In this paper, we develop a dynamic monopoly pricing model as a non-stationary Multi-armed bandit problem. At each time, the monopolist chooses a price in a finite set and each customer decides stochastically but independently to visit or not his store. Each customer is characterized by two...

The aim of this paper is to provide a new straightforward \textit{measure-free} methodology based on a convex hulls to determine the no-arbitrage pricing bounds of an option (European or American). The pedagogical interest of our methodology is also briefly discussed. The central result, which...

We consider a profit-maximizing monopolist that faces N2 different markets while the number k of discriminatory prices is chosen by the regulator. Unlike the classical approach in which only the polar cases are considered, we explicitly analyze the case in which k is an integer between 1 and N....