Responsive pricing under supply uncertainty

Consider a retailer orders a seasonal product from a supplier and sells the product over a selling season. While the product demand is known to be a linear function of price, the supply yield is uncertain and is distributed according to a general discrete probability distribution. This paper presents a two-stage stochastic model for analyzing two pricing policies: No Responsive Pricing and Responsive Pricing. Under the No Responsive Pricing policy, the retailer would determine the order quantity and the retail price before the supply yield is realized. Under the Responsive Pricing policy, the retailer would specify the order quantity first and then decide on the retail price after observing the realized supply yield. Therefore, the Responsive Pricing policy enables the retailer to use pricing as a response mechanism for managing uncertain supply. Our analysis suggests that the retailer would always obtain a higher expected profit under the Responsive Pricing policy. In addition to examining the impact of yield distribution and system parameters on the optimal order quantities, retail prices, and profits under these two pricing policies, we analyze two issues arising from responsive pricing. The first issue deals with the case in which the retailer can place an emergency order with an alternative source after observing the realized yield, while the second issue deals with a situation in which the retailer has to allocate his order among multiple suppliers.     

Duality in option pricing based on prices of other derivatives

We clarify a financial meaning of duality in the semi-infinite programming problem which emerges in the context of determining a derivative price range based only on the no-arbitrage assumption and the observed prices of other derivatives. The interpretation links studies in the above context to studies in stochastic models.     

The double marginalization problem of transfer pricing: Theory and experiment

In this paper, we find that the idea of using optional two-part tariffs as a basis for tariff renegotiations in a bilaterally monopoly setting is a solution to the double marginalization problem that theoretically (1) creates a stable equilibrium, (2) at the overall efficient level, (3) without the presence of a central management. Through experimental testing, we find that the efficiency of this mechanism is significantly higher than the efficiency of simple direct negotiation, both under symmetrically and asymmetrically distributed information.     

Multiple Priors and Asset Pricing

The asset pricing implications of a statistical model consistent with multiple priors, or beliefs about return distributions, are developed. It is shown that quite generally equilibrium differences in mean returns across priors are to be explained in terms of perceived risk differences between these priors. Advances in filtering theory are employed on time series data to filter all the multiple state conditional components of risks and rewards. It is then observed that excess return differentials across priors are broadly consistent with required risk compensations under these priors, though the sharp hypothesis of zero intercept and unit slope is rejected. The filtered results also deliver numerous other interesting statistics. Here we focus on the construction of long horizon return distributions from data on daily returns using a Markov chain approach to incorporate stochasticity in elementary risk characterizations like volatility, skewness and kurtosis.      

组合证券保险在我国的一种可行方法

介绍组合证券保险及其基本方法，详细分析我国目前唯一可行的方法-利用动态套期保值创造合成期权，用我国炉市1998年和1997年的据进行实证检验，将资金在组合证券和国债间合理分配，并随着指数的变化追踪调查，从而达到预期目标，说明组合证券保险如何在不限制盈利的同时规避风险。     

利率风险与或有权益定价

应用无差异方法研究不完全市场中或有权益的保值和定价问题,并证明了或有权益的价格不仅依赖于或有权益的不可复制部分,而且受利率风险的影响．在最优保值意义下利率风险分解为可控风险和不可控风险．利率的可控风险与资本市场波动有关,可通过套期保值方法避免,可能产生正、零或负的期望收益．利率的不可控风险与资本市场波动无关,无法对冲,而且带来正的期望收益．利率风险的分解有助于更准确地解释或有权益的价格-它受利率的不可控风险影响,而与可控风险无关．当利率的不可控收益与或有权益的不可复制部分正(负)相关时,或有权益的不可复制部分的风险越大导致或有权益的价格越高(低)．     

Convergence of Utility Indifference Prices to the Superreplication Price: the Whole Real Line Case

A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the whole real line. Under suitable conditions we prove that, whenever their absolute risk-aversion tends to infinity, the respective utility indifference prices of a given bounded contingent claim converge to the superreplication price. We also prove that there exists an accumulation point of the optimal strategies’ sequence which is a superhedging strategy.     

Multiclass multicriteria mixed equilibrium on networks and uniform link tolls for system optimum

In this paper, we consider a unified framework of multiclass multicriteria mixed equilibrium, and the existence of uniform link tolls supporting such a mixed equilibrium as a system optimum. The network users are divided into different classes, and each class of traveler perceives his/her disutility associated with a route as a combination of two criteria given, respectively, by the travel time disutility and the time-irrelevant travel disutility. And users in a common class follow either user equilibrium (UE) principle or Cournot–Nash (CN) principle. A variational inequality model characterizing the multiclass multicriteria UE–CN mixed equilibrium behavior is developed. By utilizing the dual theory, we establish the existence of uniform link tolls supporting such mixed equilibrium as a system optimum.     

Zero-Level Pricing and the HARA Utility Functions

In the mathematical economics literature, the zero-level pricing method has been proposed to provide a unique price for a nonmarketable new asset. From the viewpoint of robust pricing theory, its disadvantage is that the method depends on the investor utility function and initial wealth. In some situations, the zero-level price is universal, namely, independent of the utility function and initial wealth. We show that only one parameter of the HARA (hyperbolic absolute risk aversion) utility function affects the zero-level price of a new asset. This implies that, if this parameter is fixed, the zero-level price is identical for all individuals with HARA utility functions and different levels of initial wealth. This research was partially supported by Grant NSC 95-2221-E-155-049.     

马氏需求和随机供应下的订货和定价问题

考虑到零售商的固定订货费用以及在供应商供货不确定因素的影响下,研究了零售商的联合定价和订货问题.在一定的条件下,以极大化销售周期中的利润为准则,证明了零售商联合订货和定价最优策略的存在性,并且得到了最优策略具有$(s,S,p)$的结构.分析了供货的不确定性对最优策略的影响,特别是零售商所获得的最大利润与得到供货的概率成正比的关系,即每阶段得到货的概率越大,零售商获得的利润越多.