کد مقاله کد نشریه سال انتشار مقاله انگلیسی ترجمه فارسی نسخه تمام متن
379590 659486 2015 15 صفحه PDF سفارش دهید دانلود رایگان
عنوان انگلیسی مقاله ISI
A lattice framework for pricing display advertisement options with the stochastic volatility underlying model
ترجمه فارسی عنوان
یک چارچوب شبکه برای قیمت گذاری گزینه های تبلیغات با مدل فرضی نوسانات تصادفی
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کلمات کلیدی
تبلیغات آنلاین، تحویل تضمینی، قرارداد اول نگاه کنید گزینه تبلیغات قیمت گذاری گزینه چارچوب مشبک، نوسان پذیری تصادفی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر هوش مصنوعی
چکیده انگلیسی


• 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.

Advertisement (abbreviated ad) options are a recent development in online advertising. Simply, an ad option is a first look contract in which a publisher or search engine grants an advertiser a right but not obligation to enter into transactions to purchase impressions or clicks from a specific ad slot at a pre-specified price on a specific delivery date. Such a structure provides advertisers with more flexibility of their guaranteed deliveries. The valuation of ad options is an important topic and previous studies on ad options pricing have been mostly restricted to the situations where the underlying prices follow a geometric Brownian motion (GBM). This assumption is reasonable for sponsored search; however, some studies have also indicated that it is not valid for display advertising. In this paper, we address this issue by employing a stochastic volatility (SV) model and discuss a lattice framework to approximate the proposed SV model in option pricing. Our developments are validated by experiments with real advertising data: (i) we find that the SV model has a better fitness over the GBM model; (ii) we validate the proposed lattice model via two sequential Monte Carlo simulation methods; (iii) we demonstrate that advertisers are able to flexibly manage their guaranteed deliveries by using the proposed options, and publishers can have an increased revenue when some of their inventories are sold via ad options.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Electronic Commerce Research and Applications - Volume 14, Issue 6, October–November 2015, Pages 465–479
نویسندگان
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