Try before you buy: A theory of dynamic information acquisition

• 成果类型: Article
• 署名作者: Lang, Ruitian
• 署名单位: Australian National University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2019.07.014
• 发表日期: 2019
• 页码: 1057-1093
• 关键词: Sequential sampling; Diffusion process; continuous time; monopoly pricing

摘要

This paper develops a model of dynamic information acquisition where a buyer acquires information about a product, and a monopoly seller sets the price of her product anticipating the buyer's behavior. It finds that the buyer makes a purchase decision when his expected gain from trade hits one of two boundaries which are deterministic functions of time. Those boundaries are independent of the buyer's prior value. The seller's profit is increasing in the buyer's cost of information if and only if the buyer's prior purchase probability is above fifty percent. In analyzing the problem, a close connection between the information acquisition problem and the theory of American options is established and exploited. (C) 2019 Elsevier Inc. All rights reserved.