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Do Residential Customers Respond to Hourly Prices? Evidence from a Dynamic Pricing Experiment
Hourly Prices Dynamic Pricing Experiment
2015/7/31
Widespread participation of retail electricity
consumers in short-term wholesale electricity
markets throughout the United States is rapidly
becoming technologically feasible. A number
of juri...
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Pricing options illiquid assets liquid proxies utility indifference dynamic-static hedging
2012/6/4
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
The premium of dynamic trading
Continuous time portfolio selection mean–variance efficiency Sharperatio
2010/11/1
It is well established that in a market with inclusion of a risk-free asset the singleperiod
mean–variance efficient frontier is a straight line tangent to the risky region, a
fact that is the very ...
Dynamic Price Sequence and Incentive Compatibility
Dynamic Price Sequence Incentive Compatibility
2012/11/29
We introduce and study a new auction model in which a certain type of goods is offered over a period of time, and buyers arrive at different times and stay until a common deadline (unless their purcha...