Purpose - Pooling, premier, and hybrid are three business models employed by information technology-enabled (IT-enabled) ride-hailing platforms, which based on two corresponding technical function modules (pooling module and premier module) of the platform. The goal of this study is to explore...

We investigate credit value adjustments (CVAs) in the presence of wrong-way risk (WWR) by introducing jumps at default to model correlation between counterparty's default and relevant risk factors. We focus on the foreign-exchange and interest-rate cases, presenting efficient CVA approximations...

There are several pricing and risk model applications where the assumption of a deterministic LIBOR-OIS basis can lead to severe mispricing. By modeling such a basis using a jump-diffusion process, we show how stochastic basis can impact the valuation of specific deals such as zero-coupon swaps,...

Information goods providers adopt the freemium model to increase their user base and maximize their profits. However, a serious piracy problem cannibalizes the demand for legal goods and deeply harms firms' interests. We investigate the optimal pricing of information goods under the freemium...

This paper investigates the impacts of an additional online-to-store channel and spillover effect on the optimal retail channel choice of a supply chain. In the presence of spillover effect, we discuss how the chosen retail channel affects the manufacturer's profit, online retailer's profit, and...

We derive an efficient closed-form approximation for the moment generating function of the integral of a mean-reverting stochastic process, following a linear SDE, which we call GARCH. We then consider a financial application, namely the pricing of a quanto CDS under stochastic intensity of...

We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. The latter method generalizes the results in Li et al. [J. Deriv., 2008, 15, 58–80] to spread options on an...