Pricing strategies for information goods

Digital or information goods are becoming the norm across a wide variety of industries including books, music, entertainment, gaming and education. Due to the fact that the marginal cost of producing or reproducing information goods is very low, it is much easier to customise and personalise them for individual users. Furthermore, sellers of these information goods are increasingly using bundling and versioning strategies to appropriate a greater share of the surplus. This paper examines recent research on pricing of information goods with particular focus on customisation, bundling and versioning strategies adopted by information goods providers. The paper highlights both game-theoretic as well as optimisation models that not only provide different perspectives, but also examine issues of information goods pricing at different levels of abstraction and complexity.     

Option pricing under the Merton model of the short rate

Previous option pricing research typically assumes that the risk-free rate or the short rate is constant during the life of the option. In this study, we incorporate the stochastic nature of the short rate in our option valuation model and derive explicit formulas for European call and put options on a stock when the short rate follows the Merton model. Using our option model as a benchmark, our numerical analysis indicates that, in general, the Black–Scholes model overvalues out-of-the-money calls, moderately overvalues at-the-money calls, and slightly overvalues in-the-money calls. Our analysis is directly extensible to American calls on non-dividend-paying stocks and to European puts by virtue of put-call parity.     

A wise cost-effective supplying bandwidth policy for multilayer wireless cognitive networks

Inventory management is one of the most important research areas in Operations Research and Logistics. It mainly aims to efficiently manage inventories at different facilities (for example, warehouses and plants in Supply Chains (SCs)), minimizing the total cost and satisfying the service levels. Some exact inventories management approaches are successfully proposed and applied to different real scenarios, traditionally related to the SCs, even if the extreme versatility of these techniques could make them attractive to new challenging scenarios such as those related to telecommunications networks. Starting from this vision, the focus of this paper is to show the new benefits of applying an adaptive period inventory management policy to a wireless cognitive telecommunication scenario in which radio transmission resources are treated as short-term life time goods which supplies wisely in order to maximize both economic profit and quality of service offered to wireless users. The system behavior is tested using an agent-based simulator and computational results show that introducing this wise control on the bandwidth supplying mechanism guarantees a more reactive and effective telecommunication network, reaching a good compromise between the total profit and the service levels.     

A game-theoretic analysis of denial of service attacks in wireless random access

In wireless access, transmitter nodes need to make individual decisions for distributed operation and do not necessarily cooperate with each other. We consider a single-receiver random access system of non-cooperative transmitters with the individual objectives of optimizing their throughput rewards, transmission energy costs and delay costs. The non-cooperative transmitter behavior may be purely selfish or may also reflect malicious objectives of generating interference to prevent the successful transmissions of the other nodes as a form of denial of service attack. Our goal is to evaluate the interactions between selfish and malicious nodes that have the dual objectives of optimizing their individual performance measures and blocking the packet transmissions of the other selfish nodes. We assume saturated packet queues of infinite buffer capacities and consider a general multi-packet reception channel that allows packet captures in the presence of simultaneous transmissions. In this context, we formulate a non-cooperative random access game of selecting the individual probabilities of transmitting packets to a common receiver. We derive the non-cooperative transmission strategies in Nash equilibrium. The analysis provides insights for the optimal strategies to block random access of selfish nodes as well as the optimal defense mechanisms against the possible denial of service attacks of malicious nodes in wireless networks. The results are also compared with the cooperative equilibrium strategies that optimize the total system utility (separately under random access and scheduled access). A pricing scheme is presented to improve the non-cooperative operation. For distributed implementation, we formulate a repeated game of the best-response strategy updates and introduce adaptive heuristics (based on the channel feedback only) provided that the system parameters are not explicitly known at the individual transmitters.

全球液化天然气贸易趋势分析

价格高企、未来供需状况的不确定性和对定价权的争夺是2006年上半年全球液化天然气贸易中出现的3大特点。中国需要在今后重点关注印尼、伊朗和美国LNG产业的发展动向,加大加快向国际上游风险勘探的步伐,以顺应世界产业环境的变化。     

Zur empirischen Identifikation von Risikofaktoren bei Modellen der Arbitrage Pricing Theory

Zusammenfassung In jüngerer Zeit werden in zunehmendem Maße Ansätze der Arbitrage Pricing Theory im praktischen Portfoliomanagement eingesetzt. Eine wichtige Klasse stellen die fundamentalen Faktoren-Modelle dar, bei denen unternehmensspezifische Variablen, wie z.B. Kurs/Gewinn-Verhältnis, Quotient aus Buch- und Marktwert, Dividendenrendite, Unternehmensgröße, historische Betas, als bewertungsrelevante Risikofaktoren vorab spezifiziert und in einem statistischen Querschnittsregressionsmodell empirisch auf Signifikanz geprüft werden. Eine andere Klasse von APT-Ansätzen spezifiziert die Faktoren durch makroökonomische Variablen, z.B. Inflationsrate, Zins oder Ölpreis. In einem ersten Schritt werden anhand von Zeitreihenregressionen die Sensitivitälen (Faktor-Betas) bezüglich der makroökonomischen Faktoren geschätzt, im zweiten Schritt wird die Querschnittsbeziehung zwischen Renditen und Sensitivitäten analysiert. Die zu den statistisch signifikanten Sensitivitäten gehörenden makroökonomischen Variablen werden als bewertungsrelevant angesehen. Im vorliegenden Beitrag wird gezeigt, daß eine derartige Vorgehensweise in aller Regel nicht gerechtfertigt ist und zu unzutreffenden Schlußfolgerungen in bezug auf die Bewertungsrelevanz der Risikofaktoren führen kann. Es zeigt sich, daß die den empirischen Tests zugrundeliegende Bewertungsgleichung im allgemeinen unsystematisches Risiko enthält. Als Folge davon sind sämtliche Schätzungen der Regressionskoeffizienten in der Querschnittsregression verzerrt. Damit sind die Beurteilung der Signifikanz der in den Ansatz aufgenommenen Variablen und der Versuch, die Faktoren empirisch zu identifizieren, nicht mehr möglich. Ferner wird gezeigt, daß auch in dem unrealistischen Fall einer exakten Faktorbewertung ohne unsystematisches Risiko die den Renditegenerierungsprozeß determinierenden Faktoren bekannt sein müssen. Dies steht jedoch exakt im Widerspruch zu den im Portfoliomanagement eingesetzten Ansätzen, die die bewertungsrelevanten Risikofaktoren auf empirischem Weg anhand eines statistischen Querschnittsmodells identifizieren möchten.Für hilfreiche Hinweise zu einer früheren Fassung dieses Aufsatzes möchten wir zwei anonymen Gutachtern danken.     

依据电信资费原理分析计费数据模型设计

电信网络是一种集成网络,可以提供多种具有不同网络特性的应用和服务,这对电信运营商产品资费模型及计费数据模型的设计也提出了更高的要求。究竟要从哪些角度考虑资费结构及其影响因素,在网络资源有限的情况下,如何制定资费策略以实现阻塞控制,提高网络使用效率,实现利润最大化,如何设计灵活的计费数据模型,成为电信运营商关注的首要问题。本文从电信资费基本原理出发,对以上问题进行了探讨,从而为电信运营商设计灵活的计费数据模型提供了参考。     

对民爆产品价格管制的再认识

民爆产品的价格管制,造成了民爆市场上的价格扭曲。本文研究发现,当上游产品价格平稳时,民爆企业对产品市场竞争不敏感,当新一轮通货膨胀来临时,企业便在痛苦中挣扎。在民爆行业的制度环境下,要实现民爆市场的有序竞争,必须放松价格管制。引进价格竞争机制,优胜劣汰才能成为可能,市场机制才能够在资源配置中真正起到基础性作用。     

Pricing commodities

How should a seller price her goods in a market where each buyer prefers a single good among his desired goods, and will buy the cheapest such good, as long as it is within his budget? We provide efficient algorithms that compute near-optimal prices for this problem, focusing on a commodity market, where the range of buyer budgets is small. We also show that our LP rounding based technique easily extends to a different scenario, in which the buyers want to buy all the desired goods, as long as they are within budget.     

The value of modeling with reference effects in stochastic inventory and pricing problems

We analyze a periodic review inventory system in which the random demand is contingent on the current price and the reference price. The reference price captures the price history and acts as a benchmark against which the current price is compared. The randomness is due to additive and multiplicative random terms. The objective is to maximize the discounted expected profit over the selling horizon by dynamically deciding on the optimal pricing and replenishment policy for each period. We study three key issues using numerical computation and simulation. First, we study the effects of reference price mechanism on the total expected profit. It is shown that high dependence on a good history increases the profit. Second, we investigate the value of dynamic programming and show that the firm that ignores the dynamic structure suffers from the revenue. Third, we analyze the value of estimating the correct demand model with reference effects. We observe that this value is significant when the inventory related costs are low.