基于随机波动率模型的显示广告期权定价的格框架
A lattice framework for pricing display advertisement options with the stochastic volatility underlying model
摘要：
广告（简称广告）选项是在线广告的最新发展。简单地说，广告选项是一种先看合同，在这种合同中，发布商或搜索引擎授予广告商权利，但没有义务进入交易，以在特定交付日期以预先指定的价格购买特定广告位的展示或点击。这种结构为广告商提供了更大的保证交付灵活性。广告期权的定价是一个重要的研究课题，以往对广告期权定价的研究大多局限于价格服从几何布朗运动的情形。这一假设对于赞助搜索是合理的;然而，一些研究也表明，它对显示广告无效。在本文中，我们解决这个问题，采用随机波动率（SV）模型，并讨论了一个格子框架，以近似建议SV模型在期权定价。通过对真实广告数据的实验验证了我们的发展：（i）我们发现SV模型比GBM模型具有更好的适应性;（ii）我们通过两种顺序蒙特卡罗模拟方法验证了所提出的格模型;（iii）我们证明广告商能够通过使用所提出的选项来灵活地管理他们的保证交付，并且当出版商的一些库存通过广告选项出售时，出版商可以具有增加的收入。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
