper, but unproven, suppliers. We model a supply chain consisting of a single buyer and two suppliers, both of whom compete for the buyer’s order and face risk of supply disruption. One supplier is comparatively more reliable but also more expensive, while the other unreliable one is cheaper and faces higher risk of disrup...

This research develops a causal-predictive model for predicting the supplier performance due to buyer-initiated supplier process improvement (SPI). SPI is one type of supply chain collaboration that focuses on process improvement. It is a common practice in supply chains that are driven by a powerful buyer firm. Drawing upon the supply chain management and process improvement literature, we rel...

This paper explores the interplay between choice of investment type (speci…c vs. general), bargaining extensive form and endogenous outside options in the framework of incomplete contracts introduced formally in the work of Grossman, Hart and Moore. We …nd that the bargaining procedure chosen has signi…cant implications for choice of investment and for the usefulness of the assignment of proper...

This paper analyzes the e¤ects of buyer and seller risk aversion in …rst and secondprice auctions. The setting is the classic one of symmetric and independent private values, with ex ante homogeneous bidders. However, the seller is able to optimally set the reserve price. In both auctions the seller’s optimal reserve price is shown to decrease in his own risk aversion, and more so in the …rst-p...

A two period bargaining model with asymmetric information is considered. An uninformed seller charges a uniform price to two buyers. A risk averse seller offers a larger price cut in period two when one buyer remains in the market than when two buyers remain. The price in period one is sensitive to the number of buyers and the seller’s degree of risk aversion. The initial price charged to a sin...

We investigate a model in which one seller and one buyer trade in each of two periods. The buyer has demand for one unit of a non-durable object per period. The buyer’s reservation value for the good is private information and is the same in both periods. The seller commits to prices in each of two periods. Prices in the second period may depend on the buyer’s first-period behavior. Unlike the ...

This paper studies the optimality of securitized debt when information acquisition is endogenous and exible. A seller designs an asset backed security and a buyer decides whether to buy it to provide liquidity. Rather than treating the seller as an insider endowed with information, we assume no information asymmetry before bargaining. The buyer has an expertise in acquiring information of the f...

Name-Your-Own-Price is a popular interactive pricing mechanism in Electronic Commerce that lets both, buyer and seller, influence the price of a product. At the outset, a seller defines a secret threshold price indicating the minimum price he is willing to sell the product for. Subsequently, a buyer is asked to place a bid indicating her willingness-to-pay for the product offered. If the bid va...

Among the means of implementing dynamic pricing strategies in e-commerce, online bargaining is found to be better than revenue management and online auction, because each deal actually reaches a “win-win” situation for both the buyer and the seller in the sense that the mutually agreed deal price is higher than the seller’s reserved price but lower than the buyer’s reserved price. Such feature ...