A lattice framework for pricing display advertisement options with the stochastic volatility underlying model

作者：

Highlights：

• A new advertisement option that allows an advertiser to pay a fixed CPM/CPC to purchase impressions or clicks. The fixed payment can be different to the underlying ad format.

• The proposed option can be priced under the lattice framework for both SV and GBM underlying models.

• The studied model is validated by two advertising datasets.

摘要

•A new advertisement option that allows an advertiser to pay a fixed CPM/CPC to purchase impressions or clicks. The fixed payment can be different to the underlying ad format.•The proposed option can be priced under the lattice framework for both SV and GBM underlying models.•The studied model is validated by two advertising datasets.

论文关键词：Online advertising,Guaranteed delivery,First look contract,Advertisement option,Option pricing,Lattice framework,Stochastic volatility

论文评审过程：Received 2 September 2014, Revised 4 July 2015, Accepted 4 July 2015, Available online 22 July 2015, Version of Record 7 December 2015.

论文官网地址：https://doi.org/10.1016/j.elerap.2015.07.002