We study Aumann and Serrano's (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is...

Volatility indices have been designed for many markets as gauges to measure investors' fear of market crash. The recent market turmoil has produced historically high volatility levels, in some cases around four times higher than their previous average levels. We take a look at the behavior of...

We study the risk index of an additive gamble proposed in Aumann and Serrano (2008). We establish a generalized duality result for this index and use it to prove Yaari's (1969) alternative characterization of DARA utilities. A new characterization result for the risk index is obtained through...

Many efficient and accurate analytical methods for pricing American options now exist. However, while they can produce accurate option prices, they often do not give accurate critical stock prices. In this paper, we propose two new analytical approximations for American options based on the...

Asset price bubbles can arise unintentionally when one uses continuous-time diffusion processes to model financial quantities. We propose a flexible damped diffusion framework that is able to break many types of bubbles and preserve the martingale pricing approach. Damping can be done on either...

We present a quasi-analytical method for pricing multi-dimensional American options based on interpolating two arbitrage bounds, along the lines of Johnson (1983). Our method allows for the close examination of the interpolation parameter on a rigorous theoretical footing instead of empirical...

To infer product fitness information, consumers often consult digital influencers who exert effort to learn and evaluate product features and then propagate information to their followers. However, influencers' recommendations are not limited to products that exactly match their expertise, which...

Many software firms, especially mobile app providers, offer perpetually free basic products to users, but premiums are charged for access to the additional features or functionalities. While the free offering helps capture potential customers, it might cannibalize the sales of premium goods or...

This study analyzes the business model decision of social platforms with a commerce feature. In practice, social platforms can adopt either an advertising model or a brokerage model. We develop a game-theoretic model to recommend the better business model and investigate the effect of social...

More and more marketplace platforms choose to use the data gathered from consumers (e.g., customer search terms, demographics) to provide a data analytics service for third-party sellers, both encouraging innovations and improving the operations of the latter. Through adopting the data analytics...