High-Frequency Optimal Pricing Strategy for a Monopolist Seller Facing Patient Customers

40 Pages Posted: 2 Mar 2020 Last revised: 14 Aug 2021

See all articles by Shuaijie Qian

Shuaijie Qian

National University of Singapore (NUS)

Xizhi Su

National University of Singapore (NUS) - Department of Mathematics

Chao Zhou

National University of Singapore (NUS) - Department of Mathematics

Date Written: July 14, 2021

Abstract

We consider a market where most profit-relevant factors (e.g., storage costs and selling expenses) are negligible, and the trade-off between price and volume is the only concern. We investigate the optimal discrete-time pricing strategy of a monopolist seller who is able to change prices frequently when facing customers with different patience levels. We characterize the optimal strategy and unveil the asymptotic optimal cycle length and optimal revenue when the time step size goes to 0. It is found that a rational monopolist seller who wants to maximize revenue should not adjust prices frequently.

Keywords: Revenue maximization, Dynamic pricing, Customer behavior, Asymptotic property

JEL Classification: C

Suggested Citation

Qian, Shuaijie and Su, Xizhi and Zhou, Chao, High-Frequency Optimal Pricing Strategy for a Monopolist Seller Facing Patient Customers (July 14, 2021). Available at SSRN: https://ssrn.com/abstract=3530925 or http://dx.doi.org/10.2139/ssrn.3530925

Shuaijie Qian (Contact Author)

National University of Singapore (NUS) ( email )

1E Kent Ridge Road
NUHS Tower Block Level 7
Singapore, 119228
Singapore

Xizhi Su

National University of Singapore (NUS) - Department of Mathematics ( email )

Department of Mathematics
Singapore, 117543
Singapore

Chao Zhou

National University of Singapore (NUS) - Department of Mathematics ( email )

Department of Mathematics
Singapore, 117543
Singapore

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