A stochastic dynamic pricing model for the multiclass problems in the airline industry.

•We propose a dynamic pricing model with multiple products with different behaviors applied to the airline industry.•We estimate the transition probabilities using the inter-arrival time distribution of bookings and the probability that a booking turns into a ticket.•We fit these probabilities with phase type distributions.•Applying this model to a case study improved the expected revenue by 31 percent.•The phase type distributions fitted with a low error to the data of the industry.