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Bundling As An Optimal Selling Mechanism For A Multiple-Good Monopolist
auctions monopoly pricing price discrimination multi-dimensional mechanism design incentive compatibility adverse selection
2015/9/23
Multiple objects may be sold by posting a schedule consisting of one price for each possible bundle and permitting the buyer to select the price-bundle pair of his choice. We identify conditions that ...
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Variance-optimal hedging Follmer-Schweizer decomposition Levy process Cumulative generating function Characteristic function
2012/6/5
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of in...
Optimal multiple stopping with random waiting times
Optimal multiple stopping swing options random waiting times
2012/6/4
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. ...
Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
Bermudan options Nonparametric regression Boundary condition；Suboptimal stopping rule
2010/11/1
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopp...