For the optimum price problem of charging for effluent, this paper analyzes the optimal Pigovian Tax and the serious information asymmetry problem existing in the application process of optimal Pigovian Tax, which is ...For the optimum price problem of charging for effluent, this paper analyzes the optimal Pigovian Tax and the serious information asymmetry problem existing in the application process of optimal Pigovian Tax, which is predominant in theory. Then the bilevel system optimizing decision-making theory is applied to give bilevel linear programming decision-making model of charging for effluent, in which the government (environmental protection agency) acts as the upper level decision-making unit and the polluting enterprises act as the lower level decision-making unit. To some extent, the model avoids the serious information asymmetry between the government and the polluting enterprises on charging for effluent.展开更多
Considering a periodic review system where the online seller allows the customers to pay when the products are delivered to them(referred as cash-on-delivery payment scheme in this paper),the authors investigate the s...Considering a periodic review system where the online seller allows the customers to pay when the products are delivered to them(referred as cash-on-delivery payment scheme in this paper),the authors investigate the seller's joint pricing and inventory control policy with a finite planning horizon.In particular,the authors incorporate the customers' possible order cancellation behavior with the cash-on-delivery scheme.It can be proven that the base-stock list price policy is optimal under mild conditions.The authors also analyze the impact of the customers' forward looking behavior on the optimal policy.展开更多
This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization framework.Under the assumption that the option can be ...This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization framework.Under the assumption that the option can be continuously traded without friction just as the stock,a dynamic relationship between their optimal positions is derived by using the stochastic dynamic programming techniques.The dynamic option pricing equations are also established.In particular,the properties of the associated solutions are discussed and their explicit representations are demonstrated via the Feynman-Kac formula.This paper further compares the dynamic option price to the existing price notions,such as the marginal price and indifference price.展开更多
基金the National Social Science Foundation of China(Grant No.04BJY026).
文摘For the optimum price problem of charging for effluent, this paper analyzes the optimal Pigovian Tax and the serious information asymmetry problem existing in the application process of optimal Pigovian Tax, which is predominant in theory. Then the bilevel system optimizing decision-making theory is applied to give bilevel linear programming decision-making model of charging for effluent, in which the government (environmental protection agency) acts as the upper level decision-making unit and the polluting enterprises act as the lower level decision-making unit. To some extent, the model avoids the serious information asymmetry between the government and the polluting enterprises on charging for effluent.
基金supported by the National Natural Science Foundation of China under Grant Nos.71201175,71301032,and 71171088Guangdong Natural Science Foundation under Grant Nos.S2011040001069 and S2012040008081Guangdong Educational Bureau Humanity&Social Science Fund under Grant No.2013WYXM0001
文摘Considering a periodic review system where the online seller allows the customers to pay when the products are delivered to them(referred as cash-on-delivery payment scheme in this paper),the authors investigate the seller's joint pricing and inventory control policy with a finite planning horizon.In particular,the authors incorporate the customers' possible order cancellation behavior with the cash-on-delivery scheme.It can be proven that the base-stock list price policy is optimal under mild conditions.The authors also analyze the impact of the customers' forward looking behavior on the optimal policy.
基金supported by the National Basic Research Program of China(973 Program)under Grant No.2007CB814901the National Natural Science Foundation of China under Grant Nos.11101215 and 61304065the Program of Natural Science Research of Jiangsu Higher Education Institutions of China under GrantNo.12KJB110011
文摘This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization framework.Under the assumption that the option can be continuously traded without friction just as the stock,a dynamic relationship between their optimal positions is derived by using the stochastic dynamic programming techniques.The dynamic option pricing equations are also established.In particular,the properties of the associated solutions are discussed and their explicit representations are demonstrated via the Feynman-Kac formula.This paper further compares the dynamic option price to the existing price notions,such as the marginal price and indifference price.
