Priority option pricing in an M/M/m queue

Citation:

Printezis, A. & Burnetas, A.N., 2008. Priority option pricing in an M/M/m queue. Operations Research Letters, 36, pp.700-704.

Abstract:

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.

Notes:

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