Priority option pricing in an M/M/m queue

Authors:
Antonios Printezis;Apostolos Burnetas
Affiliations:
Department of Management, School of Global Management and Leadership, Arizona State University, USA;Department of Mathematics, University of Athens, Greece
Venue:
Operations Research Letters
Year:
2008

Citing 2
Cited 0

A study of priority pricing in multiple service class networks

SIGCOMM '91 Proceedings of the conference on Communications architecture & protocols
Option Pricing with Downward-Sloping Demand Curves: The Case of Supply Chain Options

Management Science

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Abstract

We study a system where the service provider offers priority options. We identify the optimal option pricing policy, by deriving the optimal number a customer would buy and the customer's exercise policy as a function of system congestion, options remaining, time to expiration and possibility of balking.