Pricing Average Price Advertising Options When Underlying Spot Market Prices Are Discontinuous

@article{Chen2019PricingAP,
  title={Pricing Average Price Advertising Options When Underlying Spot Market Prices Are Discontinuous},
  author={Bowei Chen and M. Kankanhalli},
  journal={IEEE Transactions on Knowledge and Data Engineering},
  year={2019},
  volume={31},
  pages={1765-1778}
}
  • Bowei Chen, M. Kankanhalli
  • Published 22 February 2017
  • Business, Economics
  • IEEE Transactions on Knowledge and Data Engineering
Advertising options have been recently studied as a special type of guaranteed contracts in online advertising, which are an alternative sales mechanism to real-time auctions. An advertising option is a contract which gives its buyer a right but not obligation to enter into transactions to purchase page views or link clicks at one or multiple pre-specified prices in a specific future period. Different from typical guaranteed contracts, the option buyer pays a lower upfront fee but can have… 

Figures and Tables from this paper

An empirical study on the various stock market prediction methods
TLDR
This review provides a detailed analysis of research papers presenting stock market prediction techniques and investigates relations of prediction methods with feature selection algorithm, datasets, feature selection methods, and input parameters.
2019 Index IEEE Transactions on Knowledge and Data Engineering Vol. 31
  • Medicine
    IEEE Transactions on Knowledge and Data Engineering
  • 2020
This index covers all technical items—papers, correspondence, reviews, etc.—that appeared in this periodical during 2019, and items from previous years that were commented upon or corrected in 2019.

References

SHOWING 1-10 OF 70 REFERENCES
A lattice framework for pricing display advertisement options with the stochastic volatility underlying model
Pricing guaranteed contracts in online display advertising
TLDR
This work proposes a new pricing method, whereby the price of a guaranteed contract is computed based on the prices of the individual user visits that the contract is expected to get, and shows that the proposed pricing method is accurate in the sense that it can effectively predict the Prices of other (out-of-sample) historical contracts.
Selling futures online advertising slots via option contracts
TLDR
This work proposes to sell the future advertising slots via option contracts (also called ad options) and confirms the validity of ad options and the embedded risk management mechanisms.
A Dynamic Pricing Model for Unifying Programmatic Guarantee and Real-Time Bidding in Display Advertising
TLDR
A mathematical model that allocates and prices the future impressions between real-time auctions and guaranteed contracts, and suggests an optimal percentage of future impressions to sell in advance and provides an explicit formula to calculate at what prices to sell is proposed.
Risk-Aware Dynamic Reserve Prices of Programmatic Guarantee in Display Advertising
  • Bowei Chen
  • Business
    2016 IEEE 16th International Conference on Data Mining Workshops (ICDMW)
  • 2016
TLDR
A simple model that facilitates the automation of direct sales of display advertising and it is shown that a publisher can receive expected total revenue greater than or equal to those from only RTB if she uses the computed dynamic reserves prices for direct sales.
Multi-Keyword Multi-Click Advertisement Option Contracts for Sponsored Search
In sponsored search, advertisement (abbreviated ad) slots are usually sold by a search engine to an advertiser through an auction mechanism in which advertisers bid on keywords. In theory, auction
Online advertisement service pricing and an option contract
Cyclical Bid Adjustments in Search-Engine Advertising
TLDR
It is found that under certain conditions, advertisers may engage in cyclical bid adjustments, and equilibrium bidding prices may follow a cyclical pattern: price-escalating phases interrupted by price-collapsing phases, similar to an “Edgeworth cycle” in the context of dynamic price competitions.
An empirical study of reserve price optimisation in real-time bidding
TLDR
This paper empirically examines several commonly adopted algorithms for setting up a reserve price and suggests the proposed game theory based OneShot algorithm performed the best and the superiority is significant in most cases.
Theory of Rational Option Pricing
The long history of the theory of option pricing began in 1900 when the French mathematician Louis Bachelier deduced an option pricing formula based on the assumption that stock prices follow a
...
...