Article ID: | iaor20102897 |
Volume: | 36 |
Issue: | 6 |
Start Page Number: | 700 |
End Page Number: | 704 |
Publication Date: | Nov 2008 |
Journal: | Operations Research Letters |
Authors: | Burnetas Apostolos, Printezis Antonios |
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.