頁籤選單縮合
題 名 | Monopoly Pricing under Demand Uncertainty in Dynamic Markets: Pricing Hedge Strategy |
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編 次 | 2 |
作 者 | Tseng, Kuang-Jung; | 書刊名 | Academy of Taiwan Business Management Review |
卷 期 | 2:2 民95.12 |
頁 次 | 頁1-14 |
分類號 | 553.5 |
關鍵詞 | Price hedging; Randomness; Risk; |
語 文 | 英文(English) |
英文摘要 | Pricing of products and services is a major issue in marketing researches. We examine pricing policy for a monopolist facing uncertain demand in a dynamic market. Many researches try to set the price from maximizing the profit. They estimate the demand and costs associated with alternative prices and choose the pricing policy that produces the maximum profit, cash flow, or rate of return on investment. Such a pricing policy is based on the assumption that market demand for the product is predictable over the entire planning horizon. In reality, the demand is difficult to estimate and unpredictable, especially in the case of innovative new products. Due to its unpredictability, we assume that the demand follows a lognormal random walk. We then develop a mathematical modeling of pricing processes by stochastic calculus, which is just like the mathematical modeling of financial processes. From Ito’s lemma, the profit of a product has a correlation with the demand, is also unpredictable and follows a random walk. Such a random behavior is the risk of marketing. By choosing a price strategy to eliminate the randomness, which is called price hedging, we obtain a risk-free profit determined by the Black-Scholes equation. From price hedging and the Black-Scholes equation, we can determine the profit and price of a product, which is changing with time and demand. Such a dynamical price can revise often enough to capitalize on market changes. Risk management in marketing is tied with our price hedge theory. We define Greeks to understand the risk induced by price hedging strategy. |
本系統中英文摘要資訊取自各篇刊載內容。