Damage measures in securities fraud cases are very imprecise because they are based on security price changes that reflect both the correction of previous misrepresentation and other independent information. Consequently, potential plaintiffs have a valuable “free option” to decide whether or not to file suit, and average damage awards are greater than actual damages, much greater when markets ...

In this paper we present a novel option pricing mechanism for reducing the exposure problem encountered by bidders with complementary valuations when participating in sequential, second-price auction markets. Existing option pricing models have two main drawbacks: they either apply a fixed exercise price, which may deter bidders with low valuations, thereby decreasing allocative efficiency, or ...

<p style='text-indent:20px;'>This paper examines a newsvendor problem for fresh produce with bidirectional option contracts, in which the stochastic demand is price-dependent. The option, may be exercised as either call or put provides flexibility to increase decrease initial order after real realized, respectively. condition of deteriorate during circulation. optimal and pricing decision...

I n this paper, we study a single-product periodic-review inventory system that faces random and price-dependent demand. The firm can purchase the product either from option contracts or from the spot market. Different option contracts are offered by a set of suppliers with a two-part fee structure: a unit reservation cost and a unit exercising cost. The spot market price is random and its real...

We propose a control variate method with multiple controls to effectively reduce variances of Monte Carlo simulations for pricing European options under multifactor stochastic volatility models. Based on an application of Ito’s formula, the option price is decomposed by its discounted payoff and stochastic integrals with the appearance of gradients of the unknown option price with respect to st...

B options allow bidders to instantly purchase at a specified price an item listed for sale through an online auction. A temporary buyout option disappears once a regular bid is submitted, whereas a permanent option remains available until it is exercised or the auction ends. Such buyout price may be static and remain constant throughout the auction, or dynamic and vary as the auction progresses...

Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option. It develops some of their basic properties, including price transitivity law, indistinguishability results, convergence results, and, in relation to nonnegati...