Priority option pricing in an M/M/m queue |
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| Authors: | Antonios Printezis Apostolos Burnetas |
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| Institution: | a Department of Management, School of Global Management and Leadership, Arizona State University, USA
b Department of Mathematics, University of Athens, Greece |
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| Abstract: | We study a system where the service provider offers priority options. We identify the optimal option pricing policy, by deriving the optimal number a customer would buy and the customer’s exercise policy as a function of system congestion, options remaining, time to expiration and possibility of balking. |
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| Keywords: | Priority pricing Service options Dynamic programming |
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