When we studied discrete-time models we used martingale pricing to derive the Black-Scholes formula for European options. It was clear, however, that we could also have used a replicating strategy argument to derive the formula. In this part of the course, we will use the replicating strategy argument in continuous time to derive the Black-Scholes partial differential equation. We will use this...

Previous studies of road congestion pricing problem assume that transportation networks are managed by a central administrative authority with an objective of improving the performance of the whole network. In practice, a transportation network may be comprised of multiple independent local regions with relative independent objectives. In this paper, we investigate the cooperative and competiti...

This paper studies optimal pricing and demand management policies for a firm that faces two streams of order types: one is composed of recurring regular jobs with pre-determined prices (exogenous prices) and the other involves big deals that require pricing proposals (endogenous prices). The probability to secure the big deals diminishes with the quoted price. The authors develop and compare op...

We consider the pricing problem faced by a monopolist who sells a product to a population of consumers over a discrete number of periods. Customers are heterogeneous in both the willingness-to-pay for the product and the arrival time during the selling season. We assume that the seller knows only the support of the customers’ valuations and do not make any other distributional assumptions about...

With the Internet experiencing massive growth, new ways to recover ever rising costs and regulate network usage are becoming increasingly important. Several researchers have proposed pricing strategies and econometric models for regulating resource usage in a globally shared network environment. These approaches can take the form of simple \price setting", or can be more closely integrated with...

We consider the problem of choosing best a set sequential offers proposed by market in house-selling process. During each decision epoch, seller sets listing price, observes and decides whether to accept maximum one or reject all them. model fixed holding cost, which is constant marketing cost searching for buyers, variable that proportional number received during epoch. The objective maximize ...

This article presents a review of the issues associated with a manufacturer’s pricing strategies in a twoechelon supply chain that comprises one manufacturer and two competing retailers, with warranty period-dependent demands. The manufacturer, as a Stackelberg leader, specifies wholesale prices to two competing retailers who face warranty period-dependent demand and have different sales costs....