Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Edzer Pebesma & Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Optimal Asset Pricing | Turner | Journal of Statistical Software
Authors: Rolf Turner, Pradeep Banerjee, Rayomand Shahlori
Title: Optimal Asset Pricing
Abstract: We describe an R package for determining the optimal price of an asset which is “perishable” in a certain sense, given the intensity of customer arrivals and a time-varying price sensitivity function which specifies the probability that a customer will purchase an asset offered at a given price at a given time. The package deals with the case of customers arriving in groups, with a probability distribution for the group size being specified. The methodology and software allow for both discrete and continuous pricing. The class of possible models for price sensitivity functions is very wide, and includes piecewise linear models. A mechanism for constructing piecewise linear price sensitivity functions is provided.

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Paper: Optimal Asset Pricing     Download PDF (Downloads: 1507)
AssetPricing_1.0-0.tar.gz: R source package Download (Downloads: 230; 80KB)
v58i11.R: R example code from the paper Download (Downloads: 231; 8KB)

DOI: 10.18637/jss.v058.i11

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.