A hybrid modeling approach for option pricing
NASA Astrophysics Data System (ADS)
Hajizadeh, Ehsan; Seifi, Abbas
2011-11-01
The complexity of option pricing has led many researchers to develop sophisticated models for such purposes. The commonly used Black-Scholes model suffers from a number of limitations. One of these limitations is the assumption that the underlying probability distribution is lognormal and this is so controversial. We propose a couple of hybrid models to reduce these limitations and enhance the ability of option pricing. The key input to option pricing model is volatility. In this paper, we use three popular GARCH type model for estimating volatility. Then, we develop two non-parametric models based on neural networks and neuro-fuzzy networks to price call options for S&P 500 index. We compare the results with those of Black-Scholes model and show that both neural network and neuro-fuzzy network models outperform Black-Scholes model. Furthermore, comparing the neural network and neuro-fuzzy approaches, we observe that for at-the-money options, neural network model performs better and for both in-the-money and an out-of-the money option, neuro-fuzzy model provides better results.
ERIC Educational Resources Information Center
Tenopir, Carol
1998-01-01
Presents results of a recent survey of over 100 public and academic libraries about pricing options from online companies. Most options fall into three categories: pay-as-you-go, fixed-rate, and user-based. Results are discussed separately for public and academic libraries and for consortial discounts. Trends in pricing options preferred by…
Modeling of certain problems in financial mathematics: Spread option pricing
NASA Astrophysics Data System (ADS)
Khorev, K. P.
2007-04-01
The problem of valuating exotic options, namely, the option on the spread between two forward interest rates is considered. The price of the option is derived under the assumption that the dynamics of debt instruments and the interest rates are described by the Heath-Jarrow-Morton model. The parameters of the model are estimated, and the price of the option is numerically computed based on Russian bond market data.
Fluctuation in option pricing using cellular automata based market models
NASA Astrophysics Data System (ADS)
Gao, Yuying; Beni, Gerardo
2005-05-01
A new agent-based Cellular Automaton (CA) computational algorithm for option pricing is proposed. CAs have been extensively used in modeling complex dynamical systems but not in modeling option prices. Compared with traditional tools, which rely on guessing volatilities to calculate option prices, the CA model is directly addressing market mechanisms and simulates price fluctuation from aggregation of actions made by interacting individual market makers in a large population. This paper explores whether CA models can provide reasonable good answers to pricing European options. The Black-Scholes model and the Binomial Tree model are used for comparison. Comparison reveals that CA models perform reasonably well in pricing options, reproducing overall characteristics of random walk based model, while at the same time providing plausible results for the 'fat-tail' phenomenon observed in many markets. We also show that the binomial tree model can be obtained from a CA rule. Thus, CA models are suitable tools to generalize the standard theories of option pricing.
Exponential model for option prices: Application to the Brazilian market
NASA Astrophysics Data System (ADS)
Ramos, Antônio M. T.; Carvalho, J. A.; Vasconcelos, G. L.
2016-03-01
In this paper we report an empirical analysis of the Ibovespa index of the São Paulo Stock Exchange and its respective option contracts. We compare the empirical data on the Ibovespa options with two option pricing models, namely the standard Black-Scholes model and an empirical model that assumes that the returns are exponentially distributed. It is found that at times near the option expiration date the exponential model performs better than the Black-Scholes model, in the sense that it fits the empirical data better than does the latter model.
Chalasani, P.; Saias, I.; Jha, S.
1996-04-08
As increasingly large volumes of sophisticated options (called derivative securities) are traded in world financial markets, determining a fair price for these options has become an important and difficult computational problem. Many valuation codes use the binomial pricing model, in which the stock price is driven by a random walk. In this model, the value of an n-period option on a stock is the expected time-discounted value of the future cash flow on an n-period stock price path. Path-dependent options are particularly difficult to value since the future cash flow depends on the entire stock price path rather than on just the final stock price. Currently such options are approximately priced by Monte carlo methods with error bounds that hold only with high probability and which are reduced by increasing the number of simulation runs. In this paper the authors show that pricing an arbitrary path-dependent option is {number_sign}-P hard. They show that certain types f path-dependent options can be valued exactly in polynomial time. Asian options are path-dependent options that are particularly hard to price, and for these they design deterministic polynomial-time approximate algorithms. They show that the value of a perpetual American put option (which can be computed in constant time) is in many cases a good approximation to the value of an otherwise identical n-period American put option. In contrast to Monte Carlo methods, the algorithms have guaranteed error bounds that are polynormally small (and in some cases exponentially small) in the maturity n. For the error analysis they derive large-deviation results for random walks that may be of independent interest.
Option pricing formulas based on a non-Gaussian stock price model.
Borland, Lisa
2002-08-26
Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter q. A generalized form of the Black-Scholes (BS) partial differential equation and some closed-form solutions are obtained. The standard BS equation (q=1) which is used by economists to calculate option prices requires multiple values of the stock volatility (known as the volatility smile). Using q=1.5 which well models the empirical distribution of returns, we get a good description of option prices using a single volatility. PMID:12190447
NASA Astrophysics Data System (ADS)
Wang, Xiao-Tian
2010-02-01
This paper deals with the problem of discrete time option pricing using the multifractional Black-Scholes model with transaction costs. Using a mean self-financing delta hedging argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price of an option under transaction costs is obtained. In addition, we show that scaling and long range dependence have a significant impact on option pricing.
Pricing of European options under BS-BHM-updated model and its properties
NASA Astrophysics Data System (ADS)
Mutijah, Guritno, Suryo; Gunardi
2016-02-01
A European call option price formula under the BS-BHM-Updated model is studied in this paper. BS-BHM- Updated model is a BS-BHM model improved in applying Gaussian integral. The formula of European call and put options price is given in this paper too. Greeks and a good property of put-call parity for the formula of European call option price are found. In this paper are also given the numerical results of European call option price and the put-call parity relationship. Numerical results of European call option price under BS-BHM-Updated model, Black Scholes model, and BS-BHM model are presented.
Numerical solution for option pricing with stochastic volatility model
NASA Astrophysics Data System (ADS)
Mariani, Andi; Nugrahani, Endar H.; Lesmana, Donny C.
2016-01-01
The option pricing equations derived from stochatic volatility models in finance are often cast in the form of nonlinear partial differential equations. To solve the equations, we used the upwind finite difference scheme for the spatial discretisation and a fully implicit time-stepping scheme. The result of this scheme is a matrix system in the form of an M-Matrix and we proof that the approximate solution converges to the viscosity solution to the equation by showing that the scheme is monotone, consistent and stable. Numerical experiments are implemented to show that the behavior and the order of convergence of upwind finite difference method.
Pricing European option under the time-changed mixed Brownian-fractional Brownian model
NASA Astrophysics Data System (ADS)
Guo, Zhidong; Yuan, Hongjun
2014-07-01
This paper deals with the problem of discrete time option pricing by a mixed Brownian-fractional subdiffusive Black-Scholes model. Under the assumption that the price of the underlying stock follows a time-changed mixed Brownian-fractional Brownian motion, we derive a pricing formula for the European call option in a discrete time setting.
NASA Astrophysics Data System (ADS)
McCauley, J. L.; Gunaratne, G. H.; Bassler, K. E.
2007-07-01
We show that our earlier generalization of the Black-Scholes partial differential equation (pde) for variable diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price. Previously, the equivalence of Black-Scholes to a Martingale was proven for the case of the Gaussian returns model by Harrison and Kreps, but we prove it for a much larger class of returns models where the returns diffusion coefficient depends irreducibly on both returns x and time t. That option prices blow up if fat tails in logarithmic returns x are included in market return is also proven.
A path-independent method for barrier option pricing in hidden Markov models
NASA Astrophysics Data System (ADS)
Rashidi Ranjbar, Hedieh; Seifi, Abbas
2015-12-01
This paper presents a method for barrier option pricing under a Black-Scholes model with Markov switching. We extend the option pricing method of Buffington and Elliott to price continuously monitored barrier options under a Black-Scholes model with regime switching. We use a regime switching random Esscher transform in order to determine an equivalent martingale pricing measure, and then solve the resulting multidimensional integral for pricing barrier options. We have calculated prices for down-and-out call options under a two-state hidden Markov model using two different Monte-Carlo simulation approaches and the proposed method. A comparison of the results shows that our method is faster than Monte-Carlo simulation methods.
NASA Astrophysics Data System (ADS)
Wang, Xiao-Tian
2010-02-01
This paper deals with the problem of discrete time option pricing by the fractional Black-Scholes model with transaction costs. By a mean self-financing delta-hedging argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price C(t,St) of an option under transaction costs is obtained as timestep δt=((, which can be used as the actual price of an option. In fact, C(t,St) is an adjustment to the volatility in the Black-Scholes formula by using the modified volatility σ√{2}(( to replace the volatility σ, where {k}/{σ}<(, H>{1}/{2} is the Hurst exponent, and k is a proportional transaction cost parameter. In addition, we also show that timestep and long-range dependence have a significant impact on option pricing.
A Non-Gaussian Stock Price Model: Options, Credit and a Multi-Timescale Memory
NASA Astrophysics Data System (ADS)
Borland, L.
We review a recently proposed model of stock prices, based on astatistical feedback model that results in a non-Gaussian distribution of price changes. Applications to option pricing and the pricing of debt is discussed. A generalization to account for feedback effects over multiple timescales is also presented. This model reproduces most of the stylized facts (ie statistical anomalies) observed in real financial markets.
NASA Astrophysics Data System (ADS)
Lai, Yongzeng; Zeng, Yan; Xi, Xiaojing
2011-11-01
In this paper, we discuss control variate methods for Asian option pricing under exponential jump diffusion model for the underlying asset prices. Numerical results show that the new control variate XNCV is much more efficient than the classical control variate XCCV when used in pricing Asian options. For example, the variance reduction ratios by XCCV are no more than 120 whereas those by XNCV vary from 15797 to 49171 on average over sample sizes 1024, 2048, 4096, 8192, 16384 and 32768.
Pricing American put option on zero-coupon bond in a jump-extended CIR model
NASA Astrophysics Data System (ADS)
Deng, Guohe
2015-05-01
This paper presents a jump extension to the CIR model of the short interest rate with exponential distribution jumps. We derive an approximated price of an American put option on a defaultable-free, zero-coupon bond using the two-GJ approach based on combining an European put option and a Bermudan option with two possible exercise dates. Closed-form solutions for both the European put option and the Bermudan option are obtained by using multivariate Fourier transforms and characteristic functions. The accuracy and efficiency of the approximation are examined using the least-square Monte Carlo simulation as the benchmarks. Finally several numerical examples illustrating the results have been presented and the prices have been compared to the corresponding prices for American option in the pure diffusion model.
Pricing foreign equity option with stochastic volatility
NASA Astrophysics Data System (ADS)
Sun, Qi; Xu, Weidong
2015-11-01
In this paper we propose a general foreign equity option pricing framework that unifies the vast foreign equity option pricing literature and incorporates the stochastic volatility into foreign equity option pricing. Under our framework, the time-changed Lévy processes are used to model the underlying assets price of foreign equity option and the closed form pricing formula is obtained through the use of characteristic function methodology. Numerical tests indicate that stochastic volatility has a dramatic effect on the foreign equity option prices.
Option pricing for stochastic volatility model with infinite activity Lévy jumps
NASA Astrophysics Data System (ADS)
Gong, Xiaoli; Zhuang, Xintian
2016-08-01
The purpose of this paper is to apply the stochastic volatility model driven by infinite activity Lévy processes to option pricing which displays infinite activity jumps behaviors and time varying volatility that is consistent with the phenomenon observed in underlying asset dynamics. We specially pay attention to three typical Lévy processes that replace the compound Poisson jumps in Bates model, aiming to capture the leptokurtic feature in asset returns and volatility clustering effect in returns variance. By utilizing the analytical characteristic function and fast Fourier transform technique, the closed form formula of option pricing can be derived. The intelligent global optimization search algorithm called Differential Evolution is introduced into the above highly dimensional models for parameters calibration so as to improve the calibration quality of fitted option models. Finally, we perform empirical researches using both time series data and options data on financial markets to illustrate the effectiveness and superiority of the proposed method.
On the Black-Scholes European Option Pricing Model Robustness and Generality
NASA Astrophysics Data System (ADS)
Takada, Hellinton Hatsuo; de Oliveira Siqueira, José
2008-11-01
The common presentation of the widely known and accepted Black-Scholes European option pricing model explicitly imposes some restrictions such as the geometric Brownian motion assumption for the underlying stock price. In this paper, these usual restrictions are relaxed using maximum entropy principle of information theory, Pearson's distribution system, market frictionless and risk-neutrality theories to the calculation of a unique risk-neutral probability measure calibrated with market parameters.
Option pricing: Stock price, stock velocity and the acceleration Lagrangian
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra
2014-12-01
The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries part of the information that is provided by implied volatility, and with a few (time-independent) parameters required for a complete pricing formula. An option pricing formula is developed that is based on knowing the value of both the current price and rate of return of the underlying security which in physics is called velocity. Using an acceleration Lagrangian model based on the formalism of quantum mathematics, we derive the pricing formula for European call options. The implied volatility of the market can be generated by our pricing formula. Our option price is applied to foreign exchange rates and equities and the accuracy is compared with Black-Scholes pricing formula and with the market price.
A note on Black-Scholes pricing model for theoretical values of stock options
NASA Astrophysics Data System (ADS)
Edeki, S. O.; Ugbebor, O. O.; Owoloko, E. A.
2016-02-01
In this paper, we consider some conditions that transform the classical Black-Scholes Model for stock options valuation from its partial differential equation (PDE) form to an equivalent ordinary differential equation (ODE) form. In addition, we propose a relatively new semi-analytical method for the solution of the transformed Black-Scholes model. The obtained solutions via this method can be used to find the theoretical values of the stock options in relation to their fair prices. In considering the reliability and efficiency of the models, we test some cases and the results are in good agreement with the exact solution.
NASA Astrophysics Data System (ADS)
Lemmens, D.; Wouters, M.; Tempere, J.; Foulon, S.
2008-07-01
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is demonstrated by extending the realm of closed-form option price formulas to the case where both the volatility and interest rates are stochastic. This flexibility is promising for the treatment of exotic options. Our analytical formulas are tested with numerical Monte Carlo simulations.
Pricing bounds for discrete arithmetic Asian options under Lévy models
NASA Astrophysics Data System (ADS)
Lemmens, D.; Liang, L. Z. J.; Tempere, J.; De Schepper, A.
2010-11-01
Analytical bounds for Asian options are almost exclusively available in the Black-Scholes framework. In this paper we derive bounds for the price of a discretely monitored arithmetic Asian option when the underlying asset follows an arbitrary Lévy process. Explicit formulas are given for Kou’s model, Merton’s model, the normal inverse Gaussian model, the CGMY model and the variance gamma model. The results are compared with the comonotonic upper bound, existing numerical results, Monte carlo simulations and in the case of the variance gamma model with an existing lower bound. The method outlined here provides lower and upper bounds that are quick to evaluate, and more accurate than existing bounds.
Numerically pricing American options under the generalized mixed fractional Brownian motion model
NASA Astrophysics Data System (ADS)
Chen, Wenting; Yan, Bowen; Lian, Guanghua; Zhang, Ying
2016-06-01
In this paper, we introduce a robust numerical method, based on the upwind scheme, for the pricing of American puts under the generalized mixed fractional Brownian motion (GMFBM) model. By using portfolio analysis and applying the Wick-Itô formula, a partial differential equation (PDE) governing the prices of vanilla options under the GMFBM is successfully derived for the first time. Based on this, we formulate the pricing of American puts under the current model as a linear complementarity problem (LCP). Unlike the classical Black-Scholes (B-S) model or the generalized B-S model discussed in Cen and Le (2011), the newly obtained LCP under the GMFBM model is difficult to be solved accurately because of the numerical instability which results from the degeneration of the governing PDE as time approaches zero. To overcome this difficulty, a numerical approach based on the upwind scheme is adopted. It is shown that the coefficient matrix of the current method is an M-matrix, which ensures its stability in the maximum-norm sense. Remarkably, we have managed to provide a sharp theoretic error estimate for the current method, which is further verified numerically. The results of various numerical experiments also suggest that this new approach is quite accurate, and can be easily extended to price other types of financial derivatives with an American-style exercise feature under the GMFBM model.
Supersymmetry in option pricing
NASA Astrophysics Data System (ADS)
Jana, T. K.; Roy, P.
2011-06-01
We use supersymmetry to find the isospectral partners of Black-Scholes Hamiltonian without a potential and with a double knock out barrier potential. The pricing kernels for these Hamiltonians have also been obtained.
Option pricing for non-Gaussian price fluctuations
NASA Astrophysics Data System (ADS)
Kleinert, Hagen
2004-07-01
From the path integral description of price fluctuations with non-Gaussian distributions we derive a stochastic calculus which replaces Itô's calculus for harmonic fluctuations. We set up a natural martingale for option pricing from the wealth balance of options, stocks, and bonds, and evaluate the resulting formula for truncated Lévy distributions. After this, an alternative formula is derived for a model of multivariant Gaussian price fluctuations which leads to non-Gaussian return distributions fitting Dow Jones data excellently from long to short time scales with a tail behavior e - x/ x3/2.
Path integral pricing of Wasabi option in the Black-Scholes model
NASA Astrophysics Data System (ADS)
Cassagnes, Aurelien; Chen, Yu; Ohashi, Hirotada
2014-11-01
In this paper, using path integral techniques, we derive a formula for a propagator arising in the study of occupation time derivatives. Using this result we derive a fair price for the case of the cumulative Parisian option. After confirming the validity of the derived result using Monte Carlo simulation, a new type of heavily path dependent derivative product is investigated. We derive an approximation for our so-called Wasabi option fair price and check the accuracy of our result with a Monte Carlo simulation.
NASA Astrophysics Data System (ADS)
Wang, Xiao-Tian
2011-05-01
This paper deals with the problem of discrete time option pricing using the fractional Black-Scholes model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price of an option under transaction costs is obtained. In addition, the relation between scaling and implied volatility smiles is discussed.
Louis Bachelier: The Father of Modern Option Pricing Theory.
ERIC Educational Resources Information Center
Sullivan, Edward J.; Weithers, Timothy M.
1991-01-01
Observes that, before 1973, determining a valuation formula for option prices was an elusive goal of financial economics. Discusses Louis Bachelier's early twentieth-century work on the problem. Notes that Bachelier derived a normal distribution for stock price movements by modeling price changes in specific way. Reviews Bachelier's option pricing…
Valuating Privacy with Option Pricing Theory
NASA Astrophysics Data System (ADS)
Berthold, Stefan; Böhme, Rainer
One of the key challenges in the information society is responsible handling of personal data. An often-cited reason why people fail to make rational decisions regarding their own informational privacy is the high uncertainty about future consequences of information disclosures today. This chapter builds an analogy to financial options and draws on principles of option pricing to account for this uncertainty in the valuation of privacy. For this purpose, the development of a data subject's personal attributes over time and the development of the attribute distribution in the population are modeled as two stochastic processes, which fit into the Binomial Option Pricing Model (BOPM). Possible applications of such valuation methods to guide decision support in future privacy-enhancing technologies (PETs) are sketched.
Renewal equations for option pricing
NASA Astrophysics Data System (ADS)
Montero, M.
2008-09-01
In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits.
Partial derivative approach for option pricing in a simple stochastic volatility model
NASA Astrophysics Data System (ADS)
Montero, M.
2004-11-01
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model has already been introduced in the literature. We present a new approach to the problem, based on partial differential equations, which gives a different perspective to the issue. Within our framework we can easily consider several forms for the market price of volatility risk, and interpret their financial meaning. We thus recover solutions previously mentioned in the literature as well as obtaining new ones.
Pricing currency options in the mixed fractional Brownian motion
NASA Astrophysics Data System (ADS)
Sun, Lin
2013-08-01
This paper deals with the problem of pricing European currency options in the mixed fractional Brownian environment. Both the pricing formula and the mixed fractional partial differential equation for European call currency options are obtained. Some Greeks and the estimator of volatility are also provided. Empirical studies and simulation results confirm the theoretical findings and show that the mixed fractional Brownian pricing model is a reasonable one.
Pricing and hedging Asian basket spread options
NASA Astrophysics Data System (ADS)
Deelstra, Griselda; Petkovic, Alexandre; Vanmaele, Michèle
2010-04-01
Asian options, basket options and spread options have been extensively studied in the literature. However, few papers deal with the problem of pricing general Asian basket spread options. This paper aims to fill this gap. In order to obtain prices and Greeks in a short computation time, we develop approximation formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give explicitly the Greeks for our proposed methods. In the last section we extend our results to options denominated in foreign currency.
Option pricing during post-crash relaxation times
NASA Astrophysics Data System (ADS)
Dibeh, Ghassan; Harmanani, Haidar M.
2007-07-01
This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is shown to have stock price and time dependent volatility. The partial differential equation (PDE) for call prices is derived using risk-neutral pricing. European call prices are then estimated using Monte Carlo and finite difference methods. Results of the model show that call option prices after the crash are systematically less than those predicted by the Black-Scholes model. This is a result of the effect of non-constant volatility of the model that causes a volatility skew.
A Model-Free No-arbitrage Price Bound for Variance Options
Bonnans, J. Frederic; Tan Xiaolu
2013-08-01
We suggest a numerical approximation for an optimization problem, motivated by its applications in finance to find the model-free no-arbitrage bound of variance options given the marginal distributions of the underlying asset. A first approximation restricts the computation to a bounded domain. Then we propose a gradient projection algorithm together with the finite difference scheme to solve the optimization problem. We prove the general convergence, and derive some convergence rate estimates. Finally, we give some numerical examples to test the efficiency of the algorithm.
Dynamic option pricing with endogenous stochastic arbitrage
NASA Astrophysics Data System (ADS)
Contreras, Mauricio; Montalva, Rodrigo; Pellicer, Rely; Villena, Marcelo
2010-09-01
Only few efforts have been made in order to relax one of the key assumptions of the Black-Scholes model: the no-arbitrage assumption. This is despite the fact that arbitrage processes usually exist in the real world, even though they tend to be short-lived. The purpose of this paper is to develop an option pricing model with endogenous stochastic arbitrage, capable of modelling in a general fashion any future and underlying asset that deviate itself from its market equilibrium. Thus, this investigation calibrates empirically the arbitrage on the futures on the S&P 500 index using transaction data from September 1997 to June 2009, from here a specific type of arbitrage called “arbitrage bubble”, based on a t-step function, is identified and hence used in our model. The theoretical results obtained for Binary and European call options, for this kind of arbitrage, show that an investment strategy that takes advantage of the identified arbitrage possibility can be defined, whenever it is possible to anticipate in relative terms the amplitude and timespan of the process. Finally, the new trajectory of the stock price is analytically estimated for a specific case of arbitrage and some numerical illustrations are developed. We find that the consequences of a finite and small endogenous arbitrage not only change the trajectory of the asset price during the period when it started, but also after the arbitrage bubble has already gone. In this context, our model will allow us to calibrate the B-S model to that new trajectory even when the arbitrage already started.
Pricing convertible bonds based on a multi-stage compound-option model
NASA Astrophysics Data System (ADS)
Gong, Pu; He, Zhiwei; Zhu, Song-Ping
2006-07-01
In this paper, we introduce the concept of multi-stage compound options to the valuation of convertible bonds (CBs). Rather than evaluating a nested high-dimensional integral that has arisen from the valuation of multi-stage compound options, we found that adopting the finite difference method (FDM) to solve the Black-Scholes equation for each stage actually resulted in a better numerical efficiency. By comparing our results with those obtained by solving the Black-Scholes equation directly, we can show that the new approach does provide an approximation approach for the valuation of CBs and demonstrate that it offers a great potential for a further extension to CBs with more complex structures such as those with call and/or put provisions.
Stock price dynamics and option valuations under volatility feedback effect
NASA Astrophysics Data System (ADS)
Kanniainen, Juho; Piché, Robert
2013-02-01
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.
Correlated continuous time random walk and option pricing
NASA Astrophysics Data System (ADS)
Lv, Longjin; Xiao, Jianbin; Fan, Liangzhong; Ren, Fuyao
2016-04-01
In this paper, we study a correlated continuous time random walk (CCTRW) with averaged waiting time, whose probability density function (PDF) is proved to follow stretched Gaussian distribution. Then, we apply this process into option pricing problem. Supposing the price of the underlying is driven by this CCTRW, we find this model captures the subdiffusive characteristic of financial markets. By using the mean self-financing hedging strategy, we obtain the closed-form pricing formulas for a European option with and without transaction costs, respectively. At last, comparing the obtained model with the classical Black-Scholes model, we find the price obtained in this paper is higher than that obtained from the Black-Scholes model. A empirical analysis is also introduced to confirm the obtained results can fit the real data well.
An Operator Splitting Method for Pricing American Options
NASA Astrophysics Data System (ADS)
Ikonen, Samuli; Toivanen, Jari
Pricing American options using partial (integro-)differential equation based methods leads to linear complementarity problems (LCPs). The numerical solution of these problems resulting from the Black-Scholes model, Kou's jump-diffusion model, and Heston's stochastic volatility model are considered. The finite difference discretization is described. The solutions of the discrete LCPs are approximated using an operator splitting method which separates the linear problem and the early exercise constraint to two fractional steps. The numerical experiments demonstrate that the prices of options can be computed in a few milliseconds on a PC.
On theoretical pricing of options with fuzzy estimators
NASA Astrophysics Data System (ADS)
Chrysafis, Konstantinos A.; Papadopoulos, Basil K.
2009-01-01
In this paper we present an application of a new method of constructing fuzzy estimators for the parameters of a given probability distribution function, using statistical data. This application belongs to the financial field and especially to the section of financial engineering. In financial markets there are great fluctuations, thus the element of vagueness and uncertainty is frequent. This application concerns Theoretical Pricing of Options and in particular the Black and Scholes Options Pricing formula. We make use of fuzzy estimators for the volatility of stock returns and we consider the stock price as a symmetric triangular fuzzy number. Furthermore we apply the Black and Scholes formula by using adaptive fuzzy numbers introduced by Thiagarajah et al. [K. Thiagarajah, S.S. Appadoo, A. Thavaneswaran, Option valuation model with adaptive fuzzy numbers, Computers and Mathematics with Applications 53 (2007) 831-841] for the stock price and the volatility and we replace the fuzzy volatility and the fuzzy stock price by possibilistic mean value. We refer to both cases of call and put option prices according to the Black & Scholes model and also analyze the results to Greek parameters. Finally, a numerical example is presented for both methods and a comparison is realized based on the results.
Testing option pricing with the Edgeworth expansion
NASA Astrophysics Data System (ADS)
Balieiro Filho, Ruy Gabriel; Rosenfeld, Rogerio
2004-12-01
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments.
Time-changed geometric fractional Brownian motion and option pricing with transaction costs
NASA Astrophysics Data System (ADS)
Gu, Hui; Liang, Jin-Rong; Zhang, Yun-Xiu
2012-08-01
This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black-Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is obtained.
A quantum model of option pricing: When Black-Scholes meets Schrödinger and its semi-classical limit
NASA Astrophysics Data System (ADS)
Contreras, Mauricio; Pellicer, Rely; Villena, Marcelo; Ruiz, Aaron
2010-12-01
The Black-Scholes equation can be interpreted from the point of view of quantum mechanics, as the imaginary time Schrödinger equation of a free particle. When deviations of this state of equilibrium are considered, as a product of some market imperfection, such as: Transaction cost, asymmetric information issues, short-term volatility, extreme discontinuities, or serial correlations; the classical non-arbitrage assumption of the Black-Scholes model is violated, implying a non-risk-free portfolio. From Haven (2002) [1] we know that an arbitrage environment is a necessary condition to embedding the Black-Scholes option pricing model in a more general quantum physics setting. The aim of this paper is to propose a new Black-Scholes-Schrödinger model based on the endogenous arbitrage option pricing formulation introduced by Contreras et al. (2010) [2]. Hence, we derive a more general quantum model of option pricing, that incorporates arbitrage as an external time dependent force, which has an associated potential related to the random dynamic of the underlying asset price. This new resultant model can be interpreted as a Schrödinger equation in imaginary time for a particle of mass 1/σ2 with a wave function in an external field force generated by the arbitrage potential. As pointed out above, this new model can be seen as a more general formulation, where the perfect market equilibrium state postulated by the Black-Scholes model represent a particular case. Finally, since the Schrödinger equation is in place, we can apply semiclassical methods, of common use in theoretical physics, to find an approximate analytical solution of the Black-Scholes equation in the presence of market imperfections, as it is the case of an arbitrage bubble. Here, as a numerical illustration of the potential of this Schrödinger equation analogy, the semiclassical approximation is performed for different arbitrage bubble forms (step, linear and parabolic) and compare with the exact
Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
NASA Astrophysics Data System (ADS)
Lo, C. F.; Hui, C. H.
2006-11-01
In this paper we apply the Lie-algebraic technique for the valuation of moving barrier options with time-dependent parameters. The value of the underlying asset is assumed to follow the constant elasticity of variance (CEV) process. By exploiting the dynamical symmetry of the pricing partial differential equations, the new approach enables us to derive the analytical kernels of the pricing formulae straightforwardly, and thus provides an efficient way for computing the prices of the moving barrier options. The method is also able to provide tight upper and lower bounds for the exact prices of CEV barrier options with fixed barriers. In view of the CEV model being empirically considered to be a better candidate in equity option pricing than the traditional Black-Scholes model, our new approach could facilitate more efficient comparative pricing and precise risk management in equity derivatives with barriers by incorporating term-structures of interest rates, volatility and dividend into the CEV option valuation model.
Option Pricing with Log-stable Lévy Processes
NASA Astrophysics Data System (ADS)
Repetowicz, Przemysław; Richmond, Peter
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix \\underline{\\underline E} onto a non-random vector. The scaling index \\underline{\\underline E} models prices of the individual financial assets (stocks, mutual funds, etc.). We find the functional form of the characteristic function of real powers of the price returns and we compute the expectation value of these real powers and we speculate on the utility of these results for statistical inference. Finally we consider a portfolio composed of an asset and an option on that asset. We derive the characteristic function of the deviation of the portfolio, mathfrak{D}_t^{(mathfrak{t})} , defined as a temporal change of the portfolio diminished by the the compound interest earned. We derive pseudo-differential equations for the option as a function of the log-stock-price and time and we find exact closed-form solutions to that equation. These results were not known before. Finally we discuss how our solutions correspond to other approximate results known from literature,in particular to the well known Black & Scholes equation.
El Farouq, Naïma; Bernhard, Pierre
2015-10-15
We prove the missing uniqueness theorem for the viscosity solution of a quasi-variational inequality related to a minimax impulse control problem modeling the option pricing with proportional transactions costs. This result makes our robust control approach of option pricing in the interval market model essentially complete.
Risk-neutral density extraction from option prices: improved pricing with mixture density networks.
Schittenkopf, C; Dorffner, G
2001-01-01
One of the central goals in finance is to find better models for pricing and hedging financial derivatives such as call and put options. We present a new semi-nonparametric approach to risk-neutral density extraction from option prices, which is based on an extension of the concept of mixture density networks. The central idea is to model the shape of the risk-neutral density in a flexible, nonlinear way as a function of the time horizon. Thereby, stylized facts such as negative skewness and excess kurtosis are captured. The approach is applied to a very large set of intraday options data on the FTSE 100 recorded at LIFFE. It is shown to yield significantly better results in terms of out-of-sample pricing accuracy in comparison to the basic and an extended Black-Scholes model. It is also significantly better than a more elaborate GARCH option pricing model which includes a time-dependent volatility process. From the perspective of risk management, the extracted risk-neutral densities provide valuable information for value-at-risk estimations. PMID:18249907
On Asian option pricing for NIG Levy processes
NASA Astrophysics Data System (ADS)
Albrecher, Hansjorg; Predota, Martin
2004-11-01
In this paper, we derive approximations and bounds for the Esscher price of European-style arithmetic and geometric average options. The asset price process is assumed to be of exponential Levy type with normal inverse Gaussian (NIG) distributed log-returns. Numerical illustrations of the accuracy of these bounds as well as approximations and comparisons of the NIG average option prices with the corresponding Black-Scholes prices are given.
Pricing Asian options using moment matching on a multinomial lattice
NASA Astrophysics Data System (ADS)
Ogutu, Carolyne; Lundengârd, Karl; Silvestrov, Sergei; Weke, Patrick
2014-12-01
Pricing Asian options is often done using bi- or trinomial lattice methods. Here some results for generalizing these methods to lattices with more nodes are presented. We consider Asian option pricing on a lattice where the underlying asset follows Merton-Bates jump-diffusion model and describe the construction of a lattice using the moment matching technique which results in an equation system described by a rectangular Vandermonde matrix. The system is solved using the explicit expression for the inverse of the Vandermonde matrix and some restrictions on the jump sizes of the lattice and the distribution of moments are identified. The consequences of these restrictions for the suitability of the multinomial lattice methods are also discussed.
A homotopy analysis method for the option pricing PDE in illiquid markets
NASA Astrophysics Data System (ADS)
E-Khatib, Youssef
2012-09-01
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading the underlying asset does not affect the underlying asset price. This can happen in perfectly liquid markets and it is evidently not viable in markets with imperfect liquidity (illiquid markets). It is well-known that markets with imperfect liquidity are more realistic. Thus, the presence of price impact while studying options is very important. This paper investigates a solution for the option pricing PDE in illiquid markets using the homotopy analysis method.
NASA Astrophysics Data System (ADS)
Zhang, Sumei; Wang, Lihe
2013-07-01
This study proposes a pricing model through allowing for stochastic interest rate and stochastic volatility in the double exponential jump-diffusion setting. The characteristic function of the proposed model is then derived. Fast numerical solutions for European call and put options pricing based on characteristic function and fast Fourier transform (FFT) technique are developed. Simulations show that our numerical technique is accurate, fast and easy to implement, the proposed model is suitable for modeling long-time real-market changes. The model and the proposed option pricing method are useful for empirical analysis of asset returns and risk management in firms.
Price of coupon bond options in a quantum field theory of forward interest rates
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.
2006-10-01
European options on coupon bonds are studied in a quantum field theory model of forward interest rates. A approximation scheme for finding the option price is developed based on the fact that the volatility of the forward interest rate is a small quantity. The field theory for the forward interest rates is in effect Gaussian, and when the payoff function for the coupon bonds option is included it makes the field theory exponentially nonlinear. A Feynman perturbation expansion gives a result for the price of Libor swaption that agrees quite well with the market price.
NASA Astrophysics Data System (ADS)
Zhang, Xubo
This paper uses the approaches and models of option theory to analyze two-stage venture capital investment in agricultural production and processing enterprises decision-making under uncertainty. Mathematics expressions of this two-stage venture capital investment decision-making are presented. An option value model about two-stage venture capital investment decision-making base on options pricing theory under the uncertainty is presented. Get the solution of option pricing model which we present.
Pricing geometric Asian power options under mixed fractional Brownian motion environment
NASA Astrophysics Data System (ADS)
Prakasa Rao, B. L. S.
2016-03-01
It has been observed that the stock price process can be modeled with driving force as a mixed fractional Brownian motion with Hurst index H > 3/4 whenever long-range dependence is possibly present. We obtain a closed form expression for the price of a geometric Asian option under the mixed fractional Brownian motion environment. We consider also Asian power options when the payoff function is a power function.
Spectral method for pricing options in illiquid markets
NASA Astrophysics Data System (ADS)
Pindza, Edson; Patidar, Kailash C.
2012-09-01
We present a robust numerical method to solve a problem of pricing options in illiquid markets. The governing equation is described by a nonlinear Black-Scholes partial differential equation (BS-PDE) of the reaction-diffusion-advection type. To discretise this BS-PDE numerically, we use a spectral method in the asset (spatial) direction and couple it with a fifth order RADAU method for the discretisation in the time direction. Numerical experiments illustrate that our approach is very efficient for pricing financial options in illiquid markets.
Using Priced Options to Solve the Exposure Problem in Sequential Auctions
NASA Astrophysics Data System (ADS)
Mous, Lonneke; Robu, Valentin; La Poutré, Han
This paper studies the benefits of using priced options for solving the exposure problem that bidders with valuation synergies face when participating in multiple, sequential auctions. We consider a model in which complementary-valued items are auctioned sequentially by different sellers, who have the choice of either selling their good directly or through a priced option, after fixing its exercise price. We analyze this model from a decision-theoretic perspective and we show, for a setting where the competition is formed by local bidders, that using options can increase the expected profit for both buyers and sellers. Furthermore, we derive the equations that provide minimum and maximum bounds between which a synergy buyer's bids should fall in order for both sides to have an incentive to use the options mechanism. Next, we perform an experimental analysis of a market in which multiple synergy bidders are active simultaneously.
Pricing of swing options: A Monte Carlo simulation approach
NASA Astrophysics Data System (ADS)
Leow, Kai-Siong
We study the problem of pricing swing options, a class of multiple early exercise options that are traded in energy market, particularly in the electricity and natural gas markets. These contracts permit the option holder to periodically exercise the right to trade a variable amount of energy with a counterparty, subject to local volumetric constraints. In addition, the total amount of energy traded from settlement to expiration with the counterparty is restricted by a global volumetric constraint. Violation of this global volumetric constraint is allowed but would lead to penalty settled at expiration. The pricing problem is formulated as a stochastic optimal control problem in discrete time and state space. We present a stochastic dynamic programming algorithm which is based on piecewise linear concave approximation of value functions. This algorithm yields the value of the swing option under the assumption that the optimal exercise policy is applied by the option holder. We present a proof of an almost sure convergence that the algorithm generates the optimal exercise strategy as the number of iterations approaches to infinity. Finally, we provide a numerical example for pricing a natural gas swing call option.
NASA Astrophysics Data System (ADS)
Kanai, Yasuhiro; Abe, Keiji; Seki, Yoichi
2015-06-01
We propose a price percolation model to reproduce the price distribution of components used in industrial finished goods. The intent is to show, using the price percolation model and a component category as an example, that percolation behaviors, which exist in the matter system, the ecosystem, and human society, also exist in abstract, random phenomena satisfying the power law. First, we discretize the total potential demand for a component category, considering it a random field. Second, we assume that the discretized potential demand corresponding to a function of a finished good turns into actual demand if the difficulty of function realization is less than the maximum difficulty of the realization. The simulations using this model suggest that changes in a component category's price distribution are due to changes in the total potential demand corresponding to the lattice size and the maximum difficulty of realization, which is an occupation probability. The results are verified using electronic components' sales data.
Oscillatory Reduction in Option Pricing Formula Using Shifted Poisson and Linear Approximation
NASA Astrophysics Data System (ADS)
Nur Rachmawati, Ro'fah; Irene; Budiharto, Widodo
2014-03-01
Option is one of derivative instruments that can help investors improve their expected return and minimize the risks. However, the Black-Scholes formula is generally used in determining the price of the option does not involve skewness factor and it is difficult to apply in computing process because it produces oscillation for the skewness values close to zero. In this paper, we construct option pricing formula that involve skewness by modified Black-Scholes formula using Shifted Poisson model and transformed it into the form of a Linear Approximation in the complete market to reduce the oscillation. The results are Linear Approximation formula can predict the price of an option with very accurate and successfully reduce the oscillations in the calculation processes.
Compact finite difference method for American option pricing
NASA Astrophysics Data System (ADS)
Zhao, Jichao; Davison, Matt; Corless, Robert M.
2007-09-01
A compact finite difference method is designed to obtain quick and accurate solutions to partial differential equation problems. The problem of pricing an American option can be cast as a partial differential equation. Using the compact finite difference method this problem can be recast as an ordinary differential equation initial value problem. The complicating factor for American options is the existence of an optimal exercise boundary which is jointly determined with the value of the option. In this article we develop three ways of combining compact finite difference methods for American option price on a single asset with methods for dealing with this optimal exercise boundary. Compact finite difference method one uses the implicit condition that solutions of the transformed partial differential equation be nonnegative to detect the optimal exercise value. This method is very fast and accurate even when the spatial step size h is large (h[greater-or-equal, slanted]0.1). Compact difference method two must solve an algebraic nonlinear equation obtained by Pantazopoulos (1998) at every time step. This method can obtain second order accuracy for space x and requires a moderate amount of time comparable with that required by the Crank Nicolson projected successive over relaxation method. Compact finite difference method three refines the free boundary value by a method developed by Barone-Adesi and Lugano [The saga of the American put, 2003], and this method can obtain high accuracy for space x. The last two of these three methods are convergent, moreover all the three methods work for both short term and long term options. Through comparison with existing popular methods by numerical experiments, our work shows that compact finite difference methods provide an exciting new tool for American option pricing.
Federal Register 2010, 2011, 2012, 2013, 2014
2012-09-12
... From the Federal Register Online via the Government Publishing Office ] SECURITIES AND EXCHANGE COMMISSION Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed..., the Options Price Reporting Authority (``OPRA'') submitted to the Securities and Exchange...
An option pricing theory explanation of the invasion of Kuwait
Muhtaseb, M.R.
1995-12-31
The objective of this paper is to explain the invasion of Kuwait by making an analogy between a call option and the Iraq-Kuwait situation before the invasion on August 2, 1990. A number of factors contributed to the issuance of a deep-in-the money European call option to Iraq against Kuwait. The underlying asset is the crude oil reserves under Kuwait. Price of crude oil is determined in world spot markets. The exercise price is equal to the cost of permanently annexing and retaining Kuwait. The volatility is measured by the annualized variance of the weekly rate of return of the spot price of crude oil. Time-to-expiration is equal to the time period between decision date and actual invasion date. Finally, since crude oil prices are quoted in U.S. dollars, the U.S. Treasury bill rate is assumed to be the risk-free rate. In a base-case scenario, Kuwait`s oil reserves amount to 94,500 million barrels valued at $18 a barrell in early February 1990 resulting in a market value of $1,701 billion. Because the cost of the war to Iraq is not known, we assume it is comparable to that of the U.S.-led coalition of $51.0 billion. Time-to-expiration is six months. The treasury bill rate in early 1990 was around 7.5 percent. Annualized standard deviation of weekly rates of return is 0.216. The value of Kuwait`s invasion option is $1,642.25 billion. Depending on the scenario, the value of this special option ranged between $1,450 billion and $3.624 billion. 10 refs., 1 tab.
Federal Register 2010, 2011, 2012, 2013, 2014
2010-01-22
... COMMISSION Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed... December 28, 2009, the Options Price Reporting Authority (``OPRA'') submitted to the Securities and... will be members. The restructured OPRA will be known as Options Price Reporting Authority, LLC...
Perturbation expansion for option pricing with stochastic volatility
NASA Astrophysics Data System (ADS)
Jizba, Petr; Kleinert, Hagen; Haener, Patrick
2009-09-01
We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. The Fourier transform of this is, remarkably, of the Tsallis type. An option pricing formula is derived from the same superposition of Black-Scholes expressions. An explicit analytic formula is deduced from a perturbation expansion around a Black-Scholes formula with the mean volatility. The expansion has two parts. The first takes into account the non-Gaussian character of the stock-fluctuations and is organized by powers of the excess kurtosis, the second is contract based, and is organized by the moments of moneyness of the option. With this expansion we show that for the Dow Jones Euro Stoxx 50 option data, a Δ-hedging strategy is close to being optimal.
Some Divergence Properties of Asset Price Models
NASA Astrophysics Data System (ADS)
Stummer, Wolfgang
2001-12-01
We consider asset price processes Xt which are weak solutions of one-dimensional stochastic differential equations of the form (equation (2)) Such price models can be interpreted as non-lognormally-distributed generalizations of the geometric Brownian motion. We study properties of the Iα-divergence between the law of the solution Xt and the corresponding drift-less measure (the special case α=1 is the relative entropy). This will be applied to some context in statistical information theory as well as to arbitrage theory and contingent claim valuation. For instance, the seminal option pricing theorems of Black-Scholes and Merton appear as a special case.
Path integral pricing of outside barrier Asian options
NASA Astrophysics Data System (ADS)
Cassagnes, Aurelien; Chen, Yu; Ohashi, Hirotada
2014-01-01
Using the path-integral framework to cast the pricing problem of the outside barrier Asian option into a Wiener functional integral form, we show that, after the introduction of a law-equivalent process and transformation of the new system, the deviation from the Monte Carlo price is seen to be widely reduced. Bypassing the path-partitioning step, we show that our results behave nicely with respect to increasing correlation. After putting forward empirical evidence of this improvement, we extend the scope to a double knock-out outside barrier, and derive there an original formula. In the latter setting, we propose a simple scheme to reduce the relative error due to a nearby knock-out barrier.
Pricing American Asian options with higher moments in the underlying distribution
NASA Astrophysics Data System (ADS)
Lo, Keng-Hsin; Wang, Kehluh; Hsu, Ming-Feng
2009-01-01
We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, our estimates can work better than those in Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] and are very similar to the benchmarks in Hull and White [J. Hull, A. White, Efficient procedures for valuing European and American path-dependent options, J. Derivatives 1 (Fall) (1993) 21-31]. The numerical analysis shows that our modified Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution.
Pricing of American style options with an adjoint process correction method
NASA Astrophysics Data System (ADS)
Jaekel, Uwe
2005-07-01
Pricing of American options is a more complicated problem than pricing of European options. In this work a formula is derived that allows the computation of the early exercise premium, i.e. the price difference between these two option types in terms of an adjoint process evolving in the reversed time direction of the original process determining the evolution of the European price. We show how this equation can be utilised to improve option price estimates from numerical schemes like finite difference or Monte Carlo methods.
Multi-layer model of correlated energy prices
NASA Astrophysics Data System (ADS)
Grine, Slimane; Diko, Pavel
2010-03-01
In this article we develop an extension of the affine jump-diffusion modeling framework and use it to build an intuitive and tractable model of an energy price complex. The development is motivated by the need to model prices of electricity while capturing their dependence on the price of other energy commodities. Such a model is essential for valuing a range of typical derivatives traded in the electricity markets: cross-commodity spread options, cross-location spread options, fuel-switching powerplants, etc. We give an approximate pricing method for these derivatives together with precise error bound estimates.
Option pricing beyond Black-Scholes based on double-fractional diffusion
NASA Astrophysics Data System (ADS)
Kleinert, H.; Korbel, J.
2016-05-01
We show how the prices of options can be determined with the help of double-fractional differential equation in such a way that their inclusion in a portfolio of stocks provides a more reliable hedge against dramatic price drops than the use of options whose prices were fixed by the Black-Scholes formula.
Black-Scholes option pricing within Itô and Stratonovich conventions
NASA Astrophysics Data System (ADS)
Perelló, J.; Porrà, J. M.; Montero, M.; Masoliver, J.
2000-04-01
Options are financial instruments designed to protect investors from the stock market randomness. In 1973, Black, Scholes and Merton proposed a very popular option pricing method using stochastic differential equations within the Itô interpretation. Herein, we derive the Black-Scholes equation for the option price using the Stratonovich calculus along with a comprehensive review, aimed to physicists, of the classical option pricing method based on the Itô calculus. We show, as can be expected, that the Black-Scholes equation is independent of the interpretation chosen. We nonetheless point out the many subtleties underlying Black-Scholes option pricing method.
Bounds for the price of discrete arithmetic Asian options
NASA Astrophysics Data System (ADS)
Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J.
2006-01-01
In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of sums of dependent random variables, as explained in Kaas et al. (Ins. Math. Econom. 27 (2000) 151-168), and additionally, the ideas of Rogers and Shi (J. Appl. Probab. 32 (1995) 1077-1088) and of Nielsen and Sandmann (J. Financial Quant. Anal. 38(2) (2003) 449-473). We are able to create a unifying framework for European-style discrete arithmetic Asian options through these bounds, that generalizes several approaches in the literature as well as improves the existing results. We obtain analytical and easily computable bounds. The aim of the paper is to formulate an advice of the appropriate choice of the bounds given the parameters, investigate the effect of different conditioning variables and compare their efficiency numerically. Several sets of numerical results are included. We also discuss hedging using these bounds. Moreover, our methods are applicable to a wide range of (pricing) problems involving a sum of dependent random variables.
Optional time-of-use prices for electricity: Analysis of PG E's experimental TOU rates
Train, K.; Mehrez, G.
1992-07-01
We examine customers' time-of-use (TOU) demand for electricity and their choice between standard and TOU rate schedules. We specify an econometric model in which the customer's demand curves determine the customer's choice of rate schedule. We estimate the model on data from Pacific Gas Electric Company's experiment with optional TOU prices in the residential sector. With the model, we compare the TOU consumption and price elasticities of customers who chose TOU rates with those who chose standard rates. We also estimate the impact of the TOU rates on the utility's revenues and costs. The analysis suggests that the TOU rates offered under PG E's experiment decreased PG E's profits and hence contributed to higher general rate levels. The model can be used, however, to design optional TOU rates that increase profits and lower general rate levels.
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Liang, Cui
2007-01-01
The quantum finance pricing formulas for coupon bond options and swaptions derived by Baaquie [Phys. Rev. E 75, 016703 (2006)] are reviewed. We empirically study the swaption market and propose an efficient computational procedure for analyzing the data. Empirical results of the swaption price, volatility, and swaption correlation are compared with the predictions of quantum finance. The quantum finance model generates the market swaption price to over 90% accuracy.
Modeling spot markets for electricity and pricing electricity derivatives
NASA Astrophysics Data System (ADS)
Ning, Yumei
Spot prices for electricity have been very volatile with dramatic price spikes occurring in restructured market. The task of forecasting electricity prices and managing price risk presents a new challenge for market players. The objectives of this dissertation are: (1) to develop a stochastic model of price behavior and predict price spikes; (2) to examine the effect of weather forecasts on forecasted prices; (3) to price electricity options and value generation capacity. The volatile behavior of prices can be represented by a stochastic regime-switching model. In the model, the means of the high-price and low-price regimes and the probabilities of switching from one regime to the other are specified as functions of daily peak load. The probability of switching to the high-price regime is positively related to load, but is still not high enough at the highest loads to predict price spikes accurately. An application of this model shows how the structure of the Pennsylvania-New Jersey-Maryland market changed when market-based offers were allowed, resulting in higher price spikes. An ARIMA model including temperature, seasonal, and weekly effects is estimated to forecast daily peak load. Forecasts of load under different assumptions about weather patterns are used to predict changes of price behavior given the regime-switching model of prices. Results show that the range of temperature forecasts from a normal summer to an extremely warm summer cause relatively small increases in temperature (+1.5%) and load (+3.0%). In contrast, the increases in prices are large (+20%). The conclusion is that the seasonal outlook forecasts provided by NOAA are potentially valuable for predicting prices in electricity markets. The traditional option models, based on Geometric Brownian Motion are not appropriate for electricity prices. An option model using the regime-switching framework is developed to value a European call option. The model includes volatility risk and allows changes
Kudryavtsev, Oleg
2013-01-01
In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation. The goal of the paper is to incorporate the Wiener-Hopf factorization into finite difference methods for pricing options in Lévy models with jumps. The method is applicable for pricing barrier and American options. The pricing problem is reduced to the sequence of linear algebraic systems with a dense Toeplitz matrix; then the Wiener-Hopf factorization method is applied. We give an important probabilistic interpretation based on the infinitely divisible distributions theory to the Laurent operators in the correspondent factorization identity. Notice that our algorithm has the same complexity as the ones which use the explicit-implicit scheme, with a tridiagonal matrix. However, our method is more accurate. We support the advantage of the new method in terms of accuracy and convergence by using numerical experiments. PMID:24489518
2013-01-01
In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation. The goal of the paper is to incorporate the Wiener-Hopf factorization into finite difference methods for pricing options in Lévy models with jumps. The method is applicable for pricing barrier and American options. The pricing problem is reduced to the sequence of linear algebraic systems with a dense Toeplitz matrix; then the Wiener-Hopf factorization method is applied. We give an important probabilistic interpretation based on the infinitely divisible distributions theory to the Laurent operators in the correspondent factorization identity. Notice that our algorithm has the same complexity as the ones which use the explicit-implicit scheme, with a tridiagonal matrix. However, our method is more accurate. We support the advantage of the new method in terms of accuracy and convergence by using numerical experiments. PMID:24489518
Model risk for European-style stock index options.
Gençay, Ramazan; Gibson, Rajna
2007-01-01
In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as the Black-Scholes (BS) model with constant volatility. In this paper, we study the stochastic volatility (SV) and stochastic volatility random jump (SVJ) models as parametric benchmarks against feedforward neural network (FNN) models, a class of neural network models. Our choice for FNN models is due to their well-studied universal approximation properties of an unknown function and its partial derivatives. Since the partial derivatives of an option pricing formula are risk pricing tools, an accurate estimation of the unknown option pricing function is essential for pricing and hedging. Our findings indicate that FNN models offer themselves as robust option pricing tools, over their sophisticated parametric counterparts in predictive settings. There are two routes to explain the superiority of FNN models over the parametric models in forecast settings. These are nonnormality of return distributions and adaptive learning. PMID:17278472
Perpetual American vanilla option pricing under single regime change risk: an exhaustive study
NASA Astrophysics Data System (ADS)
Montero, Miquel
2009-07-01
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in which some of the properties—volatility and dividend policy—of the underlying stock can change at a random instant of time but in such a way that we can forecast their final values. Under this assumption we can model actual market conditions because most relevant facts usually entail sharp predictable consequences. The effect of this potential risk on perpetual American vanilla options is remarkable: the very equation that will determine the fair price depends on the solution to be found. Sound results are found under the optics both of finance and physics. In particular, a parallelism among the overall outcome of this problem and a phase transition is established.
The Use of the Information Wave Function in a Drift Dependent Option Price: A Simple Example
Haven, Emmanuel
2009-03-10
This paper briefly describes how a drift-dependent option price is obtained, following the work of Tan. We briefly argue how the information wave function concept, which has now been used in various financial settings, can be used in this type of option price.
Variable step random walks, self-similar distributions, and pricing of options (Invited Paper)
NASA Astrophysics Data System (ADS)
Gunaratne, Gemunu H.; McCauley, Joseph L.
2005-05-01
A new theory for pricing of options is presented. It is based on the assumption that successive movements depend on the value of the return. The solution to the Fokker-Planck equation is shown to be an asymmetric exponential distribution, similar to those observed in intra-day currency markets. The "volatility smile", used by traders to correct the Black-Scholes pricing is shown to be a heuristic mechanism to implement options pricing formulae derived from our theory.
Pricing Models and Payment Schemes for Library Collections.
ERIC Educational Resources Information Center
Stern, David
2002-01-01
Discusses new pricing and payment options for libraries in light of online products. Topics include alternative cost models rather than traditional subscriptions; use-based pricing; changes in scholarly communication due to information technology; methods to determine appropriate charges for different organizations; consortial plans; funding; and…
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.
2007-01-01
European options on coupon bonds are studied in a quantum field theory model of forward interest rates. Swaptions are briefly reviewed. An approximation scheme for the coupon bond option price is developed based on the fact that the volatility of the forward interest rates is a small quantity. The field theory for the forward interest rates is Gaussian, but when the payoff function for the coupon bond option is included it makes the field theory nonlocal and nonlinear. A perturbation expansion using Feynman diagrams gives a closed form approximation for the price of coupon bond option. A special case of the approximate bond option is shown to yield the industry standard one-factor HJM formula with exponential volatility.
NASA Astrophysics Data System (ADS)
Adamchuk, A. N.; Esipov, S. E.
1997-12-01
Methods of functional analysis are applied to describe collectively fluctuating default-free pure discount bonds subject to trading-related noise which generates arbitrage opportunities. Two key elements of the model are: (i) the naturally incorporated fixed bond price at maturity which is achieved by making use of only those fluctuating paths of price motion which terminate at a specified final condition, and (ii) the most attractive arbitrage opportunities between bonds with close maturities, with modeled a local linear approximation. The model can be written in different closed forms as a stochastic partial differential equation. The functional Black-Scholes equation for contingent claims is derived, and a connection with the conventional methods of option valuation is indicated.
Adaptive [theta]-methods for pricing American options
NASA Astrophysics Data System (ADS)
Khaliq, Abdul Q. M.; Voss, David A.; Kazmi, Kamran
2008-12-01
We develop adaptive [theta]-methods for solving the Black-Scholes PDE for American options. By adding a small, continuous term, the Black-Scholes PDE becomes an advection-diffusion-reaction equation on a fixed spatial domain. Standard implementation of [theta]-methods would require a Newton-type iterative procedure at each time step thereby increasing the computational complexity of the methods. Our linearly implicit approach avoids such complications. We establish a general framework under which [theta]-methods satisfy a discrete version of the positivity constraint characteristic of American options, and numerically demonstrate the sensitivity of the constraint. The positivity results are established for the single-asset and independent two-asset models. In addition, we have incorporated and analyzed an adaptive time-step control strategy to increase the computational efficiency. Numerical experiments are presented for one- and two-asset American options, using adaptive exponential splitting for two-asset problems. The approach is compared with an iterative solution of the two-asset problem in terms of computational efficiency.
Analysis of the discontinuous Galerkin method applied to the European option pricing problem
NASA Astrophysics Data System (ADS)
Hozman, J.
2013-12-01
In this paper we deal with a numerical solution of a one-dimensional Black-Scholes partial differential equation, an important scalar nonstationary linear convection-diffusion-reaction equation describing the pricing of European vanilla options. We present a derivation of the numerical scheme based on the space semidiscretization of the model problem by the discontinuous Galerkin method with nonsymmetric stabilization of diffusion terms and with the interior and boundary penalty. The main attention is paid to the investigation of a priori error estimates for the proposed scheme. The appended numerical experiments illustrate the theoretical results and the potency of the method, consequently.
Pricing American options for interest rate caps and coupon bonds in quantum finance
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Liang, Cui
2007-07-01
American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American options. The algorithm is shown to hold over a wide range of strike prices and coupon rates. All the theoretical constraints that American options have to obey are shown to hold for the numerical prices of American interest rate caps and coupon bond options. Non-trivial correlation between the different interest rates are efficiently incorporated in the numerical algorithm. New inequalities are conjectured, based on the results of the numerical study, for American options on interest rate instruments.
Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion
Sun, Jiao-Jiao; Zhou, Shengwu; Zhang, Yan; Han, Miao; Wang, Fei
2014-01-01
The pricing problem of lookback option with a fixed proportion of transaction costs is investigated when the underlying asset price follows a fractional Brownian motion process. Firstly, using Leland's hedging method a partial differential equation satisfied by the value of the lookback option is derived. Then we obtain its numerical solution by constructing a Crank-Nicolson format. Finally, the effectiveness of the proposed form is verified through a numerical example. Meanwhile, the impact of transaction cost rate and volatility on lookback option value is discussed. PMID:27433525
On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
NASA Astrophysics Data System (ADS)
Wade, B. A.; Khaliq, A. Q. M.; Yousuf, M.; Vigo-Aguiar, J.; Deininger, R.
2007-07-01
Most option pricing problems have nonsmooth payoffs or discontinuous derivatives at the exercise price. Discrete barrier options have not only nonsmooth payoffs but also time dependent discontinuities. In pricing barrier options, certain aspects are triggered if the asset price becomes too high or too low. Standard smoothing schemes used to solve problems with nonsmooth payoff do not work well for discrete barrier options because of discontinuities introduced in the time domain when each barrier is applied. Moreover, these unwanted oscillations become worse when estimating the hedging parameters, e.g., Delta and Gamma. We have an improved smoothing strategy for the Crank-Nicolson method which is unique in achieving optimal order convergence for barrier option problems. Numerical experiments are discussed for one asset and two asset problems. Time evolution graphs are obtained for one asset problems to show how option prices change with respect to time. This smoothing strategy is then extended to higher order methods using diagonal (m,m)--Pade main schemes under a smoothing strategy of using as damping schemes the (0,2m-1) subdiagonal Pade schemes.
Fast pricing of American options by linear programming
Dempster, M.; Hutton, J.P.
1994-12-31
This paper describes a new method for computation of the value of various American options on underlying dividend bearing securities under standard Black-Scholes assumptions. It is well known that the problem of valuing the American put can be expressed as solving an abstract linear complementarity problem in terms of a parabolic partial differential operator. Generalizing earlier work of Cryer, Dempster and Borwein for elliptic operators, we show that the American put option value function is the solution of an abstract linear programme bounded by the payoff at exercise. Different American options require only different payoff function bounds. Standard finite difference or finite element approximations to the complementarity problem lead to ordinary linear programmes. We report promising computational results for several American option types using IBM`s Optimization System Library on an RS6000/590.
Optional time-of-use prices for electricity: Analysis of PG&E`s experimental TOU rates. Final report
Train, K.; Mehrez, G.
1992-07-01
We examine customers` time-of-use (TOU) demand for electricity and their choice between standard and TOU rate schedules. We specify an econometric model in which the customer`s demand curves determine the customer`s choice of rate schedule. We estimate the model on data from Pacific Gas & Electric Company`s experiment with optional TOU prices in the residential sector. With the model, we compare the TOU consumption and price elasticities of customers who chose TOU rates with those who chose standard rates. We also estimate the impact of the TOU rates on the utility`s revenues and costs. The analysis suggests that the TOU rates offered under PG&E`s experiment decreased PG&E`s profits and hence contributed to higher general rate levels. The model can be used, however, to design optional TOU rates that increase profits and lower general rate levels.
Transmission pricing and renewables: Issues, options, and recommendations
Stoft, S.; Webber, C.; Wiser, R.
1997-05-01
Open access to the transmission system, if provided at reasonable costs, should open new electricity markets for high-quality renewable resources that are located far from load centers. Several factors will affect the cost of transmission service, including the type of transmission pricing system implemented and the specific attributes of renewable energy. One crucial variable in the transmission cost equation is a generator`s capacity factor. This factor is important for intermittent renewables such as wind and solar, because it can increase transmission costs several fold due to the traditional use of take-or-pay, capacity-based transmission access charges. This report argues that such a charge is demonstrably unfair to renewable generators. It puts them at an economic disadvantage that will lead to an undersupply of renewable energy compared with the least-cost mix of generation technologies. The authors argue that congestion charges must first be separated from the access charges that cover the fixed cost of the network before one can design an efficient tariff. They then show that, in a competitive market with a separate charge for congestion, a take-or-pay capacity-based access charge used to cover system fixed costs cannot be justified on the basis of peak-load pricing. An energy-based access charge, on the other hand, is fair to intermittent generators as well as to the usual spectrum of peak and base-load technologies. This report also reviews other specific characteristics of renewables that can affect the cost of transmission, and evaluates the potential impact on renewables of several transmission pricing schemes, including postage-stamp rates, megawatt-mile pricing, congestion pricing, and the Federal Energy Regulatory Commission`s {open_quotes}point-to-point{close_quotes} transmission tariffs.
Nguyen, Tuan Anh; Knight, Rosemary; Roughead, Elizabeth Ellen; Brooks, Geoffrey; Mant, Andrea
2015-03-01
Pharmaceutical expenditure is rising globally. Most high-income countries have exercised pricing or purchasing strategies to address this pressure. Low- and middle-income countries (LMICs), however, usually have less regulated pharmaceutical markets and often lack feasible pricing or purchasing strategies, notwithstanding their wish to effectively manage medicine budgets. In high-income countries, most medicines payments are made by the state or health insurance institutions. In LMICs, most pharmaceutical expenditure is out-of-pocket which creates a different dynamic for policy enforcement. The paucity of rigorous studies on the effectiveness of pharmaceutical pricing and purchasing strategies makes it especially difficult for policy makers in LMICs to decide on a course of action. This article reviews published articles on pharmaceutical pricing and purchasing policies. Many policy options for medicine pricing and purchasing have been found to work but they also have attendant risks. No one option is decisively preferred; rather a mix of options may be required based on country-specific context. Empirical studies in LMICs are lacking. However, risks from any one policy option can reasonably be argued to be greater in LMICs which often lack strong legal systems, purchasing and state institutions to underpin the healthcare system. Key factors are identified to assist LMICs improve their medicine pricing and purchasing systems. PMID:24425694
Numerical pricing of options using high-order compact finite difference schemes
NASA Astrophysics Data System (ADS)
Tangman, D. Y.; Gopaul, A.; Bhuruth, M.
2008-09-01
We consider high-order compact (HOC) schemes for quasilinear parabolic partial differential equations to discretise the Black-Scholes PDE for the numerical pricing of European and American options. We show that for the heat equation with smooth initial conditions, the HOC schemes attain clear fourth-order convergence but fail if non-smooth payoff conditions are used. To restore the fourth-order convergence, we use a grid stretching that concentrates grid nodes at the strike price for European options. For an American option, an efficient procedure is also described to compute the option price, Greeks and the optimal exercise curve. Comparisons with a fourth-order non-compact scheme are also done. However, fourth-order convergence is not experienced with this strategy. To improve the convergence rate for American options, we discuss the use of a front-fixing transformation with the HOC scheme. We also show that the HOC scheme with grid stretching along the asset price dimension gives accurate numerical solutions for European options under stochastic volatility.
The modified Black-Scholes model via constant elasticity of variance for stock options valuation
NASA Astrophysics Data System (ADS)
Edeki, S. O.; Owoloko, E. A.; Ugbebor, O. O.
2016-02-01
In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock price is shown to be a non-constant function unlike the assumption of the classical Black-Scholes model.
NASA Astrophysics Data System (ADS)
Klibanov, Michael V.; Kuzhuget, Andrey V.; Golubnichiy, Kirill V.
2016-01-01
A new empirical mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock, new initial and new boundary conditions. Conventional notions of maturity time and strike prices are not used. The Black-Scholes equation is solved as a parabolic equation with the reversed time, which is an ill-posed problem. Thus, a regularization method is used to solve it. To verify the validity of our model, real market data for 368 randomly selected liquid options are used. A new trading strategy is proposed. Our results indicates that our method is profitable on those options. Furthermore, it is shown that the performance of two simple extrapolation-based techniques is much worse. We conjecture that our method might lead to significant profits of those financial insitutions which trade large amounts of options. We caution, however, that further studies are necessary to verify this conjecture.
NASA Astrophysics Data System (ADS)
von Sydow, Lina
2013-10-01
The discontinuous Galerkin method for time integration of the Black-Scholes partial differential equation for option pricing problems is studied and compared with more standard time-integrators. In space an adaptive finite difference discretization is employed. The results show that the dG method are in most cases at least comparable to standard time-integrators and in some cases superior to them. Together with adaptive spatial grids the suggested pricing method shows great qualities.
Pricing European options with a log Student’s t-distribution: A Gosset formula
NASA Astrophysics Data System (ADS)
Cassidy, Daniel T.; Hamp, Michael J.; Ouyed, Rachid
2010-12-01
The distributions of returns for stocks are not well described by a normal probability density function (pdf). Student’s t-distributions, which have fat tails, are known to fit the distributions of the returns. We present pricing of European call or put options using a log Student’s t-distribution, which we call a Gosset approach in honour of W.S. Gosset, the author behind the nom de plume Student. The approach that we present can be used to price European options using other distributions and yields the Black-Scholes formula for returns described by a normal pdf.
Multi-factor energy price models and exotic derivatives pricing
NASA Astrophysics Data System (ADS)
Hikspoors, Samuel
The high pace at which many of the world's energy markets have gradually been opened to competition have generated a significant amount of new financial activity. Both academicians and practitioners alike recently started to develop the tools of energy derivatives pricing/hedging as a quantitative topic of its own. The energy contract structures as well as their underlying asset properties set the energy risk management industry apart from its more standard equity and fixed income counterparts. This thesis naturally contributes to these broad market developments in participating to the advances of the mathematical tools aiming at a better theory of energy contingent claim pricing/hedging. We propose many realistic two-factor and three-factor models for spot and forward price processes that generalize some well known and standard modeling assumptions. We develop the associated pricing methodologies and propose stable calibration algorithms that motivate the application of the relevant modeling schemes.
Option pricing from wavelet-filtered financial series
NASA Astrophysics Data System (ADS)
de Almeida, V. T. X.; Moriconi, L.
2012-10-01
We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most (≃99.6%) of the wavelet coefficients can be neglected for the purpose of option premium evaluation. The relevance of the hugely compressed information provided by low-pass wavelet-filtering is related to the fact that the non-gaussian statistical structure of the original financial time series is essentially preserved for expiration times which are larger than just one trading day.
A new perspective on Quantum Finance using the Black-Scholes pricing model
NASA Astrophysics Data System (ADS)
Dieng, Lamine
2007-03-01
Options are known to be divided into two types, the first type is called a call option and the second type is called a put option and these options are offered to stock holders in order to hedge their positions against risky fluctuations of the stock price. It is important to mention that due to fluctuations of the stock price, options can be found sometimes deep in the money, at the money and out of the money. A deep in the money option is described when the option's holder has a positive expected payoff, at the money option is when the option's holder has a zero expected payoff and an out of the money option is when the payoff is negative. In this work, we will assume the stock price to be described by the well known Black-Scholes model or sometimes called the multiplicative model. Using Ito calculus, Martingale and supermartingale theories, we investigated the Black-Scholes pricing equation at the money (X(stock price)= K (strike price)) when the expected payoff of the options holder is zero. We also hedged the Black-Scholes pricing equation in the limit when delta is zero to obtain the non-relativistic time independent Schroedinger equation in quantum mechanics. We compared the two equations and found the diffusion constant to be a function of the stock price in contrast to the Bachelier model we have worked on earlier. We solved the Schroedinger equation and found a dependence between interest rate, volatility and strike price at the money.
Federal Register 2010, 2011, 2012, 2013, 2014
2010-12-07
... not firm while showing the actual price and size of the firm side of the quote. This has proved to be... correctly reflect the actual state of the market. For this reason, OPRA is now proposing to add to Sections... considered for the purpose of determining what is the BBO in the subject option, but the firm side of...
Federal Register 2010, 2011, 2012, 2013, 2014
2010-11-12
... From the Federal Register Online via the Government Publishing Office SECURITIES AND EXCHANGE COMMISSION Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment To Revise the Device-Based Professional Subscriber Fees Charged by OPRA for its Basic Service November 8, 2010. Pursuant to Section 11A...
The wave-equivalent of the Black-Scholes option price: an interpretation
NASA Astrophysics Data System (ADS)
Haven, Emmanuel
2004-12-01
We propose an interpretation of the wave-equivalent of the Black-Scholes option price. We consider Nelson's version of the Brownian motion (Dynamical Theories of Brownian Motion, Princeton University Press, Princeton, NJ, 1967) and we use this specific motion as an input to produce a Black-Scholes PDE with a risk premium.
48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.
Code of Federal Regulations, 2010 CFR
2010-10-01
... 48 Federal Acquisition Regulations System 6 2010-10-01 2010-10-01 true Option to extend the term of the contract fixed price. 1552.217-77 Section 1552.217-77 Federal Acquisition Regulations System ENVIRONMENTAL PROTECTION AGENCY CLAUSES AND FORMS SOLICITATION PROVISIONS AND CONTRACT CLAUSES Texts...
On decoupling of volatility smile and term structure in inverse option pricing
NASA Astrophysics Data System (ADS)
Egger, Herbert; Hein, Torsten; Hofmann, Bernd
2006-08-01
Correct pricing of options and other financial derivatives is of great importance to financial markets and one of the key subjects of mathematical finance. Usually, parameters specifying the underlying stochastic model are not directly observable, but have to be determined indirectly from observable quantities. The identification of local volatility surfaces from market data of European vanilla options is one very important example of this type. As with many other parameter identification problems, the reconstruction of local volatility surfaces is ill-posed, and reasonable results can only be achieved via regularization methods. Moreover, due to the sparsity of data, the local volatility is not uniquely determined, but depends strongly on the kind of regularization norm used and a good a priori guess for the parameter. By assuming a multiplicative structure for the local volatility, which is motivated by the specific data situation, the inverse problem can be decomposed into two separate sub-problems. This removes part of the non-uniqueness and allows us to establish convergence and convergence rates under weak assumptions. Additionally, a numerical solution of the two sub-problems is much cheaper than that of the overall identification problem. The theoretical results are illustrated by numerical tests.
Options for pricing ancillary services in a deregulated power system
NASA Astrophysics Data System (ADS)
Yamin, Hatim Yahya
2001-07-01
GENCOs in restructured systems are compensated for selling energy in the market. In a restructured market, a mechanism is required to entice participants in the market to provide ancillary services and to ensure adequate compensation that would guarantee its economic viability. The ISO controls the dispatch of generation, manages the reliability of the transmission grid, provides open access to the transmission, buys and provides ancillary services as required, coordinates day-ahead, hour-ahead schedules and performs real time balancing of load and generation, settles real time imbalances and ancillary services sales and purchases. The ISO, also, administers congestion management protocols for the transmission grid. Since the ISO does not own any generating units it must ensure that there is enough reserves for maintaining reliability according to FERC regulations, and sufficient unloaded generating capacity for balancing services in a real-time market. The ISO could meet these requirements by creating a competitive market for ancillary services, which are metered and remain unbundled to provide an accurate compensation for each supplier and cost to each consumer, In this study, we give an overview for restructuring and ancillary services in a restructured power marketplace. Also, we discuss the effect of GENCOs' actions in the competitive energy and ancillary service markets. In addition, we propose an auction market design for hedging ancillary service costs in California market. Furthermore, we show how to include the n-1 and voltage contingencies in security constrained unit commitment. Finally, we present two approaches for GENCOs' unit commitment in a restructured power market; one is based on game theory and the other is based on market price forecasting. In each of the two GENCOs' unit commitment approaches, we discuss the GENCOs' optimal bidding strategies in energy and ancillary service markets to maximize the GENCOs' profit.
The Shuttle Cost and Price model
NASA Technical Reports Server (NTRS)
Leary, Katherine; Stone, Barbara
1983-01-01
The Shuttle Cost and Price (SCP) model was developed as a tool to assist in evaluating major aspects of Shuttle operations that have direct and indirect economic consequences. It incorporates the major aspects of NASA Pricing Policy and corresponds to the NASA definition of STS operating costs. An overview of the SCP model is presented and the cost model portion of SCP is described in detail. Selected recent applications of the SCP model to NASA Pricing Policy issues are presented.
Option pricing formulas and nonlinear filtering: a Feynman path integral perspective
NASA Astrophysics Data System (ADS)
Balaji, Bhashyam
2013-05-01
Many areas of engineering and applied science require the solution of certain parabolic partial differential equa tions, such as the Fokker-Planck and Kolmogorov equations. The fundamental solution, or the Green's function, for such PDEs can be written in terms of the Feynman path integral (FPI). The partial differential equation arising in the valuing of options is the Kolmogorov backward equation that is referred to as the Black-Scholes equation. The utility of this is demonstrated and numerical examples that illustrate the high accuracy of option price calculation even when using a fairly coarse grid.
Convergence analysis of a monotonic penalty method for American option pricing
NASA Astrophysics Data System (ADS)
Zhang, Kai; Yang, Xiaoqi; Teo, Kok Lay
2008-12-01
This paper is devoted to study the convergence analysis of a monotonic penalty method for pricing American options. A monotonic penalty method is first proposed to solve the complementarity problem arising from the valuation of American options, which produces a nonlinear degenerated parabolic PDE with Black-Scholes operator. Based on the variational theory, the solvability and convergence properties of this penalty approach are established in a proper infinite dimensional space. Moreover, the convergence rate of the combination of two power penalty functions is obtained.
Essays on pricing dynamics, price dispersion, and nested logit modelling
NASA Astrophysics Data System (ADS)
Verlinda, Jeremy Alan
The body of this dissertation comprises three standalone essays, presented in three respective chapters. Chapter One explores the possibility that local market power contributes to the asymmetric relationship observed between wholesale costs and retail prices in gasoline markets. I exploit an original data set of weekly gas station prices in Southern California from September 2002 to May 2003, and take advantage of highly detailed station and local market-level characteristics to determine the extent to which spatial differentiation influences price-response asymmetry. I find that brand identity, proximity to rival stations, bundling and advertising, operation type, and local market features and demographics each influence a station's predicted asymmetric relationship between prices and wholesale costs. Chapter Two extends the existing literature on the effect of market structure on price dispersion in airline fares by modeling the effect at the disaggregate ticket level. Whereas past studies rely on aggregate measures of price dispersion such as the Gini coefficient or the standard deviation of fares, this paper estimates the entire empirical distribution of airline fares and documents how the shape of the distribution is determined by market structure. Specifically, I find that monopoly markets favor a wider distribution of fares with more mass in the tails while duopoly and competitive markets exhibit a tighter fare distribution. These findings indicate that the dispersion of airline fares may result from the efforts of airlines to practice second-degree price discrimination. Chapter Three adopts a Bayesian approach to the problem of tree structure specification in nested logit modelling, which requires a heavy computational burden in calculating marginal likelihoods. I compare two different techniques for estimating marginal likelihoods: (1) the Laplace approximation, and (2) reversible jump MCMC. I apply the techniques to both a simulated and a travel mode
NASA Astrophysics Data System (ADS)
Egger, Herbert; Engl, Heinz W.
2005-06-01
This paper investigates the stable identification of local volatility surfaces σ(S, t) in the Black-Scholes/Dupire equation from market prices of European Vanilla options. Based on the properties of the parameter-to-solution mapping, which assigns option prices to given volatilities, we show stability and convergence of approximations gained by Tikhonov regularization. In the case of a known term-structure of the volatility surface, in particular, if the volatility is assumed to be constant in time, we prove convergence rates under simple smoothness and decay conditions on the true volatility. The convergence rate analysis sheds light onto the importance of an appropriate a priori guess for the unknown volatility and the nature of the ill-posedness of the inverse problem, caused by smoothing properties and the nonlinearity of the direct problem. Finally, the theoretical results are illustrated by numerical experiments.
Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
NASA Astrophysics Data System (ADS)
Larsson, Elisabeth; Ahlander, Krister; Hall, Andreas
2008-12-01
We show that the generalized Fourier transform can be used for reducing the computational cost and memory requirements of radial basis function methods for multi-dimensional option pricing. We derive a general algorithm, including a transformation of the Black-Scholes equation into the heat equation, that can be used in any number of dimensions. Numerical experiments in two and three dimensions show that the gain is substantial even for small problem sizes. Furthermore, the gain increases with the number of dimensions.
Code of Federal Regulations, 2010 CFR
2010-10-01
... and Service Contract Act-Price Adjustment (Multiple Year and Option Contracts). 52.222-43 Section 52... Standards Act and Service Contract Act—Price Adjustment (Multiple Year and Option Contracts). As prescribed...—Price Adjustment (Multiple Year and Option Contracts) (SEP 2009) (a) This clause applies to...
An inverse problem of determining the implied volatility in option pricing
NASA Astrophysics Data System (ADS)
Deng, Zui-Cha; Yu, Jian-Ning; Yang, Liu
2008-04-01
In the Black-Scholes world there is the important quantity of volatility which cannot be observed directly but has a major impact on the option value. In practice, traders usually work with what is known as implied volatility which is implied by option prices observed in the market. In this paper, we use an optimal control framework to discuss an inverse problem of determining the implied volatility when the average option premium, namely the average value of option premium corresponding with a fixed strike price and all possible maturities from the current time to a chosen future time, is known. The issue is converted into a terminal control problem by Green function method. The existence and uniqueness of the minimum of the control functional are addressed by the optimal control method, and the necessary condition which must be satisfied by the minimum is also given. The results obtained in the paper may be useful for those who engage in risk management or volatility trading.
Quantum model for the price dynamics
NASA Astrophysics Data System (ADS)
Choustova, Olga
2008-10-01
We apply methods of quantum mechanics to mathematical modelling of price dynamics in a financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Our model is a quantum-like model of the financial market, cf. with works of W. Segal, I.E. Segal, E. Haven. In this paper we study the problem of smoothness of price-trajectories in the Bohmian financial model. We show that even the smooth evolution of the financial pilot wave [psi](t,x) (representing expectations of traders) can induce jumps of prices of shares.
Pricing Models Using Real Data
ERIC Educational Resources Information Center
Obremski, Tom
2008-01-01
A practical hands-on classroom exercise is described and illustrated using the price of an item as dependent variable throughout. The exercise is well-tested and affords the instructor a variety of approaches and levels.
National Models for College Costs and Prices.
ERIC Educational Resources Information Center
Cunningham, Alisa F.; Merisotis, Jamie P.
2002-01-01
Examined the relationships among college prices, expenditures, and revenues within the public and private not-for-profit sectors. The trend analysis and model results found differences in the nature and strength of relationships between costs and prices across types of institutions and within types of institutions over time. (EV)
NASA Astrophysics Data System (ADS)
Liang, L. Z. J.; Lemmens, D.; Tempere, J.
2010-06-01
Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We present a method to adapt formulas for both the path-integral propagators and the option prices themselves, so that jump processes are taken into account in conjunction with the usual drift and diffusion terms. In particular, we focus on stochastic volatility models, such as the exponential Vasicek model, and extend the pricing formulas and propagator of this model to incorporate jump diffusion with a given jump size distribution. This model is of importance to include non-Gaussian fluctuations beyond the Black-Scholes model, and moreover yields a lognormal distribution of the volatilities, in agreement with results from superstatistical analysis. The results obtained in the present formalism are checked with Monte Carlo simulations.
Modeling asset price processes based on mean-field framework
NASA Astrophysics Data System (ADS)
Ieda, Masashi; Shiino, Masatoshi
2011-12-01
We propose a model of the dynamics of financial assets based on the mean-field framework. This framework allows us to construct a model which includes the interaction among the financial assets reflecting the market structure. Our study is on the cutting edge in the sense of a microscopic approach to modeling the financial market. To demonstrate the effectiveness of our model concretely, we provide a case study, which is the pricing problem of the European call option with short-time memory noise.
Convergence of the binomial tree method for Asian options in jump-diffusion models
NASA Astrophysics Data System (ADS)
Kim, Kwang Ik; Qian, Xiao-Song
2007-06-01
The binomial tree methods (BTM), first proposed by Cox, Ross and Rubinstein [J. Cox, S. Ross, M. Rubinstein, Option pricing: A simplified approach, J. Finan. Econ. 7 (1979) 229-264] in diffusion models and extended by Amin [K.I. Amin, Jump diffusion option valuation in discrete time, J. Finance 48 (1993) 1833-1863] to jump-diffusion models, is one of the most popular approaches to pricing options. In this paper, we present a binomial tree method for Asian options in jump-diffusion models and show its equivalence to certain explicit difference scheme. Employing numerical analysis and the notion of viscosity solution, we prove the uniform convergence of the binomial tree method for European-style and American-style Asian options.
Improved radial basis function methods for multi-dimensional option pricing
NASA Astrophysics Data System (ADS)
Pettersson, Ulrika; Larsson, Elisabeth; Marcusson, Gunnar; Persson, Jonas
2008-12-01
In this paper, we have derived a radial basis function (RBF) based method for the pricing of financial contracts by solving the Black-Scholes partial differential equation. As an example of a financial contract that can be priced with this method we have chosen the multi-dimensional European basket call option. We have shown numerically that our scheme is second-order accurate in time and spectrally accurate in space for constant shape parameter. For other non-optimal choices of shape parameter values, the resulting convergence rate is algebraic. We propose an adapted node point placement that improves the accuracy compared with a uniform distribution. Compared with an adaptive finite difference method, the RBF method is 20-40 times faster in one and two space dimensions and has approximately the same memory requirements.
a Merton-Like Approach to Pricing Debt Based on a Non-Gaussian Asset Model
NASA Astrophysics Data System (ADS)
Borland, Lisa; Evnine, Jeremy; Pochart, Benoit
2005-09-01
We propose a generalization to Merton's model for evaluating credit spreads. In his original work, a company's assets were assumed to follow a log-normal process. We introduce fat tails and skew into this model, along the same lines as in the option pricing model of Borland and Bouchaud (2004, Quantitative Finance 4) and illustrate the effects of each component. Preliminary empirical results indicate that this model fits well to empirically observed credit spreads with a parameterization that also matched observed stock return distributions and option prices.
NASA Astrophysics Data System (ADS)
Li, Xibao
Residential time-of-use (TOU) rates have been in practice in the U.S. since the 1970s. However, for institutional, political, and regulatory reasons, only a very small proportion of residential customers are actually on these schedules. In this thesis, I explore why this is the case by empirically investigating two groups of questions: (1) On the "supply" side: Do utilities choose to offer TOU rates in residential sectors on their own initiative if state commissions do not order them to do so? Since utilities have other options, what is the relationship between the TOU rate and other alternatives? To answer these questions, I survey residential tariffs offered by more than 100 major investor-owned utilities, study the impact of various factors on utilities' rate-making behavior, and examine utility revealed preferences among four rate options: seasonal rates, inverted block rates, demand charges, and TOU rates. Estimated results suggest that the scale of residential sectors and the revenue contribution from residential sectors are the only two significant factors that influence utility decisions on offering TOU rates. Technical and economic considerations are not significant statistically. This implies that the little acceptance of TOU rates is partly attributed to utilities' inadequate attention to TOU rate design. (2) On the "demand" side: For utilities offering TOU tariffs, why do only a very small proportion of residential customers choose these tariffs? What factors influence customer choices? Unlike previous studies that used individual-level experimental data, this research employs actual aggregated information from 29 utilities offering optional TOU rates. By incorporating neo-classical demand analysis into an aggregated random coefficient logit model, I investigate the impact of both price and non-price tariff characteristics and non-tariff factors on customer choice behavior. The analysis indicates that customer pure tariff preference (which captures the
Electricity market pricing, risk hedging and modeling
NASA Astrophysics Data System (ADS)
Cheng, Xu
In this dissertation, we investigate the pricing, price risk hedging/arbitrage, and simplified system modeling for a centralized LMP-based electricity market. In an LMP-based market model, the full AC power flow model and the DC power flow model are most widely used to represent the transmission system. We investigate the differences of dispatching results, congestion pattern, and LMPs for the two power flow models. An appropriate LMP decomposition scheme to quantify the marginal costs of the congestion and real power losses is critical for the implementation of financial risk hedging markets. However, the traditional LMP decomposition heavily depends on the slack bus selection. In this dissertation we propose a slack-independent scheme to break LMP down into energy, congestion, and marginal loss components by analyzing the actual marginal cost of each bus at the optimal solution point. The physical and economic meanings of the marginal effect at each bus provide accurate price information for both congestion and losses, and thus the slack-dependency of the traditional scheme is eliminated. With electricity priced at the margin instead of the average value, the market operator typically collects more revenue from power sellers than that paid to power buyers. According to the LMP decomposition results, the revenue surplus is then divided into two parts: congestion charge surplus and marginal loss revenue surplus. We apply the LMP decomposition results to the financial tools, such as financial transmission right (FTR) and loss hedging right (LHR), which have been introduced to hedge against price risks associated to congestion and losses, to construct a full price risk hedging portfolio. The two-settlement market structure and the introduction of financial tools inevitably create market manipulation opportunities. We investigate several possible market manipulation behaviors by virtual bidding and propose a market monitor approach to identify and quantify such
Black-Scholes finite difference modeling in forecasting of call warrant prices in Bursa Malaysia
NASA Astrophysics Data System (ADS)
Mansor, Nur Jariah; Jaffar, Maheran Mohd
2014-07-01
Call warrant is a type of structured warrant in Bursa Malaysia. It gives the holder the right to buy the underlying share at a specified price within a limited period of time. The issuer of the structured warrants usually uses European style to exercise the call warrant on the maturity date. Warrant is very similar to an option. Usually, practitioners of the financial field use Black-Scholes model to value the option. The Black-Scholes equation is hard to solve analytically. Therefore the finite difference approach is applied to approximate the value of the call warrant prices. The central in time and central in space scheme is produced to approximate the value of the call warrant prices. It allows the warrant holder to forecast the value of the call warrant prices before the expiry date.
NASA Astrophysics Data System (ADS)
Bouchaud, Jean-Philippe; Sornette, Didier
1994-06-01
The ability to price risks and devise optimal investment strategies in thé présence of an uncertain "random" market is thé cornerstone of modern finance theory. We first consider thé simplest such problem of a so-called "European call option" initially solved by Black and Scholes using Ito stochastic calculus for markets modelled by a log-Brownien stochastic process. A simple and powerful formalism is presented which allows us to generalize thé analysis to a large class of stochastic processes, such as ARCH, jump or Lévy processes. We also address thé case of correlated Gaussian processes, which is shown to be a good description of three différent market indices (MATIF, CAC40, FTSE100). Our main result is thé introduction of thé concept of an optimal strategy in the sense of (functional) minimization of the risk with respect to the portfolio. If the risk may be made to vanish for particular continuous uncorrelated 'quasiGaussian' stochastic processes (including Black and Scholes model), this is no longer the case for more general stochastic processes. The value of the residual risk is obtained and suggests the concept of risk-corrected option prices. In the presence of very large deviations such as in Lévy processes, new criteria for rational fixing of the option prices are discussed. We also apply our method to other types of options, `Asian', `American', and discuss new possibilities (`doubledecker'...). The inclusion of transaction costs leads to the appearance of a natural characteristic trading time scale. L'aptitude à quantifier le coût du risque et à définir une stratégie optimale de gestion de portefeuille dans un marché aléatoire constitue la base de la théorie moderne de la finance. Nous considérons d'abord le problème le plus simple de ce type, à savoir celui de l'option d'achat `européenne', qui a été résolu par Black et Scholes à l'aide du calcul stochastique d'Ito appliqué aux marchés modélisés par un processus Log
Majority orienting model for the oscillation of market price
NASA Astrophysics Data System (ADS)
Takahashi, H.; Itoh, Y.
2004-01-01
The present paper introduces a majority orienting model in which the dealers' behavior changes based on the influence of the price to show the oscillation of stock price in the stock market. We show the oscillation of the price for the model by applying the vanderPol equation which is a deterministic approximation of our model.
Option trading and oil futures markets
Chassard, C.; Halliwell, M.
1986-01-01
This book describes mechanics of options trading, particularly their use to complement trading in oil futures and forward markets to increase agents' flexibility in hedging against price risks. The main determinants of option premiums and a number of option pricing models are discussed as are the Black and Scholes Model, issues of options and oil-indexed bonds: The Philbro Proposal, NYMEX Crude Oil Option Contract and Standard Oil Issue.
Food Prices and Climate Extremes: A Model of Global Grain Price Variability with Storage
NASA Astrophysics Data System (ADS)
Otto, C.; Schewe, J.; Frieler, K.
2015-12-01
Extreme climate events such as droughts, floods, or heat waves affect agricultural production in major cropping regions and therefore impact the world market prices of staple crops. In the last decade, crop prices exhibited two very prominent price peaks in 2007-2008 and 2010-2011, threatening food security especially for poorer countries that are net importers of grain. There is evidence that these spikes in grain prices were at least partly triggered by actual supply shortages and the expectation of bad harvests. However, the response of the market to supply shocks is nonlinear and depends on complex and interlinked processes such as warehousing, speculation, and trade policies. Quantifying the contributions of such different factors to short-term price variability remains difficult, not least because many existing models ignore the role of storage which becomes important on short timescales. This in turn impedes the assessment of future climate change impacts on food prices. Here, we present a simple model of annual world grain prices that integrates grain stocks into the supply and demand functions. This firstly allows us to model explicitly the effect of storage strategies on world market price, and thus, for the first time, to quantify the potential contribution of trade policies to price variability in a simple global framework. Driven only by reported production and by long--term demand trends of the past ca. 40 years, the model reproduces observed variations in both the global storage volume and price of wheat. We demonstrate how recent price peaks can be reproduced by accounting for documented changes in storage strategies and trade policies, contrasting and complementing previous explanations based on different mechanisms such as speculation. Secondly, we show how the integration of storage allows long-term projections of grain price variability under climate change, based on existing crop yield scenarios.
Modeling and simulation of consumer response to dynamic pricing.
Valenzuela, J.; Thimmapuram, P.; Kim, J
2012-08-01
Assessing the impacts of dynamic-pricing under the smart grid concept is becoming extremely important for deciding its full deployment. In this paper, we develop a model that represents the response of consumers to dynamic pricing. In the model, consumers use forecasted day-ahead prices to shift daily energy consumption from hours when the price is expected to be high to hours when the price is expected to be low while maintaining the total energy consumption as unchanged. We integrate the consumer response model into the Electricity Market Complex Adaptive System (EMCAS). EMCAS is an agent-based model that simulates restructured electricity markets. We explore the impacts of dynamic-pricing on price spikes, peak demand, consumer energy bills, power supplier profits, and congestion costs. A simulation of an 11-node test network that includes eight generation companies and five aggregated consumers is performed for a period of 1 month. In addition, we simulate the Korean power system.
Creating New Pricing Models for Electronic Publishing.
ERIC Educational Resources Information Center
Boelio, David B.; Knight, Nancy H.
Establishing pricing policies for electronic publishing that are fair and flexible is of vital importance to the information industry. The pricing of most information available electronically is far less efficient and market-sensitive than it could be. Some of the new approaches to pricing, emphasizing a usage-based metric providing qualitative…
Barbose, Galen; Goldman, Charles; Bharvirkar, Ranjit; Hopper,Nicole; Ting, Michael; Neenan, Bernie
2005-08-01
Demand response (DR) has been broadly recognized to be an integral component of well-functioning electricity markets, although currently underdeveloped in most regions. Among the various initiatives undertaken to remedy this deficiency, public utility commissions (PUC) and utilities have considered implementing dynamic pricing tariffs, such as real-time pricing (RTP), and other retail pricing mechanisms that communicate an incentive for electricity consumers to reduce their usage during periods of high generation supply costs or system reliability contingencies. Efforts to introduce DR into retail electricity markets confront a range of basic policy issues. First, a fundamental issue in any market context is how to organize the process for developing and implementing DR mechanisms in a manner that facilitates productive participation by affected stakeholder groups. Second, in regions with retail choice, policymakers and stakeholders face the threshold question of whether it is appropriate for utilities to offer a range of dynamic pricing tariffs and DR programs, or just ''plain vanilla'' default service. Although positions on this issue may be based primarily on principle, two empirical questions may have some bearing--namely, what level of price response can be expected through the competitive retail market, and whether establishing RTP as the default service is likely to result in an appreciable level of DR? Third, if utilities are to have a direct role in developing DR, what types of retail pricing mechanisms are most appropriate and likely to have the desired policy impact (e.g., RTP, other dynamic pricing options, DR programs, or some combination)? Given a decision to develop utility RTP tariffs, three basic implementation issues require attention. First, should it be a default or optional tariff, and for which customer classes? Second, what types of tariff design is most appropriate, given prevailing policy objectives, wholesale market structure, ratemaking
Spatial Data Web Services Pricing Model Infrastructure
NASA Astrophysics Data System (ADS)
Ozmus, L.; Erkek, B.; Colak, S.; Cankurt, I.; Bakıcı, S.
2013-08-01
most important law with related NSDI is the establishment of General Directorate of Geographic Information System under the Ministry of Environment and Urbanism. due to; to do or to have do works and activities with related to the establishment of National Geographic Information Systems (NGIS), usage of NGIS and improvements of NGIS. Outputs of these projects are served to not only public administration but also to Turkish society. Today for example, TAKBIS data (cadastre services) are shared more than 50 institutions by Web services, Tusaga-Aktif system has more than 3800 users who are having real-time GPS data correction, Orthophoto WMS services has been started for two years as a charge of free. Today there is great discussion about data pricing among the institutions. Some of them think that the pricing is storage of the data. Some of them think that the pricing is value of data itself. There is no certain rule about pricing. On this paper firstly, pricing of data storage and later on spatial data pricing models in different countries are investigated to improve institutional understanding in Turkey.
Pricing of pharmaceuticals. Assessing the pricing potential by a pricing matrix model.
Nuijten, Mark J C; Kosa, Joszef
2004-06-01
Pricing and reimbursement of new pharmaceuticals have been based until recently on the traditional clinical trial outcomes (efficacy, safety, and quality parameters) used for registration. Now we can distinguish various additional data requirements which relate to the use of the drug in real daily practice. The most important new data requirements are effectiveness, cost-effectiveness, and budgetary impact. A main question is how much the impact is of the various types of data in the pricing and reimbursement process. The objective of this contribution is to present a method for quantifying this type of uncertainty in order to develop a more solid pricing and reimbursement strategy for a new innovative drug. The concepts are illustrated for a new hypothetical antidepressant drug in The Netherlands. This method is based on the analytic hierarchy process (AHP) concept which measures decision makers' preferences for the critical success factors. This study shows that the AHP concept may be applied to the pricing and reimbursement environment. The method may be used to assess the pricing potential of a new drug, considering the various data requirements in the reimbursement process. PMID:15452745
Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
NASA Astrophysics Data System (ADS)
Xiao, Weilin; Zhang, Xili
2016-09-01
Motivated by the empirical evidence of jumps in the dynamics of firm behavior, this paper considers the problem of pricing equity warrants in the presence of a promised lowest price when the price of the underlying asset follows the Merton's jump-diffusion process. Using the Martingale approach, we propose a valuation model of equity warrants based on the firm value, its volatility, and parameters of the jump component, which are not directly observable. To implement our pricing model empirically, this paper also provides a promising estimation method for obtaining these desired variables based on observable data, such as stock prices and the book value of total liability. We conduct an empirical study to ascertain the performance of our proposed model using the data of Changdian warrant collected from 25 May 2006 (the listing date) to 29 January 2007 (the expiration date). Furthermore, the comparison of traditional models (such as the Black-Scholes model, the Noreen-Wolfson model, the Lauterbach-Schultz model, and the Ukhov model) with our model is presented. From the empirical study, we can see that the mean absolute error of our pricing model is 16.75%. By contrast, the Black-Scholes model, the Noreen-Wolfson model, the Lauterbach-Schultz model, and the Ukhov model applied to the same warrant produce mean absolute errors of 92.24%, 45.38%, 87.34%, 76.12%, respectively. Thus both the dilution effect and the jump feature cannot be ignored in determining the valuation of equity warrants.
Exploring Management Options for Increasing Corn Land on NY Farms Affected by Rising Corn Prices
Technology Transfer Automated Retrieval System (TEKTRAN)
New York dairy farms use their most fertile land to produce corn silage, an important component of their production system. Increasing demand for corn by ethanol producers is driving up corn grain prices. This is introducing a major shift into the NY dairy farm system by prompting farmers to place m...
Modeling the Impact of Energy and Water Prices on Reservoir and Aquifer Management
NASA Astrophysics Data System (ADS)
Dale, L. L.; Vicuna, S.; Faybishenko, B.
2008-12-01
Climate change and polices to limit carbon emissions are likely to increase energy and water scarcity and raise prices. These price impacts affect the way that reservoirs and aquifers should be managed to maximize the value of water and energy outputs. In this paper, we use a model of storage in a specific region to illustrate how energy and water prices affect optimal reservoir and aquifer management. We evaluate reservoir-aquifer water management in the Merced water basin in California, applying an optimization model of storage benefits associated with different management options and input prices. The model includes two submodels: (a) a monthly nonlinear submodel for optimization of the conjunctive energy/water use and (b) an inter-annual stochastic dynamic programming submodel used for determining an operating rule matrix which maximizes system benefits for given economic and hydrologic conditions. The model input parameters include annual inflows, initial storage, crop water demands, crop prices and electricity prices. The model is used to determine changes in net energy generation and water delivery and associated changes in water storage levels caused by changes in water and energy output prices. For the scenario of water/energy tradeoffs for a pure reservoir (with no groundwater use), we illustrate the tradeoff between the agricultural water use and hydropower generation (MWh) for different energy/agriculture price ratios. The analysis is divided into four steps. The first and second steps describe these price impacts on reservoirs and aquifers, respectively. The third step covers price impacts on conjunctive reservoir and aquifer management. The forth step describes price impacts on reservoir and aquifer storage in the more common historical situation, when these facilities are managed separately. The study indicates that optimal reservoir and aquifer storage levels are a positive function of the energy to water price ratio. The study also concludes that
Time series ARIMA models for daily price of palm oil
NASA Astrophysics Data System (ADS)
Ariff, Noratiqah Mohd; Zamhawari, Nor Hashimah; Bakar, Mohd Aftar Abu
2015-02-01
Palm oil is deemed as one of the most important commodity that forms the economic backbone of Malaysia. Modeling and forecasting the daily price of palm oil is of great interest for Malaysia's economic growth. In this study, time series ARIMA models are used to fit the daily price of palm oil. The Akaike Infromation Criterion (AIC), Akaike Infromation Criterion with a correction for finite sample sizes (AICc) and Bayesian Information Criterion (BIC) are used to compare between different ARIMA models being considered. It is found that ARIMA(1,2,1) model is suitable for daily price of crude palm oil in Malaysia for the year 2010 to 2012.
A fast high-order finite difference algorithm for pricing American options
NASA Astrophysics Data System (ADS)
Tangman, D. Y.; Gopaul, A.; Bhuruth, M.
2008-12-01
We describe an improvement of Han and Wu's algorithm [H. Han, X.Wu, A fast numerical method for the Black-Scholes equation of American options, SIAM J. Numer. Anal. 41 (6) (2003) 2081-2095] for American options. A high-order optimal compact scheme is used to discretise the transformed Black-Scholes PDE under a singularity separating framework. A more accurate free boundary location based on the smooth pasting condition and the use of a non-uniform grid with a modified tridiagonal solver lead to an efficient implementation of the free boundary value problem. Extensive numerical experiments show that the new finite difference algorithm converges rapidly and numerical solutions with good accuracy are obtained. Comparisons with some recently proposed methods for the American options problem are carried out to show the advantage of our numerical method.
Petroleum property valuation: A binomial lattice implementation of option price theory
Pickles, E. ); Smith, J.L. )
1993-01-01
The authors take a simple tutorial approach to explain how option valuation can be applied in practice to the petroleum industry. They discuss a simple spreadsheet formulation, demonstrate how required input data can be extracted from market information, and give several exploration and development examples. Under the market and fiscal conditions described they derive the value of discovered, undeveloped reserves projected to result from offshore licensing in the United Kingdom, and they show how to determine the maximum amount that should be committed to an exploration work program to find those reserves. Lease-bidding and farm-out applications are briefly described. The authors recommend option valuation as an alternative to discounted cash flow analysis in situations where cash flows are uncertain and management has operating flexibility to adjust investment during the life of the project, and point to further work needed to fully value nested or embedded options. 10 refs., 9 figs.
Fuzzy pricing for urban water resources: model construction and application.
Zhao, Ranhang; Chen, Shouyu
2008-08-01
A rational water price system plays a crucial role in the optimal allocation of water resources. In this paper, a fuzzy pricing model for urban water resources is presented, which consists of a multi-criteria fuzzy evaluation model and a water resources price (WRP) computation model. Various factors affecting WRP are comprehensively evaluated with multiple levels and objectives in the multi-criteria fuzzy evaluation model, while the price vectors of water resources are constructed in the WRP computation model according to the definition of the bearing water price index, and then WRP is calculated. With the incorporation of an operator's knowledge, it considers iterative weights and subjective preference of operators for weight-assessment. The weights determined are more rational and the evaluation results are more realistic. Particularly, dual water supply is considered in the study. Different prices being fixed for water resources with different qualities conforms to the law of water resources value (WRV) itself. A high-quality groundwater price computation model is also proposed to provide optimal water allocation and to meet higher living standards. The developed model is applied in Jinan for evaluating its validity. The method presented in this paper offers some new directions in the research of WRP. PMID:17499421
Analysis of a decision model in the context of equilibrium pricing and order book pricing
NASA Astrophysics Data System (ADS)
Wagner, D. C.; Schmitt, T. A.; Schäfer, R.; Guhr, T.; Wolf, D. E.
2014-12-01
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its parameter dependence within a supply-demand balance setting. We find realistic behavior in a wide parameter range. Second, we embed our decision model in an order book setting. Here, we observe interesting features which are not present in the equilibrium pricing scheme. In particular, we find a nontrivial behavior of the order book volumes which reminds of a trend switching phenomenon. Thus, the decision making model alone does not realistically represent the trading and the stylized facts. The order book mechanism is crucial.
78 FR 10265 - Pricing for the 2013 Commemorative Coin Programs-Silver and Clad Coin Options
Federal Register 2010, 2011, 2012, 2013, 2014
2013-02-13
... announcing prices for the 2013 Girl Scouts of the USA Centennial Silver Dollar and the 2013 5-Star Generals... Centennial 50.95 55.95 Uncirculated Silver Dollar 2013 5-Star Generals Proof Silver Dollar 54.95 59.95 2013 5-Star Generals Uncirculated Silver 50.95 55.95 Dollar 2013 5-Star Generals Proof Half Dollar.. 17.95...
Convergence of the Approximation Scheme to American Option Pricing via the Discrete Morse Semiflow
Ishii, Katsuyuki; Omata, Seiro
2011-12-15
We consider the approximation scheme to the American call option via the discrete Morse semiflow, which is a minimizing scheme of a time semi-discretized variational functional. In this paper we obtain a rate of convergence of approximate solutions and the convergence of approximate free boundaries. We mainly apply the theory of variational inequalities and that of viscosity solutions to prove our results.
Brownian motion model with stochastic parameters for asset prices
NASA Astrophysics Data System (ADS)
Ching, Soo Huei; Hin, Pooi Ah
2013-09-01
The Brownian motion model may not be a completely realistic model for asset prices because in real asset prices the drift μ and volatility σ may change over time. Presently we consider a model in which the parameter x = (μ,σ) is such that its value x (t + Δt) at a short time Δt ahead of the present time t depends on the value of the asset price at time t + Δt as well as the present parameter value x(t) and m-1 other parameter values before time t via a conditional distribution. The Malaysian stock prices are used to compare the performance of the Brownian motion model with fixed parameter with that of the model with stochastic parameter.
Numerical Solution of a Model Equation of Price Formation
NASA Astrophysics Data System (ADS)
Chernogorova, T.; Vulkov, L.
2009-10-01
The paper [2] is devoted to the effect of reconciling the classical Black-Sholes theory of option pricing and hedging with various phenomena observed in the markets such as the influence of trading and hedging on the dynamics of an asset. Here we will discuss the numerical solution of initial boundary-value problems to a model equation of the theory. The lack of regularity in the solution as a result from Dirac delta coefficient reduces the accuracy in the numerical computations. First, we apply the finite volume method to discretize the differential problem. Second, we implement a technique of local regularization introduced by A-K. Tornberg and B. Engquist [7] for handling this equation. We derived the numerical regularization process into two steps: the Dirac delta function is regularized and then the regularized differential equation is discretized by difference schemes. Using the discrete maximum principle a priori bounds are obtained for the difference equations that imply stability and convergence of difference schemes for the problem under consideration. Numerical experiments are discussed.
Feedback options in nonlinear numerical finance
NASA Astrophysics Data System (ADS)
Hugger, Jens; Mashayekhi, Sima
2012-09-01
Feedback options are options where information about the trading of the underlying asset is fed back into the pricing model. This results in nonlinear pricing models. A survey of the literature about feedback options in finance is presented. The pricing model for the full feedback option on an infinite slab is presented and boundary values on a bounded domain are derived. This bounded, nonlinear, 2 dimensional initial-boundary value problem is solved numerically using a number of standard finite difference schemes and the methods incorporated in the symbolic software Maple{trade mark, serif}.
Random trinomial tree models and vanilla options
NASA Astrophysics Data System (ADS)
Ganikhodjaev, Nasir; Bayram, Kamola
2013-09-01
In this paper we introduce and study random trinomial model. The usual trinomial model is prescribed by triple of numbers (u, d, m). We call the triple (u, d, m) an environment of the trinomial model. A triple (Un, Dn, Mn), where {Un}, {Dn} and {Mn} are the sequences of independent, identically distributed random variables with 0 < Dn < 1 < Un and Mn = 1 for all n, is called a random environment and trinomial tree model with random environment is called random trinomial model. The random trinomial model is considered to produce more accurate results than the random binomial model or usual trinomial model.
Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach
NASA Astrophysics Data System (ADS)
Choustova, O.
2007-08-01
We use quantum mechanical methods to model the price dynamics in the financial market mathematically. We propose describing behavioral financial factors using the pilot-wave (Bohmian) model of quantum mechanics. The real price trajectories are determined (via the financial analogue of the second Newton law) by two financial potentials: the classical-like potential V (q) (“hard” market conditions) and the quantumlike potential U(q) (behavioral market conditions).
Modelling world gold prices and USD foreign exchange relationship using multivariate GARCH model
NASA Astrophysics Data System (ADS)
Ping, Pung Yean; Ahmad, Maizah Hura Binti
2014-12-01
World gold price is a popular investment commodity. The series have often been modeled using univariate models. The objective of this paper is to show that there is a co-movement between gold price and USD foreign exchange rate. Using the effect of the USD foreign exchange rate on the gold price, a model that can be used to forecast future gold prices is developed. For this purpose, the current paper proposes a multivariate GARCH (Bivariate GARCH) model. Using daily prices of both series from 01.01.2000 to 05.05.2014, a causal relation between the two series understudied are found and a bivariate GARCH model is produced.
Symmetry analysis of a model for the exercise of a barrier option
NASA Astrophysics Data System (ADS)
O'Hara, J. G.; Sophocleous, C.; Leach, P. G. L.
2013-09-01
A barrier option takes into account the possibility of an unacceptable change in the price of the underlying stock. Such a change could carry considerable financial loss. We examine one model based upon the Black-Scholes-Merton Equation and determine the functional forms of the barrier function and rebate function which are consistent with a solution of the underlying evolution partial differential equation using the Lie Theory of Extended Groups. The solution is consistent with the possibility of no rebate and the barrier function is very similar to one adopted on an heuristic basis.
Solution of the Black-Scholes Equation for Pricing of Barrier Option
NASA Astrophysics Data System (ADS)
Dehghan, Mehdi; Pourghanbar, Somayeh
2011-05-01
In this paper two different methods are presented to approximate the solution of the Black-Scholes equation for valuation of barrier option. These techniques can be applied directly for all types of differential equations, homogeneous or inhomogeneous. The use of these methods provides the solution of the problem in a closed form while the mesh point techniques provide the approximation at mesh points only. Also, the two schemes need less computational work in comparison with the traditional methods. These techniques can be employed for problems with initial condition. In this paper we use the variational iteration and homotopy perturbation methods for solving the Black-Scholes equation with terminal condition. Numerical results are compared with theoretical solutions in order to confirm the validity of the presented procedures.
Short-Term Energy Outlook Model Documentation: Regional Residential Heating Oil Price Model
2009-01-01
The regional residential heating oil price module of the Short-Term Energy Outlook (STEO) model is designed to provide residential retail price forecasts for the 4 census regions: Northeast, South, Midwest, and West.
Short-Term Energy Outlook Model Documentation: Regional Residential Propane Price Model
2009-01-01
The regional residential propane price module of the Short-Term Energy Outlook (STEO) model is designed to provide residential retail price forecasts for the 4 Census regions: Northeast, South, Midwest, and West.
Model documentation: Electricity market module, electricity finance and pricing submodule
Not Available
1994-04-07
The purpose of this report is to define the objectives of the model, describe its basic approach, and provide detail on how it works. The EFP is a regulatory accounting model that projects electricity prices. The model first solves for revenue requirements by building up a rate base, calculating a return on rate base, and adding the allowed expenses. Average revenues (prices) are calculated based on assumptions regarding regulator lag and customer cost allocation methods. The model then solves for the internal cash flow and analyzes the need for external financing to meet necessary capital expenditures. Finally, the EFP builds up the financial statements. The EFP is used in conjunction with the National Energy Modeling System (NEMS). Inputs to the EFP include the forecast generating capacity expansion plans, operating costs, regulator environment, and financial data. The outputs include forecasts of income statements, balance sheets, revenue requirements, and electricity prices.
Urea kinetic modeling: comparing the options.
Hoenich, N A; Keir, M J; Hildreth, K; Woffindin, C; Goodall, R; Vanholder, R; Ward, M K
1993-09-01
In this study 6 commercially produced kinetic modeling packages utilizing a variable volume, single pool urea model, as well as formulae to determine the delivery of therapy, have been compared by applying to each the same set of rigorously collected data for a group of 12 patients. Comparison of the kinetically derived parameters (urea generation rate [G], urea distribution volume [V], delivery of therapy [Kt/V], and normalized protein catabolic rate [nPCR]) showed that the values obtained for both G and V differed between packages owing to the numerical methods and the clearance used in the solution of the differential equations. Although a broad agreement between the values established for Kt/V and nPCR was noted, the 95% limits of agreement indicated that it would be prudent to exercise caution when comparing results established by different modeling packages. PMID:8240076
Model Offices: Flexible Options, Local Innovations.
ERIC Educational Resources Information Center
Perspective: Essays and Reviews of Issues in Employment Security and Employment and Training Programs, 1990
1990-01-01
This volume of an annual journal contains 17 articles that focus on model local offices of the employment security (ES) and training systems. The articles are arranged in three parts. Part I, on developing new initiatives, contains the following five articles: "A Public Employment Service for the 1990s" (Elizabeth Dole); "The Revitalization of the…
Modeling of Solid Waste Processing Options in BIO-Plex
NASA Technical Reports Server (NTRS)
Rodriguez, Luis F.; Finn, Cory; Kang, Sukwon; Hogan, John; Luna, Bernadette (Technical Monitor)
2000-01-01
BIO-Plex is a ground-based test bed currently under development by NASA for testing technologies and practices that may be utilized in future long-term life support missions. All aspects of such an Advanced Life Support (ALS) System must be considered to confidently construct a reliable system, which will not only allow the crew to survive in harsh environments, but allow the crew time to perform meaningful research. Effective handling of solid wastes is a critical aspect of the system, especially when recovery of resources contained in the waste is required. This is particularly important for ALS Systems configurations that include a Biomass Production Chamber. In these cases, significant amounts of inedible biomass waste may be produced, which can ultimately serve as a repository of necessary resources for sustaining life, notably carbon, water, and plant nutrients. Numerous biological and physicochemical solid waste processing options have been considered. Biological options include composting, aerobic digestion, and anaerobic digestion. Physicochemical options include pyrolysis, SCWO (supercritical water oxidation), various incineration configurations, microwave incineration, magnetically assisted gasification, and low temperature plasma reaction. Modeling of these options is a necessary step to assist in the design process. A previously developed top-level model of BIO-Plex implemented in MATLAB Simulink (r) for the use of systems analysis and design has been adopted for this analysis. Presently, this model only considered incineration for solid waste processing. Present work, reported here, includes the expansion of this model to include a wider array of solid waste processing options selected from the above options, bearing in mind potential, near term solid waste treatment systems. Furthermore, a trade study has also been performed among these solid waste processing technologies in an effort to determine the ideal technology for long-term life support
Path integral approach to Asian options in the Black-Scholes model
NASA Astrophysics Data System (ADS)
Devreese, J. P. A.; Lemmens, D.; Tempere, J.
2010-02-01
We derive a closed-form solution for the price of an average strike as well as an average price geometric Asian option, by making use of the path integral formulation. Our results are compared to a numerical Monte Carlo simulation. We also develop a pricing formula for an Asian option with a barrier on a control process, combining the method of images with a partitioning of the set of paths according to the average along the path. This formula is exact when the correlation is zero, and is approximate when the correlation increases.
Modeling of price and profit in coupled-ring networks
NASA Astrophysics Data System (ADS)
Tangmongkollert, Kittiwat; Suwanna, Sujin
2016-06-01
We study the behaviors of magnetization, price, and profit profiles in ring networks in the presence of the external magnetic field. The Ising model is used to determine the state of each node, which is mapped to the buy-or-sell state in a financial market, where +1 is identified as the buying state, and -1 as the selling state. Price and profit mechanisms are modeled based on the assumption that price should increase if demand is larger than supply, and it should decrease otherwise. We find that the magnetization can be induced between two rings via coupling links, where the induced magnetization strength depends on the number of the coupling links. Consequently, the price behaves linearly with time, where its rate of change depends on the magnetization. The profit grows like a quadratic polynomial with coefficients dependent on the magnetization. If two rings have opposite direction of net spins, the price flows in the direction of the majority spins, and the network with the minority spins gets a loss in profit.
Pricing turbo warrants under mixed-exponential jump diffusion model
NASA Astrophysics Data System (ADS)
Yu, Jianfeng; Xu, Weidong
2016-06-01
Turbo warrant is a special type of barrier options in which the rebate is calculated as another exotic option. In this paper, using Laplace transforms we obtain the valuation of turbo warrant under the mixed-exponential jump diffusion model, which is able to approximate any jump size distribution. The numerical Laplace inversion examples verify that the analytical solutions are accurate. The results of simulation confirm the argument that jump risk should not be ignored in the valuation of turbo warrants.
A quadranomial real options model for evaluation of emissions trading and technology
NASA Astrophysics Data System (ADS)
Sarkis, Joseph; Tamarkin, Maurry
2005-11-01
Green house gas (GHG) emissions have been tied to global climate change. One popular policy instrument that seems to have gained credibility with explicit mention of its application in the Kyoto Protocol is the use of permit trading and cap-and-trade mechanisms. Organizations functioning within this environment will need to manage their resources appropriately to remain competitive. Organizations will either have the opportunity to purchase emissions credits (offsets) from a market trading scheme or seek to reduce their emissions through different measures. Some measures may include investment in new technologies that will reduce their reliance on GHG emitting practices. In many countries, large organizations and institutions generate their own power to operate their facilities. Much of this power is generated (or bought) from GHG producing technology. Specific renewable energy sources such as wind and solar photovoltaic technology may become more feasible alternatives available to a large percentage of these organizations if they are able to take advantage and incorporate the market for GHG emissions trading in their analyses. To help organizations evaluate investment in these renewable energy technologies we introduce a real options based model that will take into consideration uncertainties associated with the technology and those associated with the GHG trading market. The real options analysis will consider both the stochastic (uncertainty) nature of the exercise price of the technology and the stochastic nature of the market trading price of the GHG emissions.
Shabri, Ani; Samsudin, Ruhaidah
2014-01-01
Crude oil prices do play significant role in the global economy and are a key input into option pricing formulas, portfolio allocation, and risk measurement. In this paper, a hybrid model integrating wavelet and multiple linear regressions (MLR) is proposed for crude oil price forecasting. In this model, Mallat wavelet transform is first selected to decompose an original time series into several subseries with different scale. Then, the principal component analysis (PCA) is used in processing subseries data in MLR for crude oil price forecasting. The particle swarm optimization (PSO) is used to adopt the optimal parameters of the MLR model. To assess the effectiveness of this model, daily crude oil market, West Texas Intermediate (WTI), has been used as the case study. Time series prediction capability performance of the WMLR model is compared with the MLR, ARIMA, and GARCH models using various statistics measures. The experimental results show that the proposed model outperforms the individual models in forecasting of the crude oil prices series. PMID:24895666
Shabri, Ani; Samsudin, Ruhaidah
2014-01-01
Crude oil prices do play significant role in the global economy and are a key input into option pricing formulas, portfolio allocation, and risk measurement. In this paper, a hybrid model integrating wavelet and multiple linear regressions (MLR) is proposed for crude oil price forecasting. In this model, Mallat wavelet transform is first selected to decompose an original time series into several subseries with different scale. Then, the principal component analysis (PCA) is used in processing subseries data in MLR for crude oil price forecasting. The particle swarm optimization (PSO) is used to adopt the optimal parameters of the MLR model. To assess the effectiveness of this model, daily crude oil market, West Texas Intermediate (WTI), has been used as the case study. Time series prediction capability performance of the WMLR model is compared with the MLR, ARIMA, and GARCH models using various statistics measures. The experimental results show that the proposed model outperforms the individual models in forecasting of the crude oil prices series. PMID:24895666
Pricing Models for Electronic Databases on the Internet.
ERIC Educational Resources Information Center
Machovec, George S., Ed.
1998-01-01
Outlines prevalent electronic information pricing models along with their strengths and weaknesses. Highlights include full-time equivalent (FTE) student counts; pure head counts; print plus fee; concurrent users; IP (information provider) classes; by transaction, connect time or retrieval; other factors, e.g., total budget and materials budget;…
A Model of Price Search Behavior in Electronic Marketplace.
ERIC Educational Resources Information Center
Jiang, Pingjun
2002-01-01
Discussion of online consumer behavior focuses on the development of a conceptual model and a set of propositions to explain the main factors influencing online price search. Integrates the psychological search literature into the context of online searching by incorporating ability and cost to search for information into perceived search…
Application for Single Price Auction Model (SPA) in AC Network
NASA Astrophysics Data System (ADS)
Wachi, Tsunehisa; Fukutome, Suguru; Chen, Luonan; Makino, Yoshinori; Koshimizu, Gentarou
This paper aims to develop a single price auction model with AC transmission network, based on the principle of maximizing social surplus of electricity market. Specifically, we first formulate the auction market as a nonlinear optimization problem, which has almost the same form as the conventional optimal power flow problem, and then propose an algorithm to derive both market clearing price and trade volume of each player even for the case of market-splitting. As indicated in the paper, the proposed approach can be used not only for the price evaluation of auction or bidding market but also for analysis of bidding strategy, congestion effect and other constraints or factors. Several numerical examples are used to demonstrate effectiveness of our method.
Valuing water resources in Switzerland using a hedonic price model
NASA Astrophysics Data System (ADS)
van Dijk, Diana; Siber, Rosi; Brouwer, Roy; Logar, Ivana; Sanadgol, Dorsa
2016-05-01
In this paper, linear and spatial hedonic price models are applied to the housing market in Switzerland, covering all 26 cantons in the country over the period 2005-2010. Besides structural house, neighborhood and socioeconomic characteristics, we include a wide variety of new environmental characteristics related to water to examine their role in explaining variation in sales prices. These include water abundance, different types of water bodies, the recreational function of water, and water disamenity. Significant spatial autocorrelation is found in the estimated models, as well as nonlinear effects for distances to the nearest lake and large river. Significant effects are furthermore found for water abundance and the distance to large rivers, but not to small rivers. Although in both linear and spatial models water related variables explain less than 1% of the price variation, the distance to the nearest bathing site has a larger marginal contribution than many neighborhood-related distance variables. The housing market shows to differentiate between different water related resources in terms of relative contribution to house prices, which could help the housing development industry make more geographically targeted planning activities.
A stochastic delay model for pricing debt and equity: Numerical techniques and applications
NASA Astrophysics Data System (ADS)
Tambue, Antoine; Kemajou Brown, Elisabeth; Mohammed, Salah
2015-01-01
Delayed nonlinear models for pricing corporate liabilities and European options were recently developed. Using self-financed strategy and duplication we were able to derive a Random Partial Differential Equation (RPDE) whose solutions describe the evolution of debt and equity values of a corporate in the last delay period interval in the accompanied paper (Kemajou et al., 2012) [14]. In this paper, we provide robust numerical techniques to solve the delayed nonlinear model for the corporate value, along with the corresponding RPDEs modeling the debt and equity values of the corporate. Using financial data from some firms, we forecast and compare numerical solutions from both the nonlinear delayed model and classical Merton model with the real corporate data. From this comparison, it comes up that in corporate finance the past dependence of the firm value process may be an important feature and therefore should not be ignored.
Meier, Petra S.; Holmes, John; Angus, Colin; Ally, Abdallah K.; Meng, Yang; Brennan, Alan
2016-01-01
Introduction While evidence that alcohol pricing policies reduce alcohol-related health harm is robust, and alcohol taxation increases are a WHO “best buy” intervention, there is a lack of research comparing the scale and distribution across society of health impacts arising from alternative tax and price policy options. The aim of this study is to test whether four common alcohol taxation and pricing strategies differ in their impact on health inequalities. Methods and Findings An econometric epidemiological model was built with England 2014/2015 as the setting. Four pricing strategies implemented on top of the current tax were equalised to give the same 4.3% population-wide reduction in total alcohol-related mortality: current tax increase, a 13.4% all-product duty increase under the current UK system; a value-based tax, a 4.0% ad valorem tax based on product price; a strength-based tax, a volumetric tax of £0.22 per UK alcohol unit (= 8 g of ethanol); and minimum unit pricing, a minimum price threshold of £0.50 per unit, below which alcohol cannot be sold. Model inputs were calculated by combining data from representative household surveys on alcohol purchasing and consumption, administrative and healthcare data on 43 alcohol-attributable diseases, and published price elasticities and relative risk functions. Outcomes were annual per capita consumption, consumer spending, and alcohol-related deaths. Uncertainty was assessed via partial probabilistic sensitivity analysis (PSA) and scenario analysis. The pricing strategies differ as to how effects are distributed across the population, and, from a public health perspective, heavy drinkers in routine/manual occupations are a key group as they are at greatest risk of health harm from their drinking. Strength-based taxation and minimum unit pricing would have greater effects on mortality among drinkers in routine/manual occupations (particularly for heavy drinkers, where the estimated policy effects on
The asset pricing model of musharakah factors
NASA Astrophysics Data System (ADS)
Simon, Shahril; Omar, Mohd; Lazam, Norazliani Md
2015-02-01
The existing three-factor model developed by Fama and French for conventional investment was formulated based on risk-free rates element in which contradict with Shariah principles. We note that the underlying principles that govern Shariah investment were mutual risk and profit sharing between parties, the assurance of fairness for all and that transactions were based on an underlying asset. In addition, the three-factor model did not exclude stock that was not permissible by Shariah such as financial services based on riba (interest), gambling operator, manufacture or sale of non-halal products or related products and other activities deemed non-permissible according to Shariah. Our approach to construct the factor model for Shariah investment was based on the basic tenets of musharakah in tabulating the factors. We start by noting that Islamic stocks with similar characteristics should have similar returns and risks. This similarity between Islamic stocks was defined by the similarity of musharakah attributes such as business, management, profitability and capital. These attributes define factor exposures (or betas) to factors. The main takeaways were that musharakah attributes we chose had explain stock returns well in cross section and were significant in different market environments. The management factor seemed to be responsible for the general dynamics of the explanatory power.
A discontinuous Galerkin method for two-dimensional PDE models of Asian options
NASA Astrophysics Data System (ADS)
Hozman, J.; Tichý, T.; Cvejnová, D.
2016-06-01
In our previous research we have focused on the problem of plain vanilla option valuation using discontinuous Galerkin method for numerical PDE solution. Here we extend a simple one-dimensional problem into two-dimensional one and design a scheme for valuation of Asian options, i.e. options with payoff depending on the average of prices collected over prespecified horizon. The algorithm is based on the approach combining the advantages of the finite element methods together with the piecewise polynomial generally discontinuous approximations. Finally, an illustrative example using DAX option market data is provided.
Modeling of materials supply, demand and prices
NASA Technical Reports Server (NTRS)
1982-01-01
The societal, economic, and policy tradeoffs associated with materials processing and utilization, are discussed. The materials system provides the materials engineer with the system analysis required for formulate sound materials processing, utilization, and resource development policies and strategies. Materials system simulation and modeling research program including assessments of materials substitution dynamics, public policy implications, and materials process economics was expanded. This effort includes several collaborative programs with materials engineers, economists, and policy analysts. The technical and socioeconomic issues of materials recycling, input-output analysis, and technological change and productivity are examined. The major thrust areas in materials systems research are outlined.
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-26
..., 2010. The closing price for SIRI on that day was $ 0.9678. If the investor wanted to buy a call option... contract times 50 contracts). \\6\\ Using a Black Scholes pricing model. Similarly, if an investor wanted...
Adaptation of warrant price with Black Scholes model and historical volatility
NASA Astrophysics Data System (ADS)
Aziz, Khairu Azlan Abd; Idris, Mohd Fazril Izhar Mohd; Saian, Rizauddin; Daud, Wan Suhana Wan
2015-05-01
This project discusses about pricing warrant in Malaysia. The Black Scholes model with non-dividend approach and linear interpolation technique was applied in pricing the call warrant. Three call warrants that are listed in Bursa Malaysia were selected randomly from UiTM's datastream. The finding claims that the volatility for each call warrants are different to each other. We have used the historical volatility which will describes the price movement by which an underlying share is expected to fluctuate within a period. The Black Scholes model price that was obtained by the model will be compared with the actual market price. Mispricing the call warrants will contribute to under or over valuation price. Other variables like interest rate, time to maturity date, exercise price and underlying stock price are involves in pricing call warrants as well as measuring the moneyness of call warrants.
Slice sampling technique in Bayesian extreme of gold price modelling
NASA Astrophysics Data System (ADS)
Rostami, Mohammad; Adam, Mohd Bakri; Ibrahim, Noor Akma; Yahya, Mohamed Hisham
2013-09-01
In this paper, a simulation study of Bayesian extreme values by using Markov Chain Monte Carlo via slice sampling algorithm is implemented. We compared the accuracy of slice sampling with other methods for a Gumbel model. This study revealed that slice sampling algorithm offers more accurate and closer estimates with less RMSE than other methods . Finally we successfully employed this procedure to estimate the parameters of Malaysia extreme gold price from 2000 to 2011.
Short-Term Energy Outlook Model Documentation: Petroleum Product Prices Module
2015-01-01
The petroleum products price module of the Short-Term Energy Outlook (STEO) model is designed to provide U.S. average wholesale and retail price forecasts for motor gasoline, diesel fuel, heating oil, and jet fuel.
Pricing of medical devices under coverage uncertainty--a modelling approach.
Girling, Alan J; Lilford, Richard J; Young, Terry P
2012-12-01
Product vendors and manufacturers are increasingly aware that purchasers of health care will fund new clinical treatments only if they are perceived to deliver value-for-money. This influences companies' internal commercial decisions, including the price they set for their products. Other things being equal, there is a price threshold, which is the maximum price at which the device will be funded and which, if its value were known, would play a central role in price determination. This paper examines the problem of pricing a medical device from the vendor's point of view in the presence of uncertainty about what the price threshold will be. A formal solution is obtained by maximising the expected value of the net revenue function, assuming a Bayesian prior distribution for the price threshold. A least admissible price is identified. The model can also be used as a tool for analysing proposed pricing policies when no formal prior specification of uncertainty is available. PMID:22021085
Path Integrals and Exotic Options:. Methods and Numerical Results
NASA Astrophysics Data System (ADS)
Bormetti, G.; Montagna, G.; Moreni, N.; Nicrosini, O.
2005-09-01
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price path dependent options on multidimensional and correlated underlying assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we detail the case of Asian call options. The numerical results are compared with those obtained with other procedures used in quantitative finance and found to be in good agreement. In particular, when pricing at the money (ATM) and out of the money (OTM) options, path integral exhibits competitive performances.
Theory of Financial Risk and Derivative Pricing
NASA Astrophysics Data System (ADS)
Bouchaud, Jean-Philippe; Potters, Marc
2009-01-01
Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.
Short-Term Energy Outlook Model Documentation: Natural Gas Consumption and Prices
2015-01-01
The natural gas consumption and price modules of the Short-Term Energy Outlook (STEO) model are designed to provide consumption and end-use retail price forecasts for the residential, commercial, and industrial sectors in the nine Census districts and natural gas working inventories in three regions. Natural gas consumption shares and prices in each Census district are used to calculate an average U.S. retail price for each end-use sector.
Federal Register 2010, 2011, 2012, 2013, 2014
2011-05-10
... Register of December 8, 2010 (75 FR 76472) (December 2010 notice), FDA issued a notice to request that... associations representing such companies. (See 75 FR 61497, October 5, 2010.) Based on comments submitted to... HUMAN SERVICES Food and Drug Administration Biologics Price Competition and Innovation Act of...
Modeling Long-term Behavior of Stock Market Prices Using Differential Equations
NASA Astrophysics Data System (ADS)
Yang, Xiaoxiang; Zhao, Conan; Mazilu, Irina
2015-03-01
Due to incomplete information available in the market and uncertainties associated with the price determination process, the stock prices fluctuate randomly during a short period of time. In the long run, however, certain economic factors, such as the interest rate, the inflation rate, and the company's revenue growth rate, will cause a gradual shift in the stock price. Thus, in this paper, a differential equation model has been constructed in order to study the effects of these factors on the stock prices. The model obtained accurately describes the general trends in the AAPL and XOM stock price changes over the last ten years.
Developing a new stochastic competitive model regarding inventory and price
NASA Astrophysics Data System (ADS)
Rashid, Reza; Bozorgi-Amiri, Ali; Seyedhoseini, S. M.
2015-01-01
Within the competition in today's business environment, the design of supply chains becomes more complex than before. This paper deals with the retailer's location problem when customers choose their vendors, and inventory costs have been considered for retailers. In a competitive location problem, price and location of facilities affect demands of customers; consequently, simultaneous optimization of the location and inventory system is needed. To prepare a realistic model, demand and lead time have been assumed as stochastic parameters, and queuing theory has been used to develop a comprehensive mathematical model. Due to complexity of the problem, a branch and bound algorithm has been developed, and its performance has been validated in several numerical examples, which indicated effectiveness of the algorithm. Also, a real case has been prepared to demonstrate performance of the model for real world.
The valuation of currency options by fractional Brownian motion.
Shokrollahi, Foad; Kılıçman, Adem
2016-01-01
This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. In addition, some properties of our pricing formula and simulation studies are presented, which demonstrate that the FBM model is easy to use. PMID:27504243
A semi-Markov model for price returns
NASA Astrophysics Data System (ADS)
D'Amico, Guglielmo; Petroni, Filippo
2012-10-01
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov process and the overnight returns are modeled by a Markov chain. Based on this assumptions we derived the equations for the first passage time distribution and the volatility autocorrelation function. Theoretical results have been compared with empirical findings from real data. In particular we analyzed high frequency data from the Italian stock market from 1 January 2007 until the end of December 2010. The semi-Markov hypothesis is also tested through a nonparametric test of hypothesis.
Interest rates in quantum finance: Caps, swaptions and bond options
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.
2010-01-01
The prices of the main interest rate options in the financial markets, derived from the Libor (London Interbank Overnight Rate), are studied in the quantum finance model of interest rates. The option prices show new features for the Libor Market Model arising from the fact that, in the quantum finance formulation, all the different Libor payments are coupled and (imperfectly) correlated. Black’s caplet formula for quantum finance is given an exact path integral derivation. The coupon and zero coupon bond options as well as the Libor European and Asian swaptions are derived in the framework of quantum finance. The approximate Libor option prices are derived using the volatility expansion. The BGM-Jamshidian (Gatarek et al. (1996) [1], Jamshidian (1997) [2]) result for the Libor swaption prices is obtained as the limiting case when all the Libors are exactly correlated. A path integral derivation is given of the approximate BGM-Jamshidian approximate price.
Cooperative and non-cooperative discrete differential models of oil pricing and the OPEC cartel
Ahmadian, M.
1984-01-01
The theoretical purpose of the study is to determine and to compare the oil price paths for different market structures, which include cooperative and non-cooperative discrete differential models of the world oil market. The latter (NCDDMs) includes competitive, monopolistic, and Nash-Cournot markets; whereas, the former consists of a Nash-bargaining model (NBM). The empirical purpose of the study are: 1) to apply the NBM to the world oil market and evaluate the OPEC behavior as a price-maker, 2) to elaborate the implications of oil price rises on OPEC cartel stability, and 3) to show how restrictions on production are allocated among OPEC nations. In the monopolistic and competitive markets, under the assumptions of constant production costs over time and identical discount rates, the study concludes that when the initial monopoly price is higher than (lower than) the initial competitive price, the optimal monopoly price path with increasing (decreasing) oil demand elasticities over time will intersect the optimal competitive price path. Also, the optimal monopoly price path with constant oil demand elasticities over time will continue along and be identical and parallel to the competitive price path, whether the initial monopoly price is equal to or different from the inital competitive price.
Kinetic market models with single commodity having price fluctuations
NASA Astrophysics Data System (ADS)
Chatterjee, A.; Chakrabarti, B. K.
2006-12-01
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of trading or exchange of money and commodity proceeds, with local (in time) fluctuations in the price of the commodity. These distributions are studied in markets with agents having uniform and random saving factors. The self-organizing features in money distribution are similar to the cases without any commodity (or with consumable commodities), while the commodity distribution shows an exponential decay. The wealth distribution shows interesting behavior: gamma like distribution for uniform saving propensity and has the same power-law tail, as that of the money distribution, for a market with agents having random saving propensity.
Quantum spatial-periodic harmonic model for daily price-limited stock markets
NASA Astrophysics Data System (ADS)
Meng, Xiangyi; Zhang, Jian-Wei; Xu, Jingjing; Guo, Hong
2015-11-01
We investigate the behaviors of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is considered to be oscillating and damping in a quantum spatial-periodic harmonic oscillator potential well. A complicated non-linear relation including inter-band positive correlation and intra-band negative correlation between the volatility and trading volume of a stock is numerically derived with the energy band structure of the model concerned. The effectiveness of price limit is re-examined, with some observed characteristics of price-limited stock markets in China studied by applying our quantum model.
Preliminary analysis on hybrid Box-Jenkins - GARCH modeling in forecasting gold price
NASA Astrophysics Data System (ADS)
Yaziz, Siti Roslindar; Azizan, Noor Azlinna; Ahmad, Maizah Hura; Zakaria, Roslinazairimah; Agrawal, Manju; Boland, John
2015-02-01
Gold has been regarded as a valuable precious metal and the most popular commodity as a healthy return investment. Hence, the analysis and prediction of gold price become very significant to investors. This study is a preliminary analysis on gold price and its volatility that focuses on the performance of hybrid Box-Jenkins models together with GARCH in analyzing and forecasting gold price. The Box-Cox formula is used as the data transformation method due to its potential best practice in normalizing data, stabilizing variance and reduces heteroscedasticity using 41-year daily gold price data series starting 2nd January 1973. Our study indicates that the proposed hybrid model ARIMA-GARCH with t-innovation can be a new potential approach in forecasting gold price. This finding proves the strength of GARCH in handling volatility in the gold price as well as overcomes the non-linear limitation in the Box-Jenkins modeling.
Numerical valuation of discrete double barrier options
NASA Astrophysics Data System (ADS)
Milev, Mariyan; Tagliani, Aldo
2010-03-01
In the present paper we explore the problem for pricing discrete barrier options utilizing the Black-Scholes model for the random movement of the asset price. We postulate the problem as a path integral calculation by choosing approach that is similar to the quadrature method. Thus, the problem is reduced to the estimation of a multi-dimensional integral whose dimension corresponds to the number of the monitoring dates. We propose a fast and accurate numerical algorithm for its valuation. Our results for pricing discretely monitored one and double barrier options are in agreement with those obtained by other numerical and analytical methods in Finance and literature. A desired level of accuracy is very fast achieved for values of the underlying asset close to the strike price or the barriers. The method has a simple computer implementation and it permits observing the entire life of the option.
Daniels, Marcus G; Farmer, J Doyne; Gillemot, László; Iori, Giulia; Smith, Eric
2003-03-14
We model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of markets, such as the diffusion rate of prices (which is the standard measure of financial risk) and the spread and price impact functions (which are the main determinants of transaction cost). Guided by dimensional analysis, simulation, and mean-field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices. PMID:12689037
NASA Astrophysics Data System (ADS)
Daniels, Marcus G.; Farmer, J. Doyne; Gillemot, László; Iori, Giulia; Smith, Eric
2003-03-01
We model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of markets, such as the diffusion rate of prices (which is the standard measure of financial risk) and the spread and price impact functions (which are the main determinants of transaction cost). Guided by dimensional analysis, simulation, and mean-field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices.
Price of oil and OPEC behavior: a utility maximization model
Adeinat, M.K.
1985-01-01
There is growing evidence that OPEC has neither behaved as a cartel, at least in the last decade, nor maximized the discounted value of its profits as would be suggested by the theory of exhaustible resources. This dissertation attempts to find a way out of this dead end by proposing a utility maximization model. According to the utility maximization model, the decisions of how much crude oil each country produces is determined by a country's budgetary needs. The objective of each country is to choose present consumption and future consumption (which must be financed by its future income which can, in turn, be generated either by its investment out of current income or the proceeds of its oil reserves) at time t to maximize its utility function subject to its budget and absorptive capacity constraints. The model predicted that whenever the amount of savings is greater than the country's absorptive capacity as a result of higher prices of oil, it would respond by cutting back its production of oil. This prediction is supported by the following empirical findings: (1) that the marginal propensity to save (MPS) exceeded the marginal propensity to invest (MPI) during the period of study (1967-1981), implying that OPEC countries were facing an absorptive capacity constraint and (2) the quantity of oil production responded negatively to the permanent income in all three countries, the response being highly significant for those countries with the greatest budget surpluses.
A Bayesian Multi-Level Factor Analytic Model of Consumer Price Sensitivities across Categories
ERIC Educational Resources Information Center
Duvvuri, Sri Devi; Gruca, Thomas S.
2010-01-01
Identifying price sensitive consumers is an important problem in marketing. We develop a Bayesian multi-level factor analytic model of the covariation among household-level price sensitivities across product categories that are substitutes. Based on a multivariate probit model of category incidence, this framework also allows the researcher to…
Assessment of the dynamics of Asian and European option on the hybrid system
NASA Astrophysics Data System (ADS)
Bogdanov, A. V.; Stepanov, E. A.; Khmel, D. S.
2016-02-01
In this article the problem of performance optimization for estimation of European and Asian options pricing is discussed. The main goal is to substantially improve the performance in solving the problems on the hybrid system. The authors optimized the algorithms of the Monte Carlo method for solving stochastic differential equations and path integral derived from Black-Scholes model for pricing options.
Maximum entropy distribution of stock price fluctuations
NASA Astrophysics Data System (ADS)
Bartiromo, Rosario
2013-04-01
In this paper we propose to use the principle of absence of arbitrage opportunities in its entropic interpretation to obtain the distribution of stock price fluctuations by maximizing its information entropy. We show that this approach leads to a physical description of the underlying dynamics as a random walk characterized by a stochastic diffusion coefficient and constrained to a given value of the expected volatility, in this way taking into account the information provided by the existence of an option market. The model is validated by a comprehensive comparison with observed distributions of both price return and diffusion coefficient. Expected volatility is the only parameter in the model and can be obtained by analysing option prices. We give an analytic formulation of the probability density function for price returns which can be used to extract expected volatility from stock option data.
Comparison of two water pricing policies in hydro-economic modeling study
NASA Astrophysics Data System (ADS)
Riegels, N.; Pulido Velazquez, M.; Doulgeris, C.; Sturm, V.; Jensen, R.; Møller, F.; Bauer-Gottwein, P.
2012-04-01
A study is presented comparing two different water pricing policies that are applied to wholesale water users throughout a river basin. The purpose of the study is to test policies that meet some of the water pricing objectives of the European Union Water Framework Directive (WFD). In the first policy, a single volumetric water price is applied to all wholesale water users throughout a case study river basin located in northern Greece. The same price is applied consistently to all surface water and groundwater users regardless of water use type and does not vary in space or time. In the second policy surface water is priced at a uniform volumetric price, while groundwater is priced using the price of energy as a surrogate for a volumetric water price. The policies are compared using a hydro-economic modeling approach in which wholesale water users are assumed to respond to water price changes according to microeconomic theory. A hydrological model of the case study river basin is used to estimate the impact of water use changes on river flow patterns, which are then used to assess the ecological status of the basin. WFD ecological status requirements are imposed as a constraint in the model, and an optimization approach is used to identify prices that meet the WFD requirements while minimizing opportunity costs (in terms of total welfare losses). Model results suggest that there is little difference between the two approaches in terms of the total opportunity costs of meeting the ecological status requirements of the WFD. However, the distribution of opportunity costs is different, with the second approach reducing the economic impact on producers of low value crops and small urban/domestic users. Because growers of low value crops will suffer the most from water price increases, the second policy offers the advantage of reducing this burden. In addition, because of difficulties associated with monitoring groundwater use, the second policy may be easier to
A GIS-based hedonic price model for agricultural land
NASA Astrophysics Data System (ADS)
Demetriou, Demetris
2015-06-01
Land consolidation is a very effective land management planning approach that aims towards rural/agricultural sustainable development. Land reallocation which involves land tenure restructuring is the most important, complex and time consuming component of land consolidation. Land reallocation relies on land valuation since its fundamental principle provides that after consolidation, each landowner shall be granted a property of an aggregate value that is approximately the same as the value of the property owned prior to consolidation. Therefore, land value is the crucial factor for the land reallocation process and hence for the success and acceptance of the final land consolidation plan. Land valuation is a process of assigning values to all parcels (and its contents) and it is usually carried out by an ad-hoc committee. However, the process faces some problems such as it is time consuming hence costly, outcomes may present inconsistency since it is carried out manually and empirically without employing systematic analytical tools and in particular spatial analysis tools and techniques such as statistical/mathematical. A solution to these problems can be the employment of mass appraisal land valuation methods using automated valuation models (AVM) based on international standards. In this context, this paper presents a spatial based linear hedonic price model which has been developed and tested in a case study land consolidation area in Cyprus. Results showed that the AVM is capable to produce acceptable in terms of accuracy and reliability land values and to reduce time hence cost required by around 80%.
Bouchard, Bruno Vu, Thanh Nam
2010-04-15
We provide an obstacle version of the Geometric Dynamic Programming Principle of Soner and Touzi (J. Eur. Math. Soc. 4:201-236, 2002) for stochastic target problems. This opens the doors to a wide range of applications, particularly in risk control in finance and insurance, in which a controlled stochastic process has to be maintained in a given set on a time interval [0,T]. As an example of application, we show how it can be used to provide a viscosity characterization of the super-hedging cost of American options under portfolio constraints, without appealing to the standard dual formulation from mathematical finance. In particular, we allow for a degenerate volatility, a case which does not seem to have been studied so far in this context.
Equilibrium pricing in an order book environment: Case study for a spin model
NASA Astrophysics Data System (ADS)
Meudt, Frederik; Schmitt, Thilo A.; Schäfer, Rudi; Guhr, Thomas
2016-07-01
When modeling stock market dynamics, the price formation is often based on an equilibrium mechanism. In real stock exchanges, however, the price formation is governed by the order book. It is thus interesting to check if the resulting stylized facts of a model with equilibrium pricing change, remain the same or, more generally, are compatible with the order book environment. We tackle this issue in the framework of a case study by embedding the Bornholdt-Kaizoji-Fujiwara spin model into the order book dynamics. To this end, we use a recently developed agent based model that realistically incorporates the order book. We find realistic stylized facts. We conclude for the studied case that equilibrium pricing is not needed and that the corresponding assumption of a "fundamental" price may be abandoned.
Adaptive hidden Markov model with anomaly States for price manipulation detection.
Cao, Yi; Li, Yuhua; Coleman, Sonya; Belatreche, Ammar; McGinnity, Thomas Martin
2015-02-01
Price manipulation refers to the activities of those traders who use carefully designed trading behaviors to manually push up or down the underlying equity prices for making profits. With increasing volumes and frequency of trading, price manipulation can be extremely damaging to the proper functioning and integrity of capital markets. The existing literature focuses on either empirical studies of market abuse cases or analysis of particular manipulation types based on certain assumptions. Effective approaches for analyzing and detecting price manipulation in real time are yet to be developed. This paper proposes a novel approach, called adaptive hidden Markov model with anomaly states (AHMMAS) for modeling and detecting price manipulation activities. Together with wavelet transformations and gradients as the feature extraction methods, the AHMMAS model caters to price manipulation detection and basic manipulation type recognition. The evaluation experiments conducted on seven stock tick data from NASDAQ and the London Stock Exchange and 10 simulated stock prices by stochastic differential equation show that the proposed AHMMAS model can effectively detect price manipulation patterns and outperforms the selected benchmark models. PMID:25608293
The impact of energy pricing policy on Taiwan`s economy: A simulation of CGE model
Bor, Y.J.
1995-12-31
The purpose of this paper is to simulate the impacts of energy pricing policy on Taiwan`s economy. Based on a CGE model and utilizing empirical data from the 1989 input-output table, energy balance table and the national income report of Taiwan, this paper simulates a single energy price shock, witch is a 1 percent increase in one energy commodity, and examines two real cases of energy price adjustment, on February 16 and August 10, 1994 (a decrease of about 3 percent and an increase of about 3 percent in oil and gas prices). The simulation results are then interpreted. Finally, the conclusion and suggestions for further research are presented.
[Exploration of influencing factors of price of herbal based on VAR model].
Wang, Nuo; Liu, Shu-Zhen; Yang, Guang
2014-10-01
Based on vector auto-regression (VAR) model, this paper takes advantage of Granger causality test, variance decomposition and impulse response analysis techniques to carry out a comprehensive study of the factors influencing the price of Chinese herbal, including herbal cultivation costs, acreage, natural disasters, the residents' needs and inflation. The study found that there is Granger causality relationship between inflation and herbal prices, cultivation costs and herbal prices. And in the total variance analysis of Chinese herbal and medicine price index, the largest contribution to it is from its own fluctuations, followed by the cultivation costs and inflation. PMID:25751965
The Conquest of Outer Space--Optional Curriculum Model
ERIC Educational Resources Information Center
Florian, Gabriel; Florian, Aurelia-Daniela; Pufu, Nicolae
2015-01-01
This paper proposes an optional syllabus for the students in the XIIth grade. The proposed theme analyzes the concept of "variable mass" both in terms of classical mechanics and relativistic mechanics. In terms of classical mechanics we refer to the slow motion of a body, whose mass ranges in ascending way (by annealing a mass particle…
Introducing a price variation limiter mechanism into a behavioral financial market model.
Naimzada, Ahmad; Pireddu, Marina
2015-08-01
In the present paper, we consider a nonlinear financial market model in which, in order to decrease the complexity of the dynamics and to achieve price stabilization, we introduce a price variation limiter mechanism, which in each period bounds the price variation so that the current price is forced to belong to a certain interval determined by the price realization in the previous period. More precisely, we introduce such mechanism into a financial market model in which the price dynamics are described by a sigmoidal price adjustment mechanism characterized by the presence of two asymptotes that bound the price variation and thus the dynamics. We show that the presence of our asymptotes prevents divergence and negativity issues. Moreover, we prove that the basins of attraction are complicated only under suitable conditions on the parameters and that chaos arises just when the price limiters are loose enough. On the other hand, for some suitable parameter configurations, we detect multistability phenomena characterized by the presence of up to three coexisting attractors. PMID:26328563
Introducing a price variation limiter mechanism into a behavioral financial market model
NASA Astrophysics Data System (ADS)
Naimzada, Ahmad; Pireddu, Marina
2015-08-01
In the present paper, we consider a nonlinear financial market model in which, in order to decrease the complexity of the dynamics and to achieve price stabilization, we introduce a price variation limiter mechanism, which in each period bounds the price variation so that the current price is forced to belong to a certain interval determined by the price realization in the previous period. More precisely, we introduce such mechanism into a financial market model in which the price dynamics are described by a sigmoidal price adjustment mechanism characterized by the presence of two asymptotes that bound the price variation and thus the dynamics. We show that the presence of our asymptotes prevents divergence and negativity issues. Moreover, we prove that the basins of attraction are complicated only under suitable conditions on the parameters and that chaos arises just when the price limiters are loose enough. On the other hand, for some suitable parameter configurations, we detect multistability phenomena characterized by the presence of up to three coexisting attractors.
A BEHAVIORAL ECONOMIC MODEL OF ALCOHOL ADVERTISING AND PRICE
SAFFER, HENRY; DAVE, DHAVAL; GROSSMAN, MICHAEL
2016-01-01
SUMMARY This paper presents a new empirical study of the effects of televised alcohol advertising and alcohol price on alcohol consumption. A novel feature of this study is that the empirical work is guided by insights from behavioral economic theory. Unlike the theory used in most prior studies, this theory predicts that restriction on alcohol advertising on TV would be more effective in reducing consumption for individuals with high consumption levels but less effective for individuals with low consumption levels. The estimation work employs data from the National Longitudinal Survey of Youth, and the empirical model is estimated with quantile regressions. The results show that advertising has a small positive effect on consumption and that this effect is relatively larger at high consumption levels. The continuing importance of alcohol taxes is also supported. Education is employed as a proxy for self-regulation, and the results are consistent with this assumption. The key conclusion is that restrictions on alcohol advertising on TV would have a small negative effect on drinking, and this effect would be larger for heavy drinkers. PMID:25919364
A Behavioral Economic Model of Alcohol Advertising and Price.
Saffer, Henry; Dave, Dhaval; Grossman, Michael
2016-07-01
This paper presents a new empirical study of the effects of televised alcohol advertising and alcohol price on alcohol consumption. A novel feature of this study is that the empirical work is guided by insights from behavioral economic theory. Unlike the theory used in most prior studies, this theory predicts that restriction on alcohol advertising on TV would be more effective in reducing consumption for individuals with high consumption levels but less effective for individuals with low consumption levels. The estimation work employs data from the National Longitudinal Survey of Youth, and the empirical model is estimated with quantile regressions. The results show that advertising has a small positive effect on consumption and that this effect is relatively larger at high consumption levels. The continuing importance of alcohol taxes is also supported. Education is employed as a proxy for self-regulation, and the results are consistent with this assumption. The key conclusion is that restrictions on alcohol advertising on TV would have a small negative effect on drinking, and this effect would be larger for heavy drinkers. Copyright © 2015 John Wiley & Sons, Ltd. PMID:25919364
Delta hedged option valuation with underlying non-Gaussian returns
NASA Astrophysics Data System (ADS)
Moriconi, L.
2007-07-01
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the market stochastic dynamics, allowing us to write and formally solve the generalized Black-Scholes equation implied by dynamical hedging. A systematic expansion around a non-perturbative starting point is then implemented, recovering the Matacz's conjectured option pricing expression. We perform an application of our formalism to the real stock market and find clear evidence that while past financial time series can be used to evaluate option prices before the expiry date with reasonable accuracy, the stochastic character of volatility is an essential ingredient that should necessarily be taken into account in analytical option price modeling.
NASA Astrophysics Data System (ADS)
Jiang, C.; Fang, H.
2012-12-01
Modeling soil reflectance is important to describe the soil-vegetation radiation field and to retrieve canopy characteristics from remote sensing data. The Price soil reflectance model has been widely used in canopy reflectance modeling thanks to its simplicity and effectiveness. In order to improve the model generality and applicability, this study refines the Price soil reflectance model using a global spectral library and further proposes a novel soil reflectance model. The global soil spectral library was combined from six datasets, containing 6,971 soil samples around the world, with a 10nm interval from 450 to 2350 nm. A recalibrated Price model (CPM) was developed using the same algorithm used by standard Price model (SPM) to obtain globally representative fitting functions. Moreover, a new matrix decomposition method (MDM) was developed to decrease the reflectance simulation errors by considering the spectra curve shapes. Three tune parameters are sufficient to model global soil spectra using MDM, which achieves the highest accuracy with an absolute error less than 0.02 and relative error less than 5%. CPM and SPM have larger simulation errors, for which the RMSE/RRMSE are 0.029/7.5% and 0.068/16.8%, respectively. For both SPM and CPM, relatively large error variations are shown over wavelengths, because only three selected bands are used in the models. MDM exhibits a relatively stable performance in the whole spectral domain. Moreover, MDM reconstructs very well the general shapes of the five types of soil reflectance curves, and thus leads to a lower misclassification rate. Overall, both CPM and MDM outperform SPM and have a potential for global soil reflectance modeling. Density scatter plots between the measured reflectances in the global soil spectral library and the simulated reflectances using SPM (a), CPM (b) and MDM (c). Comparison of measured and simulated reflectances for five typical curves.
An EOQ Model with Two-Parameter Weibull Distribution Deterioration and Price-Dependent Demand
ERIC Educational Resources Information Center
Mukhopadhyay, Sushanta; Mukherjee, R. N.; Chaudhuri, K. S.
2005-01-01
An inventory replenishment policy is developed for a deteriorating item and price-dependent demand. The rate of deterioration is taken to be time-proportional and the time to deterioration is assumed to follow a two-parameter Weibull distribution. A power law form of the price dependence of demand is considered. The model is solved analytically…
Pricing Strategies and Models for the Provision of Digitized Texts in Higher Education.
ERIC Educational Resources Information Center
Hardy, Rachel; Oppenheim, Charles; Rubbert, Iris
2002-01-01
Describes research into charging mechanisms for the delivery of digitized texts to higher education students in the United Kingdom and discusses the need for a satisfactory pricing model. Explains the HERON (Higher Education Resources On-Demand) and PELICAN (Pricing Experiment Library Information Cooperative Network) projects and considers…
NASA Astrophysics Data System (ADS)
Zainora, A. M.; Norzailawati, M. N.; Tuminah, P.
2016-06-01
Presently, it is noticeable that there is a significant influence of public open space about house price, especially in many developed nations. Literature suggests the relationship between the two aspects give impact on the housing market, however not many studies undertaken in Malaysia. Thus, this research was initiated to analyse the relationship of open space and house price via the techniques of GIS-Hedonic Pricing Model. In this regards, the GIS tool indicates the pattern of the relationship between open space and house price spatially. Meanwhile, Hedonic Pricing Model demonstrates the index of the selected criteria in determining the housing price. This research is a perceptual study of 200 respondents who were the house owners of double-storey terrace houses in four townships, namely Bandar Baru Bangi, Taman Melawati, Subang Jaya and Shah Alam, in Klang Valley. The key research question is whether the relationship between open space and house price exists and the nature of its pattern and intensity. The findings indicate that there is a positive correlation between open space and house price. Correlation analysis reveals that a weak relationship (rs < 0.1) established between the variable of open space and house price (rs = 0.91, N = 200, p = 0.2). Consequently, the rate of house price change is rather small. In overall, this research has achieved its research aims and thus, offers the value added in applying the GIS-Hedonic pricing model in analysing the influence of open space to the house price in the form of spatially and textually.
Pricing of range accrual swap in the quantum finance Libor Market Model
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Du, Xin; Tang, Pan; Cao, Yang
2014-05-01
We study the range accrual swap in the quantum finance formulation of the Libor Market Model (LMM). It is shown that the formulation can exactly price the path dependent instrument. An approximate price is obtained as an expansion in the volatility of Libor. The Monte Carlo simulation method is used to study the nonlinear domain of the model and determine the range of validity of the approximate formula. The price of accrual swap is analyzed by generating daily sample values by simulating a two dimension Gaussian quantum field.
Using Satellite Remote Sensing Data in a Spatially Explicit Price Model
NASA Technical Reports Server (NTRS)
Brown, Molly E.; Pinzon, Jorge E.; Prince, Stephen D.
2007-01-01
Famine early warning organizations use data from multiple disciplines to assess food insecurity of communities and regions in less-developed parts of the World. In this paper we integrate several indicators that are available to enhance the information for preparation for and responses to food security emergencies. The assessment uses a price model based on the relationship between the suitability of the growing season and market prices for coarse grain. The model is then used to create spatially continuous maps of millet prices. The model is applied to the dry central and northern areas of West Africa, using satellite-derived vegetation indices for the entire region. By coupling the model with vegetation data estimated for one to four months into the future, maps are created of a leading indicator of potential price movements. It is anticipated that these maps can be used to enable early warning of famine and for planning appropriate responses.
Lagi, Marco; Bar-Yam, Yavni; Bertrand, Karla Z; Bar-Yam, Yaneer
2015-11-10
Recent increases in basic food prices are severely affecting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the United States, and investor speculation on commodity markets lead to widely differing implications for policy. A lack of clarity about which factors are responsible reinforces policy inaction. Here, for the first time to our knowledge, we construct a dynamic model that quantitatively agrees with food prices. The results show that the dominant causes of price increases are investor speculation and ethanol conversion. Models that just treat supply and demand are not consistent with the actual price dynamics. The two sharp peaks in 2007/2008 and 2010/2011 are specifically due to investor speculation, whereas an underlying upward trend is due to increasing demand from ethanol conversion. The model includes investor trend following as well as shifting between commodities, equities, and bonds to take advantage of increased expected returns. Claims that speculators cannot influence grain prices are shown to be invalid by direct analysis of price-setting practices of granaries. Both causes of price increase, speculative investment and ethanol conversion, are promoted by recent regulatory changes-deregulation of the commodity markets, and policies promoting the conversion of corn to ethanol. Rapid action is needed to reduce the impacts of the price increases on global hunger. PMID:26504216
Lagi, Marco; Bar-Yam, Yavni; Bertrand, Karla Z.; Bar-Yam, Yaneer
2015-01-01
Recent increases in basic food prices are severely affecting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the United States, and investor speculation on commodity markets lead to widely differing implications for policy. A lack of clarity about which factors are responsible reinforces policy inaction. Here, for the first time to our knowledge, we construct a dynamic model that quantitatively agrees with food prices. The results show that the dominant causes of price increases are investor speculation and ethanol conversion. Models that just treat supply and demand are not consistent with the actual price dynamics. The two sharp peaks in 2007/2008 and 2010/2011 are specifically due to investor speculation, whereas an underlying upward trend is due to increasing demand from ethanol conversion. The model includes investor trend following as well as shifting between commodities, equities, and bonds to take advantage of increased expected returns. Claims that speculators cannot influence grain prices are shown to be invalid by direct analysis of price-setting practices of granaries. Both causes of price increase, speculative investment and ethanol conversion, are promoted by recent regulatory changes—deregulation of the commodity markets, and policies promoting the conversion of corn to ethanol. Rapid action is needed to reduce the impacts of the price increases on global hunger. PMID:26504216
2014-01-01
Gold price forecasting has been a hot issue in economics recently. In this work, wavelet neural network (WNN) combined with a novel artificial bee colony (ABC) algorithm is proposed for this gold price forecasting issue. In this improved algorithm, the conventional roulette selection strategy is discarded. Besides, the convergence statuses in a previous cycle of iteration are fully utilized as feedback messages to manipulate the searching intensity in a subsequent cycle. Experimental results confirm that this new algorithm converges faster than the conventional ABC when tested on some classical benchmark functions and is effective to improve modeling capacity of WNN regarding the gold price forecasting scheme. PMID:24744773
Stock price forecasting using secondary self-regression model and wavelet neural networks
NASA Astrophysics Data System (ADS)
Yang, Chi-I.; Wang, Kai-Cheng; Chang, Kuei-Fang
2015-07-01
We have established a DWT-based secondary self-regression model (AR(2)) to forecast stock value. This method requires the user to decide upon the trend of the stock prices. We later used WNN to forecast stock prices which does not require the user to decide upon the trend. When comparing these two methods, we could see that AR(2) does not perform as well if there are no trends for the stock prices. On the other hand, WNN would not be influenced by the presence of trends.
Li, Bai
2014-01-01
Gold price forecasting has been a hot issue in economics recently. In this work, wavelet neural network (WNN) combined with a novel artificial bee colony (ABC) algorithm is proposed for this gold price forecasting issue. In this improved algorithm, the conventional roulette selection strategy is discarded. Besides, the convergence statuses in a previous cycle of iteration are fully utilized as feedback messages to manipulate the searching intensity in a subsequent cycle. Experimental results confirm that this new algorithm converges faster than the conventional ABC when tested on some classical benchmark functions and is effective to improve modeling capacity of WNN regarding the gold price forecasting scheme. PMID:24744773
Optimization models and techniques for implementation and pricing of electricity markets
NASA Astrophysics Data System (ADS)
Madrigal Martinez, Marcelino
Vertically integrated electric power systems extensively use optimization models and solution techniques to guide their optimal operation and planning. The advent of electric power systems re-structuring has created needs for new optimization tools and the revision of the inherited ones from the vertical integration era into the market environment. This thesis presents further developments on the use of optimization models and techniques for implementation and pricing of primary electricity markets. New models, solution approaches, and price setting alternatives are proposed. Three different modeling groups are studied. The first modeling group considers simplified continuous and discrete models for power pool auctions driven by central-cost minimization. The direct solution of the dual problems, and the use of a Branch-and-Bound algorithm to solve the primal, allows to identify the effects of disequilibrium, and different price setting alternatives over the existence of multiple solutions. It is shown that particular pricing rules worsen the conflict of interest that arise when multiple solutions exist under disequilibrium. A price-setting alternative based on dual variables is shown to diminish such conflict. The second modeling group considers the unit commitment problem. An interior-point/cutting-plane method is proposed for the solution of the dual problem. The new method has better convergence characteristics and does not suffer from the parameter tuning drawback as previous methods The robustness characteristics of the interior-point/cutting-plane method, combined with a non-uniform price setting alternative, show that the conflict of interest is diminished when multiple near optimal solutions exist. The non-uniform price setting alternative is compared to a classic average pricing rule. The last modeling group concerns to a new type of linear network-constrained clearing system models for daily markets for power and spinning reserve. A new model and
Zhang, P; Husten, C; Giovino, G
2000-01-01
OBJECTIVES: This study evaluated the direct effect of the tobacco price support program on domestic cigarette consumption. METHODS: We developed an economic model of demand and supply of US tobacco to estimate how much the price support program increases the price of tobacco. We calculated the resultant increase in cigarette prices from the change in the tobacco price and the quantity of domestic tobacco contained in US cigarettes. We then assessed the reduction in cigarette consumption attributable to the price support program by applying the estimated increase in the cigarette price to assumed price elasticities of demand for cigarettes. RESULTS: We estimated that the tobacco price support program increased the price of tobacco leaf by $0.36 per pound. This higher tobacco price translates to a $0.01 increase in the price of a pack of cigarettes and an estimated 0.21% reduction in cigarette consumption. CONCLUSION: Because the tobacco price support program increases the price of cigarettes minimally, its potential health benefit is likely to be small. The adverse political effect of the tobacco program might substantially outweigh the potential direct benefit of the program on cigarette consumption. PMID:10800423
Modeling natural gas prices as a random walk: The advantages for generation planning
Felder, F.A.
1995-11-01
Random walk modeling allows decision makers to evaluate risk mitigation strategies. Easily constructed, the random walk provides probability information that long-term fuel forecasts do not. This is vital to meeting the ratepayers` need for low-cost power, the shareholders` financial objectives, and the regulators` desire for straightforward information. Power generation planning depends heavily on long-term fuel price forecasts. This is particularly true for natural gas-fired plants, because fuel expenses are a significant portion of busbar costs and are subject to considerable uncertainty. Accurate forecasts, then, are critical - especially if electric utilities are to take advantage of the current low cost of natural gas technologies and their relatively clean burning characteristics, without becoming overdependent on a fuel that might significantly increase in price. Moreover, the transition to a more competitive generation market requires a more market-driven planning process. Current planning techniques use several long-term fuel forecasts - one serving as an expected case and others for sensitivity analysis - as inputs for modeling production costs. These forecasts are deterministic: For every time interval there is one, and only one projected fuel price - a serious limitation. Further, past natural gas price predictions have been erroneous and may be susceptible to bias. Today, deregulation of the natural gas production industry allows for a new approach in long-term fuel forecasting. Using NYMEX information, a random walk model of natural gas prices can be constructed. A random walk assumes that prices move randomly, and in modeling prices in this context one would be sure to include this all-important price volatility.
Socioeconophysics:. Opinion Dynamics for Number of Transactions and Price, a Trader Based Model
NASA Astrophysics Data System (ADS)
Tuncay, Çağlar
Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with several weights and some personal differences between traders are taken into account. Resulting time series and probabilty distribution function involving a power law for price come out similar to the real ones.
Hill, L.J.
1994-04-01
Changing electricity prices to more closely reflect production costs has a significant impact on the consumption of electricity. It is known, for example, that most of the efficiency gains in the electric power sectors of the industrialized world since the first international oil price shock in 1973 are attributable to the rising trend of electricity prices. This was due to the rising average price of electricity. Because of the unique characteristics of producing electricity, its marginal cost is higher than its average cost during many hours of the day. This study shows that, for utilities not reflecting these cost differences in their rates, there is ample room to satisfy a portion of their resource needs by exploiting the load-shaping properties of time-of-use (TOU) rates. Satisfying a portion of resource requirements by implementing a TOU-pricing program, however, is not costless. Metering and administering TOU pricing requires a financial commitment by an electric utility. And the commitment has an opportunity cost. That is, the funds could be used to construct generating plants or run DSM programs (other than a TOU-pricing program) and satisfy the same resource needs that TOU pricing does. The question addressed in this study is whether a utility is better-served financially by (i) implementing TOU pricing or (ii) running technical DSM programs and building power plants. The answer is that TOU pricing compares favorably on a financial basis with other resources under a wide set of conditions that real-world utilities confront.
Adiabaticity conditions for volatility smile in Black-Scholes pricing model
NASA Astrophysics Data System (ADS)
Spadafora, L.; Berman, G. P.; Borgonovi, F.
2011-01-01
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price C(K) given the strike price K and the distribution function of the returns. We derive this distribution function using for C(K) a Black-Scholes expression with volatility σ in the form of a volatility smile. We show that this approach based on a volatility smile leads to relative minima for the distribution function ("bad" probabilities) never observed in real data and, in the worst cases, negative probabilities. We show that these undesirable effects can be eliminated by requiring "adiabatic" conditions on the volatility smile.
Pricing and Enrollment Planning.
ERIC Educational Resources Information Center
Martin, Robert E.
2003-01-01
Presents a management model for pricing and enrollment planning that yields optimal pricing decisions relative to student fees and average scholarship, the institution's financial ability to support students, and an average cost-pricing rule. (SLD)
A Single-Factor Model Analysis of Electricity Futures Price and its Application
NASA Astrophysics Data System (ADS)
Itoh, Yasuyuki; Kobayashi, Takenori
This paper presents a single-factor model to describe the fluctuation of the electricity futures price for its trading risk management. An autoregressive moving-average model (ARMA(2, 1) process) was used to express the stochastic process of the price, instead of a conventionally used Malkov process such as the AR(1) process, where the ARMA(2, 1) process becomes a hybrid of short- and long-term mean-reversion processes in the continuous time model. This model was applied to the analysis of the price of the electricity futures (the PJM Monthly) traded at the New York Mercantile Exchange (NYMEX). The result showed that the model well explained the term structure of the volatility of futures price with respect to the time to maturity, which is important for estimating its trading risk. The expected long-term fixed electricity price and its confidence interval were also estimated by using the obtained model function of the forward curve and its parameters.
Robust Fitting of a Weibull Model with Optional Censoring
Yang, Jingjing; Scott, David W.
2013-01-01
The Weibull family is widely used to model failure data, or lifetime data, although the classical two-parameter Weibull distribution is limited to positive data and monotone failure rate. The parameters of the Weibull model are commonly obtained by maximum likelihood estimation; however, it is well-known that this estimator is not robust when dealing with contaminated data. A new robust procedure is introduced to fit a Weibull model by using L2 distance, i.e. integrated square distance, of the Weibull probability density function. The Weibull model is augmented with a weight parameter to robustly deal with contaminated data. Results comparing a maximum likelihood estimator with an L2 estimator are given in this article, based on both simulated and real data sets. It is shown that this new L2 parametric estimation method is more robust and does a better job than maximum likelihood in the newly proposed Weibull model when data are contaminated. The same preference for L2 distance criterion and the new Weibull model also happens for right-censored data with contamination. PMID:23888090
Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis
NASA Astrophysics Data System (ADS)
Xiao, Di; Wang, Jun
2012-10-01
The continuum percolation system is developed to model a random stock price process in this work. Recent empirical research has demonstrated various statistical features of stock price changes, the financial model aiming at understanding price fluctuations needs to define a mechanism for the formation of the price, in an attempt to reproduce and explain this set of empirical facts. The continuum percolation model is usually referred to as a random coverage process or a Boolean model, the local interaction or influence among traders is constructed by the continuum percolation, and a cluster of continuum percolation is applied to define the cluster of traders sharing the same opinion about the market. We investigate and analyze the statistical behaviors of normalized returns of the price model by some analysis methods, including power-law tail distribution analysis, chaotic behavior analysis and Zipf analysis. Moreover, we consider the daily returns of Shanghai Stock Exchange Composite Index from January 1997 to July 2011, and the comparisons of return behaviors between the actual data and the simulation data are exhibited.
Roberge, H.D. ); Sikora, R.P. ); Baetz, B.W. . Dept. of Civil Engineering)
1994-01-01
This note reports on a study of waste reduction options for the upstream oil and gas industry and involves the application of a waste reduction optimization model to a generic sour gas plant. The waste reduction optimization model is meant as an aid for decision-making relating to the implementation of waste reduction options. The generic facility was developed from process knowledge provided by industry members of a project steering committee, as well as waste management information from industry manuals and represents a facility of average capacity and typical configuration. Several waste minimization options were modeled for selected waste streams. The selected streams were chosen based upon waste flows and disposal costs and their potential for waste reduction. The results of the modeling for the generic sour gas plant have shown that a set of cost-effective waste reduction options exist, there is significant potential for reducing the total quantity of waste to be managed and disposed of, and that implementation of the options would lead to considerable cost savings. The value and usefulness of the modeling approach lie not only in the generated results, but also in the fact that to construct the model, relevant waste flows and every possible manner that these waste flows can be minimized or processed are systematically identified. Once modeled, the parameters can be readily manipulated to determine various possible waste management strategies. To effectively use the modeling approach, the waste reduction team should have knowledge of the plant processes, existing waste management practices and costs, information on potential waste reduction options and technologies, as well as experience in mathematical modeling and analysis.
Vanderbei, Robert J.; P Latin-Small-Letter-Dotless-I nar, Mustafa C.; Bozkaya, Efe B.
2013-02-15
An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option differs from a plain American option in that it does not expire. In this study, we solve the optimal stopping problem of a perpetual American option (both call and put) in discrete time using linear programming duality. Under the assumption that the underlying stock price follows a discrete time and discrete state Markov process, namely a geometric random walk, we formulate the pricing problem as an infinite dimensional linear programming (LP) problem using the excessive-majorant property of the value function. This formulation allows us to solve complementary slackness conditions in closed-form, revealing an optimal stopping strategy which highlights the set of stock-prices where the option should be exercised. The analysis for the call option reveals that such a critical value exists only in some cases, depending on a combination of state-transition probabilities and the economic discount factor (i.e., the prevailing interest rate) whereas it ceases to be an issue for the put.
Modelling multi-pollutant compliance options for power companies
Teeth, B.; Hopkins, B.
2007-09-15
Emission control regulations in the United States require that utilities consider retrofit of reduction technologies for multiple pollutants at all plants in their fleet. Washington Group International has developed a Compliance Strategy Model that evaluates the cost of combinations of flue gas desulfurization, NOx and mercury control processes for multiple units to determine an economical mix of the control processes of the fleet of generating units in each state or designated region. The Model is based on an Excel spreadsheet which uses mixed integer routines and Premium Solver to assess up to 10{sup 40} possible combinations of emissions control processes to determine the combination with an economic present worth of revenue requirement (PWRR). Examples of use of the Model have been for consideration of NOx reduction technologies at 19 coal-fired units in one fleet and of 76 units in one fleet in five regions. 1 tab.
Adapting mudharabah principle in Islamic option
NASA Astrophysics Data System (ADS)
Suhaimi, Siti Noor Aini binti; Salleh, Hassilah binti
2013-04-01
Most of the options today use the Black-Scholes model as the basis in valuing their price. This conventional model involves the elements that are strictly prohibited in Islam namely riba, gharar and maisir. Hence, this paper introduces a new mathematical model that has been adapted with mudharabah principle to replace the Black-Scholes model. This new model which is more compatible with Islamic values produces a new Islamic option which avoids any form of oppression and injustice to all parties involved.
An agent-based approach to modelling the effects of extreme events on global food prices
NASA Astrophysics Data System (ADS)
Schewe, Jacob; Otto, Christian; Frieler, Katja
2015-04-01
Extreme climate events such as droughts or heat waves affect agricultural production in major food producing regions and therefore can influence the price of staple foods on the world market. There is evidence that recent dramatic spikes in grain prices were at least partly triggered by actual and/or expected supply shortages. The reaction of the market to supply changes is however highly nonlinear and depends on complex and interlinked processes such as warehousing, speculation, and export restrictions. Here we present for the first time an agent-based modelling framework that accounts, in simplified terms, for these processes and allows to estimate the reaction of world food prices to supply shocks on a short (monthly) timescale. We test the basic model using observed historical supply, demand, and price data of wheat as a major food grain. Further, we illustrate how the model can be used in conjunction with biophysical crop models to assess the effect of future changes in extreme event regimes on the volatility of food prices. In particular, the explicit representation of storage dynamics makes it possible to investigate the potentially nonlinear interaction between simultaneous extreme events in different food producing regions, or between several consecutive events in the same region, which may both occur more frequently under future global warming.
Airborne electromagnetic modelling options and their consequences in target definition
NASA Astrophysics Data System (ADS)
Ley-Cooper, Alan Yusen; Viezzoli, Andrea; Guillemoteau, Julien; Vignoli, Giulio; Macnae, James; Cox, Leif; Munday, Tim
2015-10-01
Given the range of geological conditions under which airborne EM surveys are conducted, there is an expectation that the 2D and 3D methods used to extract models that are geologically meaningful would be favoured over 1D inversion and transforms. We do after all deal with an Earth that constantly undergoes, faulting, intrusions, and erosive processes that yield a subsurface morphology, which is, for most parts, dissimilar to a horizontal layered earth. We analyse data from a survey collected in the Musgrave province, South Australia. It is of particular interest since it has been used for mineral prospecting and for a regional hydro-geological assessment. The survey comprises abrupt lateral variations, more-subtle lateral continuous sedimentary sequences and filled palaeovalleys. As consequence, we deal with several geophysical targets of contrasting conductivities, varying geometries and at different depths. We invert the observations by using several algorithms characterised by the different dimensionality of the forward operator. Inversion of airborne EM data is known to be an ill-posed problem. We can generate a variety of models that numerically adequately fit the measured data, which makes the solution non-unique. The application of different deterministic inversion codes or transforms to the same dataset can give dissimilar results, as shown in this paper. This ambiguity suggests the choice of processes and algorithms used to interpret AEM data cannot be resolved as a matter of personal choice and preference. The degree to which models generated by a 1D algorithm replicate/or not measured data, can be an indicator of the data's dimensionality, which perse does not imply that data that can be fitted with a 1D model cannot be multidimensional. On the other hand, it is crucial that codes that can generate 2D and 3D models do reproduce the measured data in order for them to be considered as a plausible solution. In the absence of ancillary information, it could
Modeling the Development of Children's Use of Optional Infinitives in Dutch and English Using MOSAIC
ERIC Educational Resources Information Center
Freudenthal, Daniel; Pine, Julian M.; Gobet, Fernand
2006-01-01
In this study we use a computational model of language learning called model of syntax acquisition in children (MOSAIC) to investigate the extent to which the optional infinitive (OI) phenomenon in Dutch and English can be explained in terms of a resource-limited distributional analysis of Dutch and English child-directed speech. The results show…
Stochastic modeling of stock price process induced from the conjugate heat equation
NASA Astrophysics Data System (ADS)
Paeng, Seong-Hun
2015-02-01
Currency can be considered as a ruler for values of commodities. Then the price is the measured value by the ruler. We can suppose that inflation and variation of exchange rate are caused by variation of the scale of the ruler. In geometry, variation of the scale means that the metric is time-dependent. The conjugate heat equation is the modified heat equation which satisfies the heat conservation law for the time-dependent metric space. We propose a new model of stock prices by using the stochastic process whose transition probability is determined by the kernel of the conjugate heat equation. Our model of stock prices shows how the volatility term is affected by inflation and exchange rate. This model modifies the Black-Scholes equation in light of inflation and exchange rate.
Crop Monitoring as a Tool for Modelling the Genesis of Millet Prices in Senegal
NASA Astrophysics Data System (ADS)
Jacques, D.; Marinho, E.; Defourny, P.; Waldner, F.; d'Andrimont, R.
2015-12-01
Food security in Sahelian countries strongly relies on the ability of markets to transfer staplesfrom surplus to deficit areas. Market failures, leading to the inefficient geographical allocation of food,are expected to emerge from high transportation costs and information asymmetries that are commonin moderately developed countries. As a result, important price differentials are observed betweenproducing and consuming areas which damages both poor producers and food insecure consumers. Itis then vital for policy makers to understand how the prices of agricultural commodities are formed byaccounting for the existing market imperfections in addition to local demand and supply considerations. To address this issue, we have gathered an unique and diversified set of data for Senegal andintegrated it in a spatially explicit model that simulates the functioning of agricultural markets, that isfully consistent with the economic theory. Our departure point is a local demand and supply modelaround each market having its catchment areas determined by the road network. We estimate the localsupply of agricultural commodities from satellite imagery while the demand is assumed to be a functionof the population living in the area. From this point on, profitable transactions between areas with lowprices to areas with high prices are simulated for different levels of per kilometer transportation costand information flows (derived from call details records i.e. mobile phone data). The simulated prices are then comparedwith the actual millet prices. Despite the parsimony of the model that estimates only two parameters, i.e. the per kilometertransportation cost and the information asymmetry resulting from low levels of mobile phone activitybetween markets, it impressively explains more than 80% of the price differentials observed in the 40markets included in the analysis. In one hand these results can be used in the assessment of the socialwelfare impacts of the further development of
Tuition Elasticity of the Demand for Higher Education among Current Students: A Pricing Model.
ERIC Educational Resources Information Center
Bryan, Glenn A.; Whipple, Thomas W.
1995-01-01
A pricing model is offered, based on retention of current students, that colleges can use to determine appropriate tuition. A computer-based model that quantifies the relationship between tuition elasticity and projected net return to the college was developed and applied to determine an appropriate tuition rate for a small, private liberal arts…
McIntyre, Di; Ataguba, John E
2012-03-01
South Africa is considering introducing a universal health care system. A key concern for policy-makers and the general public is whether or not this reform is affordable. Modelling the resource and revenue generation requirements of alternative reform options is critical to inform decision-making. This paper considers three reform scenarios: universal coverage funded by increased allocations to health from general tax and additional dedicated taxes; an alternative reform option of extending private health insurance coverage to all formal sector workers and their dependents with the remainder using tax-funded services; and maintaining the status quo. Each scenario was modelled over a 15-year period using a spreadsheet model. Statistical analyses were also undertaken to evaluate the impact of options on the distribution of health care financing burden and benefits from using health services across socio-economic groups. Universal coverage would result in total health care spending levels equivalent to 8.6% of gross domestic product (GDP), which is comparable to current spending levels. It is lower than the status quo option (9.5% of GDP) and far lower than the option of expanding private insurance cover (over 13% of GDP). However, public funding of health services would have to increase substantially. Despite this, universal coverage would result in the most progressive financing system if the additional public funding requirements are generated through a surcharge on taxable income (but not if VAT is increased). The extended private insurance scheme option would be the least progressive and would impose a very high payment burden; total health care payments on average would be 10.7% of household consumption expenditure compared with the universal coverage (6.7%) and status quo (7.5%) options. The least pro-rich distribution of service benefits would be achieved under universal coverage. Universal coverage is affordable and would promote health system equity, but
ERIC Educational Resources Information Center
Kelsey, Craig W.; Smith, S. Harold
This study of public parks and recreation agencies throughout the United States was undertaken to develop a mathematical pricing formula sensitive to local spending abilities in order to determine if a per capita pricing structure would be possible. Four hundred and seventy public parks and recreation agencies responded to a survey of fees and…
Modelling approach to LILW-SL repository safety evaluation for different waste packing options
Perko, Janez; Mallants, Dirk; Volckaert, Geert; Towler, George; Egan, Mike; Virsek, Sandi; Hertl, Bojan
2007-07-01
The key objective of the work described here was to support the identification of a preferred disposal concept and packaging option for low and short-lived intermediate level waste (LILW-SL). The emphasis of the assessment, conducted on behalf of the Slovenian radioactive waste management agency (ARAO), was the consideration of several waste treatment and packaging options in an attempt to identify optimised containment characteristics that would result in safe disposal, taking into account the cost-benefit of alternative safety measures. Waste streams for which alternative treatment and packaging solutions were developed and evaluated include decommissioning waste and NPP operational wastes, including drums with unconditioned ion exchange resins in over-packed tube type containers (TTCs). For decommissioning wastes, the disposal options under consideration were either direct disposal of loose pieces grouted into a vault or use of high integrity containers (HIC). In relation to operational wastes, three main options were foreseen. The first is over-packing of resin containing TTCs grouted into high integrity containers, the second option is complete treatment with hydration, neutralization, and cementation of the dry resins into drums grouted into high integrity containers and the third is direct disposal of TTCs into high integrity containers without additional treatment. The long-term safety of radioactive waste repositories is usually demonstrated with the support of a safety assessment. This normally includes modelling of radionuclide release from a multi-barrier near-surface or deep repository to the geosphere and biosphere. For the current work, performance assessment models were developed for each combination of siting option, repository design and waste packaging option. Modelling of releases from the engineered containment system (the 'near-field') was undertaken using the AMBER code. Detailed unsaturated water flow modelling was undertaken using the
Neural Models: An Option to Estimate Seismic Parameters of Accelerograms
NASA Astrophysics Data System (ADS)
Alcántara, L.; García, S.; Ovando-Shelley, E.; Macías, M. A.
2014-12-01
Seismic instrumentation for recording strong earthquakes, in Mexico, goes back to the 60´s due the activities carried out by the Institute of Engineering at Universidad Nacional Autónoma de México. However, it was after the big earthquake of September 19, 1985 (M=8.1) when the project of seismic instrumentation assumes a great importance. Currently, strong ground motion networks have been installed for monitoring seismic activity mainly along the Mexican subduction zone and in Mexico City. Nevertheless, there are other major regions and cities that can be affected by strong earthquakes and have not yet begun their seismic instrumentation program or this is still in development.Because of described situation some relevant earthquakes (e.g. Huajuapan de León Oct 24, 1980 M=7.1, Tehuacán Jun 15, 1999 M=7 and Puerto Escondido Sep 30, 1999 M= 7.5) have not been registered properly in some cities, like Puebla and Oaxaca, and that were damaged during those earthquakes. Fortunately, the good maintenance work carried out in the seismic network has permitted the recording of an important number of small events in those cities. So in this research we present a methodology based on the use of neural networks to estimate significant duration and in some cases the response spectra for those seismic events. The neural model developed predicts significant duration in terms of magnitude, epicenter distance, focal depth and soil characterization. Additionally, for response spectra we used a vector of spectral accelerations. For training the model we selected a set of accelerogram records obtained from the small events recorded in the strong motion instruments installed in the cities of Puebla and Oaxaca. The final results show that neural networks as a soft computing tool that use a multi-layer feed-forward architecture provide good estimations of the target parameters and they also have a good predictive capacity to estimate strong ground motion duration and response spectra.
Two-echelon competitive integrated supply chain model with price and credit period dependent demand
NASA Astrophysics Data System (ADS)
Pal, Brojeswar; Sankar Sana, Shib; Chaudhuri, Kripasindhu
2016-04-01
This study considers a two-echelon competitive supply chain consisting of two rivaling retailers and one common supplier with trade credit policy. The retailers hope that they can enhance their market demand by offering a credit period to the customers and the supplier also offers a credit period to the retailers. We assume that the market demand of the products of one retailer depends not only on their own market price and offering a credit period to the customers, but also on the market price and offering a credit period of the other retailer. The supplier supplies the product with a common wholesale price and offers the same credit period to the retailers. We study the model under a centralised (integrated) case and a decentralised (Vertical Nash) case and compare them numerically. Finally, we investigate the model by the collected numerical data.
Modeling agricultural commodity prices and volatility in response to anticipated climate change
NASA Astrophysics Data System (ADS)
Lobell, D. B.; Tran, N.; Welch, J.; Roberts, M.; Schlenker, W.
2012-12-01
Food prices have shown a positive trend in the past decade, with episodes of rapid increases in 2008 and 2011. These increases pose a threat to food security in many regions of the world, where the poor are generally net consumers of food, and are also thought to increase risks of social and political unrest. The role of global warming in these price reversals have been debated, but little quantitative work has been done. A particular challenge in modeling these effects is that they require understanding links between climate and food supply, as well as between food supply and prices. Here we combine the anticipated effects of climate change on yield levels and volatility with an empirical competitive storage model to examine how expected climate change might affect prices and social welfare in the international food commodity market. We show that price level and volatility do increase over time in response to decreasing yield, and increasing yield variability. Land supply and storage demand both increase, but production and consumption continue to fall leading to a decrease in consumer surplus, and a corresponding though smaller increase in producer surplus.
Comparing Price Forecast Accuracy of Natural Gas Models andFutures Markets
Wong-Parodi, Gabrielle; Dale, Larry; Lekov, Alex
2005-06-30
The purpose of this article is to compare the accuracy of forecasts for natural gas prices as reported by the Energy Information Administration's Short-Term Energy Outlook (STEO) and the futures market for the period from 1998 to 2003. The analysis tabulates the existing data and develops a statistical comparison of the error between STEO and U.S. wellhead natural gas prices and between Henry Hub and U.S. wellhead spot prices. The results indicate that, on average, Henry Hub is a better predictor of natural gas prices with an average error of 0.23 and a standard deviation of 1.22 than STEO with an average error of -0.52 and a standard deviation of 1.36. This analysis suggests that as the futures market continues to report longer forward prices (currently out to five years), it may be of interest to economic modelers to compare the accuracy of their models to the futures market. The authors would especially like to thank Doug Hale of the Energy Information Administration for supporting and reviewing this work.
Are stock prices too volatile to be justified by the dividend discount model?
NASA Astrophysics Data System (ADS)
Akdeniz, Levent; Salih, Aslıhan Altay; Ok, Süleyman Tuluğ
2007-03-01
This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller [Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 (1981) 421-436.]. The conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock [Asset prices in a production economy, in: J.J. McCall (Ed.), The Economics of Information and Uncertainty, University of Chicago Press, Chicago (for N.B.E.R.), 1982]. Results show that the conditional variance bounds hold, hence, our hypothesis of the validity of the dividend discount model cannot be rejected. Moreover, in our setting, markets are efficient and stock prices are neither affected by herd psychology nor by the outcome of noise trading by naive investors; thus, we are able to control for market efficiency. Consequently, we show that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.
Models for the size distribution of businesses in a price driven market
NASA Astrophysics Data System (ADS)
D'Hulst, R.; Rodgers, G. J.
2001-06-01
A microscopic model of aggregation and fragmentation is introduced to investigate the size distribution of businesses. In the model, businesses are constrained to comply with the market price, as expected by the customers, while customers can only buy at the prices offered by the businesses. We show numerically and analytically that the size distribution scales like a power-law. A mean-field version of our model is also introduced and we determine for which value of the parameters the mean-field model agrees with the microscopic model. We discuss to what extent our simple model and its results compare with empirical data on company sizes in the US and debt sizes in Japan. Finally, possible extensions of the mean-field model are discussed, to cope with other empirical data.
NASA Astrophysics Data System (ADS)
Chen, Dar-Hsin; Chou, Heng-Chih; Wang, David; Zaabar, Rim
2011-06-01
Most empirical research of the path-dependent, exotic-option credit risk model focuses on developed markets. Taking Taiwan as an example, this study investigates the bankruptcy prediction performance of the path-dependent, barrier option model in the emerging market. We adopt Duan's (1994) [11], (2000) [12] transformed-data maximum likelihood estimation (MLE) method to directly estimate the unobserved model parameters, and compare the predictive ability of the barrier option model to the commonly adopted credit risk model, Merton's model. Our empirical findings show that the barrier option model is more powerful than Merton's model in predicting bankruptcy in the emerging market. Moreover, we find that the barrier option model predicts bankruptcy much better for highly-leveraged firms. Finally, our findings indicate that the prediction accuracy of the credit risk model can be improved by higher asset liquidity and greater financial transparency.
ERIC Educational Resources Information Center
Fischer, Richard B.
1986-01-01
Defines key terms and discusses things to consider when setting fees for a continuing education program. These include (1) the organization's philosophy and mission, (2) certain key variables, (3) pricing strategy options, and (4) the test of reasonableness. (CH)
A Comprehensive Evaluation of the 1990-91 Model Career Options Program.
ERIC Educational Resources Information Center
Whelan, Carol Scott; And Others
This publication provides evaluative information to decision makers at the state and local levels to assist in making judgments about the extent to which the goals of the Model Career Options Program (MCOP) were attained. The MCOP goals are: (1) to provide an opportunity for teachers to expand their professional horizons and explore new avenues in…
Incentives for new antibiotics: the Options Market for Antibiotics (OMA) model
2013-01-01
Background Antimicrobial resistance is a growing threat resulting from the convergence of biological, economic and political pressures. Investment in research and development of new antimicrobials has suffered secondary to these pressures, leading to an emerging crisis in antibiotic resistance. Methods Current policies to stimulate antibiotic development have proven inadequate to overcome market failures. Therefore innovative ideas utilizing market forces are necessary to stimulate new investment efforts. Employing the benefits of both the previously described Advanced Market Commitment and a refined Call Options for Vaccines model, we describe herein a novel incentive mechanism, the Options Market for Antibiotics. Results This model applies the benefits of a financial call option to the investment in and purchase of new antibiotics. The goal of this new model is to provide an effective mechanism for early investment and risk sharing while maintaining a credible purchase commitment and incentives for companies to ultimately bring new antibiotics to market. Conclusions We believe that the Options Market for Antibiotics (OMA) may help to overcome some of the traditional market failures associated with the development of new antibiotics. Additional work must be done to develop a more robust mathematical model to pave the way for practical implementation. PMID:24199835
Spatial-Temporal Models of Insect Growth, Diffusion and Derivative Pricing
Technology Transfer Automated Retrieval System (TEKTRAN)
Insect derivatives represent an important innovation in specialty crop risk management. An active over-the-counter market in insect derivatives will require a transparent pricing method. The paper develops an econometric model of the spatio-temporal process underlying a particular insect populatio...
Price Responsiveness in the AEO2003 NEMS Residential and Commercial Buildings Sector Models
2003-01-01
This paper describes the demand responses to changes in energy prices in the Annual Energy Outlook 2003 versions of the Residential and Commercial Demand Modules of the National Energy Modeling System (NEMS). It updates a similar paper completed for the Annual Energy Outlook 1999 version of the NEMS.
Hybrid model of price pair comparisons: evidence from an event-related potential study.
Cao, Bihua; Gao, Heming; Li, Fuhong
2015-09-30
It remains unclear whether number and unit are represented holistically (i.e. number and unit were processed as a whole) or compositionally (number and unit were processed separately) in the brain. The current study asked participants to compare price pairs with different monetary units that were presented serially. The close and far distances were defined in terms of the overall magnitude between two prices. Electrophysiological results showed that the distance effects were observed on the N2 component at the frontal regions, with far distances eliciting more negativity than close distances. This result suggests that participants compute the holistic price magnitudes before comparing them. Furthermore, a congruence effect was observed in the parietal regions. Incongruent prices elicited more negative amplitude than congruent prices on the N2 component, which implied that numbers and monetary units were processed separately over the same time course. Taken together, these findings suggest that numbers and monetary units are represented holistically and compositionally, which supports the hybrid model. PMID:26237244
Cost accounting models used for price-setting of health services: an international review.
Raulinajtys-Grzybek, Monika
2014-12-01
The aim of the article was to present and compare cost accounting models which are used in the area of healthcare for pricing purposes in different countries. Cost information generated by hospitals is further used by regulatory bodies for setting or updating prices of public health services. The article presents a set of examples from different countries of the European Union, Australia and the United States and concentrates on DRG-based payment systems as they primarily use cost information for pricing. Differences between countries concern the methodology used, as well as the data collection process and the scope of the regulations on cost accounting. The article indicates that the accuracy of the calculation is only one of the factors that determine the choice of the cost accounting methodology. Important aspects are also the selection of the reference hospitals, precise and detailed regulations and the existence of complex healthcare information systems in hospitals. PMID:25082465
NASA Astrophysics Data System (ADS)
Repetowicz, Przemysław; Richmond, Peter
2004-12-01
A theory which describes the share price evolution at financial markets as a continuous time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density function φ(x,t), which uses the concept of a Lévy stable distribution, is worked out. The evolution equation is formulated and it is shown that the process is non-Markovian. Finally, the theory is fitted to market data.
Information-time based futures pricing
NASA Astrophysics Data System (ADS)
Yen, Simon; Wang, Jai Jen
2009-09-01
This study follows Clark [P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41 (1973) 135-155] and Chang, Chang and Lim [C.W. Chang, S.K. Chang, K.G. Lim, Information-time option pricing: Theory and empirical evidence, Journal of Financial Economics 48 (1998) 211-242] to subordinate an information-time based directing process into calendar-time based parent processes. A closed-form futures pricing formula is derived after taking into account the information-time setting and the stochasticity of the spot price, interest rate, and convenience yield. According to the empirical results on the TAIEX and TFETX data from 1998/7/21 to 2003/12/31, the information-time based model performs better than its calendar-time based counterpart and the cost of carry model, especially when the information arrival intensity estimates become larger.
NASA Astrophysics Data System (ADS)
Xian, Lu; He, Kaijian; Lai, Kin Keung
2016-07-01
In recent years, the increasing level of volatility of the gold price has received the increasing level of attention from the academia and industry alike. Due to the complexity and significant fluctuations observed in the gold market, however, most of current approaches have failed to produce robust and consistent modeling and forecasting results. Ensemble Empirical Model Decomposition (EEMD) and Independent Component Analysis (ICA) are novel data analysis methods that can deal with nonlinear and non-stationary time series. This study introduces a new methodology which combines the two methods and applies it to gold price analysis. This includes three steps: firstly, the original gold price series is decomposed into several Intrinsic Mode Functions (IMFs) by EEMD. Secondly, IMFs are further processed with unimportant ones re-grouped. Then a new set of data called Virtual Intrinsic Mode Functions (VIMFs) is reconstructed. Finally, ICA is used to decompose VIMFs into statistically Independent Components (ICs). The decomposition results reveal that the gold price series can be represented by the linear combination of ICs. Furthermore, the economic meanings of ICs are analyzed and discussed in detail, according to the change trend and ICs' transformation coefficients. The analyses not only explain the inner driving factors and their impacts but also conduct in-depth analysis on how these factors affect gold price. At the same time, regression analysis has been conducted to verify our analysis. Results from the empirical studies in the gold markets show that the EEMD-ICA serve as an effective technique for gold price analysis from a new perspective.
Modeling and forecasting foreign exchange daily closing prices with normal inverse Gaussian
NASA Astrophysics Data System (ADS)
Teneng, Dean
2013-09-01
We fit the normal inverse Gaussian(NIG) distribution to foreign exchange closing prices using the open software package R and select best models by Käärik and Umbleja (2011) proposed strategy. We observe that daily closing prices (12/04/2008 - 07/08/2012) of CHF/JPY, AUD/JPY, GBP/JPY, NZD/USD, QAR/CHF, QAR/EUR, SAR/CHF, SAR/EUR, TND/CHF and TND/EUR are excellent fits while EGP/EUR and EUR/GBP are good fits with a Kolmogorov-Smirnov test p-value of 0.062 and 0.08 respectively. It was impossible to estimate normal inverse Gaussian parameters (by maximum likelihood; computational problem) for JPY/CHF but CHF/JPY was an excellent fit. Thus, while the stochastic properties of an exchange rate can be completely modeled with a probability distribution in one direction, it may be impossible the other way around. We also demonstrate that foreign exchange closing prices can be forecasted with the normal inverse Gaussian (NIG) Lévy process, both in cases where the daily closing prices can and cannot be modeled by NIG distribution.
A real options approach to clinical faculty salary structure.
Kahn, Marc J; Long, Hugh W
2012-01-01
One can use the option theory model originally developed to price financial opportunities in security markets to analyze many other economic arrangements such as the salary structures of clinical faculty in an academic medical center practice plan. If one views the underlying asset to be the portion (labeled "salary") of the economic value of the collections made for the care provided patients by the physician, then a salary guarantee can be considered a put option provided the physician, the guarantee having value to the physician only when the actual salary earned is less than the salary guarantee. Similarly, within an incentive plan, a salary cap can be thought of as a call option provided to the practice plan since a salary cap only has value to the practice plan when a physician's earnings exceed the cap. Further, based on analysis of prior earnings, the Black-Scholes options pricing model can be used both to price each option and to determine a financially neutral balance between a salary guarantee and a salary cap by equating the prices of the implied put and call options. We suggest that such analysis is superior to empirical methods for setting clinical faculty salary structure in the academic practice plan setting. PMID:23155746
Long scale evolution of a nonlinear stochastic dynamic system for modeling market price bubbles
NASA Astrophysics Data System (ADS)
Kiselev, S. A.; Phillips, Andy; Gabitov, I.
2000-07-01
This Letter investigates the stochastic dynamics of a simplified agent-based microscopic model describing stock market evolution. Our mathematical model includes a stochastic market and a sealed-bid double auction. The dynamics of the model are determined by the game of two types of traders: (i) `intelligent' traders whose strategy is based on nonlinear technical data analysis 1 and (ii) `random' traders that act without a consistent strategy. We demonstrate the effect of time-scale separations on the market dynamics. We study the characteristics of the market relaxation in response to perturbations caused by large cash flows generated between these two groups of traders. We also demonstrate that our model exhibits the formation of a price bubble 2 and the subsequent transition to a bear market 3. Bear market - a macroscopically long stage of a market evolution when the stock price declines significantly, 15% or more.
NASA Astrophysics Data System (ADS)
Schütz, Gunter M.; de Almeida Prado, Fernando Pigeard; Harris, Rosemary J.; Belitsky, Vladimir
2009-10-01
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows us to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are independent of the graph structure that models the peer network of agents whose decisions influence each other.
An agent based multi-optional model for the diffusion of innovations
NASA Astrophysics Data System (ADS)
Laciana, Carlos E.; Oteiza-Aguirre, Nicolás
2014-01-01
We propose a model for the diffusion of several products competing in a common market based on the generalization of the Ising model of statistical mechanics (Potts model). Using an agent based implementation we analyze two problems: (i) a three options case, i.e. to adopt a product A, a product B, or non-adoption and (ii) a four option case, i.e. the adoption of product A, product B, both, or none. In the first case we analyze a launching strategy for one of the two products, which delays its launching with the objective of competing with improvements. Market shares reached by each product are then estimated at market saturation. Finally, simulations are carried out with varying degrees of social network topology, uncertainty, and population homogeneity.
Quantum finance Hamiltonian for coupon bond European and barrier options
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.
2008-03-01
Coupon bond European and barrier options are financial derivatives that can be analyzed in the Hamiltonian formulation of quantum finance. Forward interest rates are modeled as a two-dimensional quantum field theory and its Hamiltonian and state space is defined. European and barrier options are realized as transition amplitudes of the time integrated Hamiltonian operator. The double barrier option for a financial instrument is “knocked out” (terminated with zero value) if the price of the underlying instrument exceeds or falls below preset limits; the barrier option is realized by imposing boundary conditions on the eigenfunctions of the forward interest rates’ Hamiltonian. The price of the European coupon bond option and the zero coupon bond barrier option are calculated. It is shown that, is general, the constraint function for a coupon bond barrier option can—to a good approximation—be linearized. A calculation using an overcomplete set of eigenfunctions yields an approximate price for the coupon bond barrier option, which is given in the form of an integral of a factor that results from the barrier condition times another factor that arises from the payoff function.
NASA Astrophysics Data System (ADS)
Matsypura, Dmytro
In this dissertation, I develop a new theoretical framework for the modeling, pricing analysis, and computation of solutions to electric power supply chains with power generators, suppliers, transmission service providers, and the inclusion of consumer demands. In particular, I advocate the application of finite-dimensional variational inequality theory, projected dynamical systems theory, game theory, network theory, and other tools that have been recently proposed for the modeling and analysis of supply chain networks (cf. Nagurney (2006)) to electric power markets. This dissertation contributes to the extant literature on the modeling, analysis, and solution of supply chain networks, including global supply chains, in general, and electric power supply chains, in particular, in the following ways. It develops a theoretical framework for modeling, pricing analysis, and computation of electric power flows/transactions in electric power systems using the rationale for supply chain analysis. The models developed include both static and dynamic ones. The dissertation also adds a new dimension to the methodology of the theory of projected dynamical systems by proving that, irrespective of the speeds of adjustment, the equilibrium of the system remains the same. Finally, I include alternative fuel suppliers, along with their behavior into the supply chain modeling and analysis framework. This dissertation has strong practical implications. In an era in which technology and globalization, coupled with increasing risk and uncertainty, complicate electricity demand and supply within and between nations, the successful management of electric power systems and pricing become increasingly pressing topics with relevance not only for economic prosperity but also national security. This dissertation addresses such related topics by providing models, pricing tools, and algorithms for decentralized electric power supply chains. This dissertation is based heavily on the following
Modeling studies of water consumption for transportation fuel options: Hawaii, US-48
NASA Astrophysics Data System (ADS)
King, C. W.; Webber, M. E.
2011-12-01
There are now major drivers to move from petroleum transportation: moving to low-carbon transport life cycles for climate change mitigation, fuel diversity to reduce reliance on imported oil, and economic concerns regarding the relatively high price of oil ( $100/barrel) and the resulting impact on discretionary income. Unfortunately many transportation fuel alternatives also have some environmental impacts, particularly with regard to water consumption and biodiversity. In this presentation we will discuss the water and energy sustainability struggle ongoing in Hawai'i on the island of Maui with a brief history and discussion of energy and water modeling scenarios. The vast majority of surface water on Maui is diverted via man-made ditches for irrigation on sugar cane plantations. Maui currently allocates between 250 and 300 million gallons per day (Mgal/d) of irrigation water for sugarcane cultivation each day, and it is likely that the island could support a biofuel-focused sugarcane plantation by shifting production focus from raw sugar to ethanol. However, future water availability is likely to be less than existing water availability because Maui is growing, more water is being reserved for environmental purposes, and precipitation levels are on decline for the past two decades and some expect this trend to continue. While Maui residents cannot control precipitation patterns, they can control the levels of increased requirements for instream flow in Maui's streams. The Hawaii State Commission on Water Resource Management (CWRM) sets instream flow standards, and choosing not to restore instream flow could have what many locals consider negative environmental and cultural impacts that must be weighed against the effects of reducing surface water availability for agriculture. Instream flow standards that reduce legal withdrawals for streams that supply irrigation water would reduce the amount of surface water available for biofuel crop irrigation. Environmental
Code of Federal Regulations, 2011 CFR
2011-01-01
... Score Disclosure Exception Notices H Appendix H to Part 222 Banks and Banking FEDERAL RESERVE SYSTEM..., App. H Appendix H to Part 222—Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception... form H-1 is for use in complying with the general risk-based pricing notice requirements in §...
Real-time pricing's hidden surprise
Siddiqi, R.; Woodley, J.
1994-03-01
The electric utility industry in the United States and the rest of the world is in the midst of profound change, with various models of regulation and nonregulation being tested. The United States has opted for an incremental approach to changes in fundamental aspects of the industry. Other countries, most notably the United Kingdom, are in the process of deregulation. These different structures rely on and result in dramatically different markets. While market structures may differ, similar approaches to service designs are evolving. Specifically, service options based on pricing are proliferating, and customers are being given the opportunity to select from a menu of options. This is in marked contrast to the rigid tariff structures that presuppose monopoly status to achieve utility goals. Strong parallels may be drawn between the pool-pricing options and associated hedging mechanisms offered in England and Wales, and the two-part tariff-based real-time pricing (RTP) programs in the United States. The latter service design, which is undergoing experimentation at Georgia Power Co., and in pilot operation at Niagara Mohawk Power Corp., has been criticized as too complex and not reflecting a competitive pricing structure. However, the similarity between two-part tariff programs and pool-pricing services (offered in the U.K. to a significantly larger customer base, under greater competition) undercuts these criticisms.
An inventory model involving back-order price discount when the amount received is uncertain
NASA Astrophysics Data System (ADS)
Arfawi Kurdhi, Nughthoh; Prasetyo, Joko; Sulistijowati Handajani, Sri
2016-02-01
This paper presents and analyses the continuous review inventory model with order quantity, safety factor, back-order price discount, ordering cost and lead time as decision variables. Our work is based on the paper of Huang (2010). We extend the model to incorporate the situation when the amount received is uncertain. The lead time demand is assumed follows a normal distribution. A solution procedure is developed to find the optimal solution. A numerical example is given to illustrate the model. A sensitivity analysis is also included to describe the effects of changes in the model parameters on the expected annual cost.
Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model
Zhu, Qing; Zou, Yingchao; Lai, Kin Keung
2014-01-01
As a typical nonlinear and dynamic system, the crude oil price movement is difficult to predict and its accurate forecasting remains the subject of intense research activity. Recent empirical evidence suggests that the multiscale data characteristics in the price movement are another important stylized fact. The incorporation of mixture of data characteristics in the time scale domain during the modelling process can lead to significant performance improvement. This paper proposes a novel morphological component analysis based hybrid methodology for modeling the multiscale heterogeneous characteristics of the price movement in the crude oil markets. Empirical studies in two representative benchmark crude oil markets reveal the existence of multiscale heterogeneous microdata structure. The significant performance improvement of the proposed algorithm incorporating the heterogeneous data characteristics, against benchmark random walk, ARMA, and SVR models, is also attributed to the innovative methodology proposed to incorporate this important stylized fact during the modelling process. Meanwhile, work in this paper offers additional insights into the heterogeneous market microstructure with economic viable interpretations. PMID:25061614
Implementation of power barrier option valuation
NASA Astrophysics Data System (ADS)
Cahyani, Agatha C. P.; Sumarti, Novriana
2015-09-01
Options are financial instruments that can be utilized to reduce risk in stock investment. Barrier options are one of the major types of options actively used in financial markets where its life period depends on the path of the underlying stock prices. The features of the barrier option can be used to modify other types of options. In this research, the barrier option will be implemented into power option, so it is called power barrier option. This option is an extension of the vanilla barrier options where the Call payoff being considered is defined as P C =max (STβ-Kβ,0 ) , and the Put payoff being considered is defined as P P =max (Kβ-STβ,0 ) . Here β > 0 and β ≠ 1, K is the strike price of the option, and ST is the price of the underlying stock at time maturity T. In this paper, we generate the prices of stock using binomial method which is adjusted to the power option. In the conclusion, the price of American power barrier option is more expensive than the price of European power barrier option.
Substitution and price elasticity estimates using inter-countrypooled data in a translog cost model
Roy, Joyashree; Sanstad, Alan H.; Sathaye, Jayant A.; Khaddaria,Raman
2006-06-01
Pooled data across several developing countries and the U.S. were used to estimate long-run substitution and price elasticities ina translog framework for the paper, iron and steel, and aggregatemanufacturing industries. While the quality of the estimates variesacross the several industry-specific models, the results suggest highervalues for these elasticities than appear commonly used in integratedassessment models. Estimates of own-price elasticities of energy rangefrom - 0.80 to - 1.76 and are comparable to estimates from previouseconometric studies in the context of developed countries (- 0.77 to -0.87). Substitution elasticities show wider variation across countriesand industries. For energy and capital they range from -1.96 to 9.80, forlabor and energy from 2.61 to 7.11, and for energy and material from -0.26 to 2.07.
Dynamical analysis for a model of asset prices with two delays
NASA Astrophysics Data System (ADS)
Wang, Luxuan; Niu, Ben; Wei, Junjie
2016-04-01
This paper provides a new perspective to understand the mechanism on the market stability or oscillation by investigating a two-dimensional asset price model with two delays. Stability conditions and the existence of Hopf bifurcation are obtained by investigating the characteristic equation. Then an explicit algorithm for determining the criticality of Hopf bifurcation and stability of the bifurcating solutions is derived, using the center manifold reduction method. The global continuation of bifurcating periodic solutions is detected using a global Hopf bifurcation theorem. It is found that delay may induce supercritical Hopf bifurcations, hence bring oscillation into the asset price model. Moreover, when time delay gets larger, the period of oscillation also increases. Finally, some numerical illustrations with Matlab and DDE-Biftool are carried out to support the theoretical analysis.
A Kramers-Moyal approach to the analysis of third-order noise with applications in option valuation.
Popescu, Dan M; Lipan, Ovidiu
2015-01-01
We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula's theorem, which states that a truncated model may exhibit poor statistical properties, we show that for a third-order Kramers-Moyal truncation model of an option's and its underlier's price, important properties emerge: (i) the option price can be written in a closed analytical form that involves the Airy function, (ii) the price is a positive function for positive skewness in the distribution, (iii) for negative skewness, the price becomes negative only for price values that are close to zero. Moreover, using third-order noise in option valuation reveals additional properties: (iv) the inconsistencies between two popular option pricing approaches (using a "delta-hedged" portfolio and using an option replicating portfolio) that are otherwise equivalent up to the second moment, (v) the ability to develop a measure R of how accurately an option can be replicated by a mixture of the underlying stocks and cash, (vi) further limitations of second-order models revealed by introducing third-order noise. PMID:25625856
NASA Astrophysics Data System (ADS)
Abdullah, Mimi Hafizah; Harun, Hanani Farhah
2014-10-01
Volatility implied by an option pricing model is seen as the market participants' assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study examines the implied volatility smiles and term structures in the Australian S&P/ASX 200 index options from the year 2001 to 2010, which covers the global financial crisis in the mid-2007 until the end of 2008. The results show that the implied volatility rises significantly during the crisis period, which is three time the rate before crisis.
Price Responsive Demand in New York Wholesale Electricity Market using OpenADR
Kim, Joyce Jihyun; Kiliccote, Sila
2012-06-01
In New York State, the default electricity pricing for large customers is Mandatory Hourly Pricing (MHP), which is charged based on zonal day-ahead market price for energy. With MHP, retail customers can adjust their building load to an economically optimal level according to hourly electricity prices. Yet, many customers seek alternative pricing options such as fixed rates through retail access for their electricity supply. Open Automated Demand Response (OpenADR) is an XML (eXtensible Markup Language) based information exchange model that communicates price and reliability information. It allows customers to evaluate hourly prices and provide demand response in an automated fashion to minimize electricity costs. This document shows how OpenADR can support MHP and facilitate price responsive demand for large commercial customers in New York City.
NASA Astrophysics Data System (ADS)
Fujita, Yasunori
2007-09-01
Reformulation of economics by physics has been carried out intensively to reveal many features of the asset market, which were missed in the classical economic theories. The present paper attempts to shed new light on this field. That is, this paper aims at reformulating the international trade model by making use of the real option theory. Based on such a stochastic dynamic model, we examine how the fluctuation of the foreign exchange rate makes effect on the welfare of the exporting country.
Early Prostate Cancer: Hedonic Prices Model of Provider-Patient Interactions and Decisions
Jani, Ashesh B. Hellman, Samuel
2008-03-15
Purpose: To determine the relative influence of treatment features and treatment availabilities on final treatment decisions in early prostate cancer. Methods and Materials: We describe and apply a model, based on hedonic prices, to understand provider-patient interactions in prostate cancer. This model included four treatments (observation, external beam radiotherapy, brachytherapy, and prostatectomy) and five treatment features (one efficacy and four treatment complication features). We performed a literature search to estimate (1) the intersections of the 'bid' functions and 'offer' functions with the price function along different treatment feature axes, and (2) the treatments actually rendered in different patient subgroups based on age. We performed regressions to determine the relative weight of each feature in the overall interaction and the relative availability of each treatment modality to explain differences between observed vs. predicted use of different modalities in different patient subpopulations. Results: Treatment efficacy and potency preservation are the major factors influencing decisions for young patients, whereas preservation of urinary and rectal function is much more important for very elderly patients. Referral patterns seem to be responsible for most of the deviations of observed use of different treatments from those predicted by idealized provider-patient interactions. Specifically, prostatectomy is used far more commonly in young patients and radiotherapy and observation used far more commonly in elderly patients than predicted by a uniform referral pattern. Conclusions: The hedonic prices approach facilitated identifying the relative importance of treatment features and quantification of the impact of the prevailing referral pattern on prostate cancer treatment decisions.
Empirical evaluation of the market price of risk using the CIR model
NASA Astrophysics Data System (ADS)
Bernaschi, M.; Torosantucci, L.; Uboldi, A.
2007-03-01
We describe a simple but effective method for the estimation of the market price of risk. The basic idea is to compare the results obtained by following two different approaches in the application of the Cox-Ingersoll-Ross (CIR) model. In the first case, we apply the non-linear least squares method to cross sectional data (i.e., all rates of a single day). In the second case, we consider the short rate obtained by means of the first procedure as a proxy of the real market short rate. Starting from this new proxy, we evaluate the parameters of the CIR model by means of martingale estimation techniques. The estimate of the market price of risk is provided by comparing results obtained with these two techniques, since this approach makes possible to isolate the market price of risk and evaluate, under the Local Expectations Hypothesis, the risk premium given by the market for different maturities. As a test case, we apply the method to data of the European Fixed Income Market.
Holmes, John; Meng, Yang; Meier, Petra S; Brennan, Alan; Angus, Colin; Campbell-Burton, Alexia; Guo, Yelan; Hill-McManus, Daniel; Purshouse, Robin C
2014-01-01
Summary Background Several countries are considering a minimum price policy for alcohol, but concerns exist about the potential effects on drinkers with low incomes. We aimed to assess the effect of a £0·45 minimum unit price (1 unit is 8 g/10 mL ethanol) in England across the income and socioeconomic distributions. Methods We used the Sheffield Alcohol Policy Model (SAPM) version 2.6, a causal, deterministic, epidemiological model, to assess effects of a minimum unit price policy. SAPM accounts for alcohol purchasing and consumption preferences for population subgroups including income and socioeconomic groups. Purchasing preferences are regarded as the types and volumes of alcohol beverages, prices paid, and the balance between on-trade (eg, bars) and off-trade (eg, shops). We estimated price elasticities from 9 years of survey data and did sensitivity analyses with alternative elasticities. We assessed effects of the policy on moderate, hazardous, and harmful drinkers, split into three socioeconomic groups (living in routine or manual households, intermediate households, and managerial or professional households). We examined policy effects on alcohol consumption, spending, rates of alcohol-related health harm, and opportunity costs associated with that harm. Rates of harm and costs were estimated for a 10 year period after policy implementation. We adjusted baseline rates of mortality and morbidity to account for differential risk between socioeconomic groups. Findings Overall, a minimum unit price of £0·45 led to an immediate reduction in consumption of 1·6% (−11·7 units per drinker per year) in our model. Moderate drinkers were least affected in terms of consumption (−3·8 units per drinker per year for the lowest income quintile vs 0·8 units increase for the highest income quintile) and spending (increase in spending of £0·04 vs £1·86 per year). The greatest behavioural changes occurred in harmful drinkers (change in consumption of −3·7% or
NASA Astrophysics Data System (ADS)
Song, Fu-Tie; Zhou, Wei-Xing
2010-09-01
The private car license plates issued in Shanghai are bestowed the title of “the most expensive sheet iron all over the world”, more expensive than gold. A citizen has to bid in a monthly auction to obtain a license plate for his new private car. We perform statistical analysis to investigate the influence of the minimal price Pmin of the bidding winners, the quota N of private car license plates, the number N of bidders, as well as two external shocks including the legality debate of the auction in 2004 and the auction regime reform in January 2008 on the average price P of all bidding winners. It is found that the legality debate of the auction had marginal transient impact on the average price in a short time period. In contrast, the change of the auction rules has significant permanent influence on the average price, which reduces the price by about 3020 yuan Renminbi. It means that the average price exhibits nonlinear behaviors with a regime change. The evolution of the average price is independent of the number N of bidders in both regimes. In the early regime before January 2008, the average price P was influenced only by the minimal price Pmin in the preceding month with a positive correlation. In the current regime since January 2008, the average price is positively correlated with the minimal price and the quota in the preceding month and negatively correlated with the quota in the same month. We test the predictive power of the two models using 2-year and 3-year moving windows and find that the latter outperforms the former. It seems that the auction market becomes more efficient after the auction reform since the prediction error increases.
NASA Astrophysics Data System (ADS)
Irmeilyana, Puspita, Fitri Maya; Indrawati
2016-02-01
The pricing for wireless networks is developed by considering linearity factors, elasticity price and price factors. Mixed Integer Nonlinear Programming of wireless pricing model is proposed as the nonlinear programming problem that can be solved optimally using LINGO 13.0. The solutions are expected to give some information about the connections between the acceptance factor and the price. Previous model worked on the model that focuses on bandwidth as the QoS attribute. The models attempt to maximize the total price for a connection based on QoS parameter. The QoS attributes used will be the bandwidth and the end to end delay that affect the traffic. The maximum goal to maximum price is achieved when the provider determine the requirement for the increment or decrement of price change due to QoS change and amount of QoS value.
Factors influencing global antiretroviral procurement prices
2009-01-01
Background Antiretroviral medicines (ARVs) are one of the most costly parts of HIV/AIDS treatment. Many countries are struggling to provide universal access to ARVs for all people living with HIV and AIDS. Although substantial price reductions of ARVs have occurred, especially between 2002 and 2008, achieving sustainable access for the next several decades remains a major challenge for most low- and middle-income countries. The objectives of the present study were twofold: first, to analyze global ARV prices between 2005 and 2008 and associated factors, particularly procurement methods and key donor policies on ARV procurement efficiency; second, to discuss the options of procurement processes and policies that should be considered when implementing or reforming access to ARV programs. Methods An ARV-medicines price-analysis was carried out using the Global Price Reporting Mechanism from the World Health Organization. For a selection of 12 ARVs, global median prices and price variation were calculated. Linear regression models for each ARV were used to identify factors that were associated with lower procurement prices. Logistic regression models were used to identify the characteristics of those countries which procure below the highest and lowest direct manufactured costs. Results Three key factors appear to have an influence on a country's ARV prices: (a) whether the product is generic or not; (b) the socioeconomic status of the country; (c) whether the country is a member of the Clinton HIV/AIDS Initiative. Factors which did not influence procurement below the highest direct manufactured costs were HIV prevalence, procurement volume, whether the country belongs to the least developed countries or a focus country of the United States President's Emergency Plan For AIDS Relief. Conclusion One of the principal mechanisms that can help to lower prices for ARV over the next several decades is increasing procurement efficiency. Benchmarking prices could be one useful
E-Valuation: Pricing E-Learning.
ERIC Educational Resources Information Center
Hartley, Darin E.
2001-01-01
Looks at the ways that electronic learning is priced in organizations and the factors that influence the pricing. Discusses pros and cons of several pricing options: price per seat, subscription, pay as you go, per server, free, and payment based on time. (JOW)
NASA Astrophysics Data System (ADS)
Heydari, Jafar; Norouzinasab, Yousef
2015-07-01
In this paper, a discount model is proposed to coordinate pricing and ordering decisions in a two-echelon supply chain (SC). Demand is stochastic and price sensitive while lead times are fixed. Decentralized decision making where downstream decides on selling price and order size is investigated. Then, joint pricing and ordering decisions are extracted where both members act as a single entity aim to maximize whole SC profit. Finally, a coordination mechanism based on quantity discount is proposed to coordinate both pricing and ordering decisions simultaneously. The proposed two-level discount policy can be characterized from two aspects: (1) marketing viewpoint: a retail price discount to increase the demand, and (2) operations management viewpoint: a wholesale price discount to induce the retailer to adjust its order quantity and selling price jointly. Results of numerical experiments demonstrate that the proposed policy is suitable to coordinate SC and improve the profitability of SC as well as all SC members in comparison with decentralized decision making.
Options of system integrated environment modelling in the predicated dynamic cyberspace
Janková, Martina; Dvořák, Jiří
2015-03-10
In this article there are briefly mentioned some selected options of contemporary conception of cybernetic system models in the corresponding and possible integratable environment with modern system dynamics thinking and all this in the cyberspace of possible projecting of predicted system characteristics. The key to new capabilities of system integration modelling in the considered cyberspace is mainly the ability to improve the environment and the system integration options, all this with the aim of modern control in the hierarchically arranged dynamic cyberspace, e.g. in the currently desired electronic business with information. The aim of this article is to assess generally the trends in the use of modern modelling methods considering the cybernetics applications verified in practice, modern concept of project management and also the potential integration of artificial intelligence in the new projecting and project management of integratable and intelligent models, e.g. with the optimal structures and adaptable behaviour.The article results from the solution of a specific research partial task at the faculty; especially the moments proving that the new economics will be based more and more on information, knowledge system defined cyberspace of modern management, are stressed in the text.
Al-Mutairi, N.H.; Eltony, M.N.
1995-12-31
This paper estimates the demand for energy in Kuwait for the period 1965-1989 using two econometric models: a cointegration and error correction model (ECM) and a simultaneous-equation model (SEM). The results obtained from both models are similar. It is found that the energy demand is inelastic with respect to price in the short and long run, and while it is elastic in the long run, the energy demand is inelastic with respect to income in the short run. Both models` validation shows that the ECM performed better in replicating the past than the simultaneous model, suggesting the need to use the ECM to identify future prospects for energy demand in Kuwait.
A spatio-temporal model of housing prices based on individual sales transactions over time
NASA Astrophysics Data System (ADS)
Smith, Tony E.; Wu, Peggy
2009-12-01
A spatio-temporal model of housing price trends is developed that focuses on individual housing sales over time. The model allows for both the spatio-temporal lag effects of previous sales in the vicinity of each housing sale, and for general autocorrelation effects over time. A key feature of this model is the recognition of the unequal spacing between individual housing sales over time. Hence the residuals are modeled as a first-order autoregressive process with unequally spaced events. The maximum-likelihood estimation of this model is developed in detail, and tested in terms of simulations based on selected data. In addition, the model is applied to a small data set in the Philadelphia area.
The future flight deck: Modelling dual, single and distributed crewing options.
Stanton, Neville A; Harris, Don; Starr, Alison
2016-03-01
It is argued that the barrier to single pilot operation is not the technology, but the failure to consider the whole socio-technical system. To better understand the socio-technical system we model alternative single pilot operations using Cognitive Work Analysis (CWA) and analyse those models using Social Network Analysis (SNA). Four potential models of single pilot operations were compared to existing two pilot operations. Using SOCA-CAT from CWA, we were able to identify the potential functional loading and interactions between networks of agents. The interactions formed the basis on the SNA. These analyses potentially form the basis for distributed system architecture for the operation of a future aircraft. The findings from the models suggest that distributed crewing option could be at least as resilient, in network architecture terms, as the current dual crewing operations. PMID:26141908
Dhondt, Stijn; Kochan, Bruno; Beckx, Carolien; Lefebvre, Wouter; Pirdavani, Ali; Degraeuwe, Bart; Bellemans, Tom; Int Panis, Luc; Macharis, Cathy; Putman, Koen
2013-01-01
Transportation policy measures often aim to change travel behaviour towards more efficient transport. While these policy measures do not necessarily target health, these could have an indirect health effect. We evaluate the health impact of a policy resulting in an increase of car fuel prices by 20% on active travel, outdoor air pollution and risk of road traffic injury. An integrated modelling chain is proposed to evaluate the health impact of this policy measure. An activity-based transport model estimated movements of people, providing whereabouts and travelled kilometres. An emission- and dispersion model provided air quality levels (elemental carbon) and a road safety model provided the number of fatal and non-fatal traffic victims. We used kilometres travelled while walking or cycling to estimate the time in active travel. Differences in health effects between the current and fuel price scenario were expressed in Disability Adjusted Life Years (DALY). A 20% fuel price increase leads to an overall gain of 1650 (1010-2330) DALY. Prevented deaths lead to a total of 1450 (890-2040) Years Life Gained (YLG), with better air quality accounting for 530 (180-880) YLG, fewer road traffic injuries for 750 (590-910) YLG and active travel for 170 (120-250) YLG. Concerning morbidity, mostly road safety led to 200 (120-290) fewer Years Lived with Disability (YLD), while air quality improvement only had a minor effect on cardiovascular hospital admissions. Air quality improvement and increased active travel mainly had an impact at older age, while traffic safety mainly affected younger and middle-aged people. This modelling approach illustrates the feasibility of a comprehensive health impact assessment of changes in travel behaviour. Our results suggest that more is needed than a policy rising car fuel prices by 20% to achieve substantial health gains. While the activity-based model gives an answer on what the effect of a proposed policy is, the focus on health may make
Fractality of profit landscapes and validation of time series models for stock prices
NASA Astrophysics Data System (ADS)
Yi, Il Gu; Oh, Gabjin; Kim, Beom Jun
2013-08-01
We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters p and q, and the sell (buy) decision is made when the log return is larger (smaller) than p (-q). We discretize the unit square (p,q) ∈ [0,1] × [0,1] into the N × N square grid and the profit Π(p,q) is calculated at the center of each cell. We confirm the previous finding that local maxima in profit landscapes are scattered in a fractal-like fashion: the number M of local maxima follows the power-law form M ˜ Na, but the scaling exponent a is found to differ for different time series. From comparisons of real and artificial stock prices, we find that the fat-tailed return distribution is closely related to the exponent a ≈ 1.6 observed for real stock markets. We suggest that the fractality of profit landscape characterized by a ≈ 1.6 can be a useful measure to validate time series model for stock prices.
Developing a goal programming model for ideal/mutual house price
NASA Astrophysics Data System (ADS)
Saiddin, Nor Syuhadah; Zaibidi, Nerda Zura; Sulaiman, Nor Intan Saniah
2015-12-01
One cannot deny the importance of a house as a living need. Unfortunately, the unreasonable house price makes it approximately impossible to be owned, mostly for middle income group. Nowadays, the middle income house buyers have two alternatives, whether to buy it from a private developer or through PR1MA and My First Home scheme, since both parties have their own advantages. Goal programming has been employed to resolve the multi objective problem among parties. Due to the complex decision making in house price determination between the parties, this study purposely modeled the problem using interval goal programming approach. Goal programming and interval goal programming can be differ based on their goal (i.e. the aspire level) which is in the form of interval. This study employed primary data and secondary data, which primary data is acquired from semi-structured interview with private developer, while secondary data is the data obtained from literature review. Initial result shows the satisfactory house price over preferences and needs of the decision makers, which are RM454, 050.00 for the private developer, RM322, 880.00 for the government and range of RM2380.95 to RM245, 100.00 for the house buyer. This suggests the house price range that is satisfied by all parties which is about RM238, 000.95 to RM460, 000.00.The satisfaction might occurred when they are all cooperating, which the way could enlighten the impact of collaboration between the parties. This could be the limitations for this study.
NASA Astrophysics Data System (ADS)
Li, Rui; Wang, Jun
2016-01-01
A financial price model is developed based on the voter interacting system in this work. The Lempel-Ziv complexity is introduced to analyze the complex behaviors of the stock market. Some stock market stylized facts including fat tails, absence of autocorrelation and volatility clustering are investigated for the proposed price model firstly. Then the complexity of fluctuation behaviors of the real stock markets and the proposed price model are mainly explored by Lempel-Ziv complexity (LZC) analysis and multi-scale weighted-permutation entropy (MWPE) analysis. A series of LZC analyses of the returns and the absolute returns of daily closing prices and moving average prices are performed. Moreover, the complexity of the returns, the absolute returns and their corresponding intrinsic mode functions (IMFs) derived from the empirical mode decomposition (EMD) with MWPE is also investigated. The numerical empirical study shows similar statistical and complex behaviors between the proposed price model and the real stock markets, which exhibits that the proposed model is feasible to some extent.
A Kramers-Moyal Approach to the Analysis of Third-Order Noise with Applications in Option Valuation
Popescu, Dan M.; Lipan, Ovidiu
2015-01-01
We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula’s theorem, which states that a truncated model may exhibit poor statistical properties, we show that for a third-order Kramers-Moyal truncation model of an option’s and its underlier’s price, important properties emerge: (i) the option price can be written in a closed analytical form that involves the Airy function, (ii) the price is a positive function for positive skewness in the distribution, (iii) for negative skewness, the price becomes negative only for price values that are close to zero. Moreover, using third-order noise in option valuation reveals additional properties: (iv) the inconsistencies between two popular option pricing approaches (using a “delta-hedged” portfolio and using an option replicating portfolio) that are otherwise equivalent up to the second moment, (v) the ability to develop a measure R of how accurately an option can be replicated by a mixture of the underlying stocks and cash, (vi) further limitations of second-order models revealed by introducing third-order noise. PMID:25625856
Modeling of NOx Destruction Options for INEEL Sodium-Bearing Waste Vitrification
Wood, Richard Arthur
2001-09-01
Off-gas NOx concentrations in the range of 1-5 mol% are expected as a result of the proposed vitrification of sodium-bearing waste at the Idaho National Engineering and Environmental Laboratory. An existing kinetic model for staged combustion (originally developed for NOx abatement from the calcination process) was updated for application to vitrification offgas. In addition, two new kinetic models were developed to assess the feasibility of using selective non-catalytic reduction (SNCR) or high-temperature alone for NOx abatement. Each of the models was developed using the Chemkin code. Results indicate that SNCR is a viable option, reducing NOx levels to below 1000 ppmv. In addition, SNCR may be capable of simultaneously reducing CO emissions to below 100 ppmv. Results for using high-temperature alone were not as promising, indicating that a minimum NOx concentration of 3950 ppmv is achievable at 3344°F.
NASA Astrophysics Data System (ADS)
Denzler, Stefan M.; Dacorogna, Michel M.; Muller, Ulrich A.; McNeil, Alexander J.
2005-05-01
Credit risk models like Moody's KMV are now well established in the market and give bond managers reliable default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds. Inspired by the existence of scaling laws in financial markets by Dacorogna et al. 2001 and DiMatteo et al. 2005 deviating from the Gaussian behavior, we develop a model that quantitatively links those default probabilities to credit spreads (market prices). The main input quantities to this study are merely industry yield data of different times to maturity and expected default frequencies (EDFs) of Moody's KMV. The empirical results of this paper clearly indicate that the model can be used to calculate approximate credit spreads (market prices) from EDFs, independent of the time to maturity and the industry sector under consideration. Moreover, the model is effective in an out-of-sample setting, it produces consistent results on the European bond market where data are scarce and can be adequately used to approximate credit spreads on the corporate level.
A dual theory of price and value in a meso-scale economic model with stochastic profit rate
NASA Astrophysics Data System (ADS)
Greenblatt, R. E.
2014-12-01
The problem of commodity price determination in a market-based, capitalist economy has a long and contentious history. Neoclassical microeconomic theories are based typically on marginal utility assumptions, while classical macroeconomic theories tend to be value-based. In the current work, I study a simplified meso-scale model of a commodity capitalist economy. The production/exchange model is represented by a network whose nodes are firms, workers, capitalists, and markets, and whose directed edges represent physical or monetary flows. A pair of multivariate linear equations with stochastic input parameters represent physical (supply/demand) and monetary (income/expense) balance. The input parameters yield a non-degenerate profit rate distribution across firms. Labor time and price are found to be eigenvector solutions to the respective balance equations. A simple relation is derived relating the expected value of commodity price to commodity labor content. Results of Monte Carlo simulations are consistent with the stochastic price/labor content relation.
Multifractal analysis of implied volatility in index options
NASA Astrophysics Data System (ADS)
Oh, GabJin
2014-06-01
In this paper, we analyze the statistical and the non-linear properties of the log-variations in implied volatility for the CAC40, DAX and S& P500 daily index options. The price of an index option is generally represented by its implied volatility surface, including its smile and skew properties. We utilize a Lévy process model as the underlying asset to deepen our understanding of the intrinsic property of the implied volatility in the index options and estimate the implied volatility surface. We find that the options pricing models with the exponential Lévy model can reproduce the smile or sneer features of the implied volatility that are observed in real options markets. We study the variation in the implied volatility for at-the-money index call and put options, and we find that the distribution function follows a power-law distribution with an exponent of 3.5 ≤ γ ≤ 4.5. Especially, the variation in the implied volatility exhibits multifractal spectral characteristics, and the global financial crisis has influenced the complexity of the option markets.
Jager, Yetta; Bevelhimer, Mark S; Chandler, James A.; Lepla, Ken B.; Van Winkle, Webb
2007-01-01
Abstract.- This paper describes a simulation study of reconnection options for white sturgeon Acipenser transmontanus subpopulations in adjacent river segments above and below CJ Strike Dam on the Snake River, Idaho, USA. In contrast to the downstream river segment, the upstream river segment is long and has areas that are suitable for spawning during normal and wet hydrologic conditions. We evaluated demographic and genetic consequences of upstream and downstream passage using different model assumptions about trashrack spacing and density dependent effects on the spawning interval. Our genetic results predict that, although reconnection would introduce new alleles to the upstream subpopulation, it would also preserve alleles from the downstream subpopulation by propagating them in the larger subpopulation above the dam. Our demographic results predict that halving the space between trashracks would have large and unequivocal benefits, whereas the effects of reconnection would be smaller and more sensitive to model assumptions. Simulated upstream passage tended to benefit both subpopulations only in the absence of density dependent limitation. In the presence of density dependence, the combination of halved trashrack spacing and upstream and downstream passage produced the best results. Narrower trashracks kept spawning adults in the upstream segment with spawning habitat, while allowing their progeny to migrate downstream. Screening appears to be the best option for such a species in this configuration of a long river segment acting as a demographic source above a short one acting as a demographic sink.
A nonparametric approach for European option valuation
NASA Astrophysics Data System (ADS)
Huang, Guanghui; Wan, Jianping
2008-04-01
A nonparametric approach for European option valuation is proposed in this paper, which adopts a purely jump model to describe the price dynamics of the underlying asset, and the minimal entropy martingale measure for those jumps is used as the pricing measure of this market. A simple Monte Carlo simulation method is proposed to calculate the price of derivatives under this risk neural measure. And the volatility of the spot market can be renewed automatically without particular specification in the proposed method. The performances of the proposed method are compared to that of the Black-Scholes formula in an artificial world and the real world. The results of our investigations suggest that the proposed method is a valuable method.
Price-Dynamics of Shares and Bohmian Mechanics: Deterministic or Stochastic Model?
NASA Astrophysics Data System (ADS)
Choustova, Olga
2007-02-01
We apply the mathematical formalism of Bohmian mechanics to describe dynamics of shares. The main distinguishing feature of the financial Bohmian model is the possibility to take into account market psychology by describing expectations of traders by the pilot wave. We also discuss some objections (coming from conventional financial mathematics of stochastic processes) against the deterministic Bohmian model. In particular, the objection that such a model contradicts to the efficient market hypothesis which is the cornerstone of the modern market ideology. Another objection is of pure mathematical nature: it is related to the quadratic variation of price trajectories. One possibility to reply to this critique is to consider the stochastic Bohm-Vigier model, instead of the deterministic one. We do this in the present note.
Agent-based models for latent liquidity and concave price impact.
Mastromatteo, Iacopo; Tóth, Bence; Bouchaud, Jean-Philippe
2014-04-01
We revisit the "ɛ-intelligence" model of Tóth et al. [Phys. Rev. X 1, 021006 (2011)], which was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes linearly around the current price, as a consequence of the diffusion of the price itself. However, the numerical implementation of Tóth et al. (2011) was criticized as being unrealistic, in particular because all the "intelligence" was conferred to market orders, while limit orders were passive and random. In this work, we study various alternative specifications of the model, for example, allowing limit orders to react to the order flow or changing the execution protocols. By and large, our study lends strong support to the idea that the square-root impact law is a very generic and robust property that requires very few ingredients to be valid. We also show that the transition from superdiffusion to subdiffusion reported in Tóth et al. (2011) is in fact a crossover but that the original model can be slightly altered in order to give rise to a genuine phase transition, which is of interest on its own. We finally propose a general theoretical framework to understand how a nonlinear impact may appear even in the limit where the bias in the order flow is vanishingly small. PMID:24827291
Simulation of coupon bond European and barrier options in quantum finance
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Pan, Tang
2011-01-01
Coupon bond European and barrier options are studied in the framework of quantum finance. The prices of European and barrier options are analyzed by generating sample values of the forward interest rates f(t,x) using a two-dimensional Gaussian quantum field A(t,x). The strong correlations of forward interest rates are described by the stiff propagator of the quantum field A(t,x). Using the Cholesky decomposition, A(t,x) is expressed in terms of white noise. The simulation results for European coupon bond and barrier options are compared with approximate formulas, which are obtained as power series in the volatility of the forward interest rates. The simulation shows that the simulated price deviates from the approximate value for large volatilities. The numerical algorithm is flexible and can be used for pricing any kind of option. It is shown that the three-factor HJM model can be derived from the quantum finance formulation.
Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models
Yamazaki, Kazutoshi
2015-08-15
This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Lévy process. This allows the model to incorporate sudden declines of the project values, generalizing greatly the classical geometric Brownian motion model. We solve the one-stage case as well as the extension to the multiple-stage case. The optimal stopping times are of threshold-type and the value function admits an expression in terms of the scale function. A series of numerical experiments are conducted to verify the optimality and to evaluate the efficiency of the algorithm.
Modelling mitigation options to reduce diffuse nitrogen water pollution from agriculture.
Bouraoui, Fayçal; Grizzetti, Bruna
2014-01-15
Agriculture is responsible for large scale water quality degradation and is estimated to contribute around 55% of the nitrogen entering the European Seas. The key policy instrument for protecting inland, transitional and coastal water resources is the Water Framework Directive (WFD). Reducing nutrient losses from agriculture is crucial to the successful implementation of the WFD. There are several mitigation measures that can be implemented to reduce nitrogen losses from agricultural areas to surface and ground waters. For the selection of appropriate measures, models are useful for quantifying the expected impacts and the associated costs. In this article we review some of the models used in Europe to assess the effectiveness of nitrogen mitigation measures, ranging from fertilizer management to the construction of riparian areas and wetlands. We highlight how the complexity of models is correlated with the type of scenarios that can be tested, with conceptual models mostly used to evaluate the impact of reduced fertilizer application, and the physically-based models used to evaluate the timing and location of mitigation options and the response times. We underline the importance of considering the lag time between the implementation of measures and effects on water quality. Models can be effective tools for targeting mitigation measures (identifying critical areas and timing), for evaluating their cost effectiveness, for taking into consideration pollution swapping and considering potential trade-offs in contrasting environmental objectives. Models are also useful for involving stakeholders during the development of catchments mitigation plans, increasing their acceptability. PMID:23998504
Code of Federal Regulations, 2011 CFR
2011-01-01
... contains two model forms for risk-based pricing notices and three model forms for use in connection with... the shading or color contained in the model forms. iv. Use of a different form of graphical... sequence of the forms. Persons making revisions with that effect will lose the benefit of the safe...
The Pricing of Information--A Search-Based Approach to Pricing an Online Search Service.
ERIC Educational Resources Information Center
Boyle, Harry F.
1982-01-01
Describes innovative pricing structure consisting of low connect time fee, print fees, and search fees, offered by Chemical Abstracts Service (CAS) ONLINE--an online searching system used to locate chemical substances. Pricing options considered by CAS, the search-based pricing approach, and users' reactions to pricing structures are noted. (EJS)
Jacobson, Sheldon H; Sewell, Edward C; Allwine, Daniel A; Medina, Enrique A; Weniger, Bruce G
2003-02-01
The National Immunization Program, housed within the Centers for Disease Control and Prevention in the USA, has identified several challenges that must be faced in childhood immunization programs to deliver and procure vaccines that immunize children from the plethora of childhood diseases. The biomedical issues cited include how drug manufacturers can combine and formulate vaccines, how such vaccines are scheduled and administered and how economically sound vaccine procurement can be achieved. This review discusses how operations research models can be used to address the economics of pediatric vaccine formulary design and pricing, as well as how such models can be used to address a new set of pediatric formulary problems that will surface with the introduction of pediatric combination vaccines into the US pediatric immunization market. PMID:12901593
Modelling Pasture-based Automatic Milking System Herds: Grazeable Forage Options.
Islam, M R; Garcia, S C; Clark, C E F; Kerrisk, K L
2015-05-01
One of the challenges to increase milk production in a large pasture-based herd with an automatic milking system (AMS) is to grow forages within a 1-km radius, as increases in walking distance increases milking interval and reduces yield. The main objective of this study was to explore sustainable forage option technologies that can supply high amount of grazeable forages for AMS herds using the Agricultural Production Systems Simulator (APSIM) model. Three different basic simulation scenarios (with irrigation) were carried out using forage crops (namely maize, soybean and sorghum) for the spring-summer period. Subsequent crops in the three scenarios were forage rape over-sown with ryegrass. Each individual simulation was run using actual climatic records for the period from 1900 to 2010. Simulated highest forage yields in maize, soybean and sorghum- (each followed by forage rape-ryegrass) based rotations were 28.2, 22.9, and 19.3 t dry matter/ha, respectively. The simulations suggested that the irrigation requirement could increase by up to 18%, 16%, and 17% respectively in those rotations in El-Niño years compared to neutral years. On the other hand, irrigation requirement could increase by up to 25%, 23%, and 32% in maize, soybean and sorghum based rotations in El-Nino years compared to La-Nina years. However, irrigation requirement could decrease by up to 8%, 7%, and 13% in maize, soybean and sorghum based rotations in La-Nina years compared to neutral years. The major implication of this study is that APSIM models have potentials in devising preferred forage options to maximise grazeable forage yield which may create the opportunity to grow more forage in small areas around the AMS which in turn will minimise walking distance and milking interval and thus increase milk production. Our analyses also suggest that simulation analysis may provide decision support during climatic uncertainty. PMID:25924963
Modelling Pasture-based Automatic Milking System Herds: Grazeable Forage Options
Islam, M. R.; Garcia, S. C.; Clark, C. E. F.; Kerrisk, K. L.
2015-01-01
One of the challenges to increase milk production in a large pasture-based herd with an automatic milking system (AMS) is to grow forages within a 1-km radius, as increases in walking distance increases milking interval and reduces yield. The main objective of this study was to explore sustainable forage option technologies that can supply high amount of grazeable forages for AMS herds using the Agricultural Production Systems Simulator (APSIM) model. Three different basic simulation scenarios (with irrigation) were carried out using forage crops (namely maize, soybean and sorghum) for the spring-summer period. Subsequent crops in the three scenarios were forage rape over-sown with ryegrass. Each individual simulation was run using actual climatic records for the period from 1900 to 2010. Simulated highest forage yields in maize, soybean and sorghum- (each followed by forage rape-ryegrass) based rotations were 28.2, 22.9, and 19.3 t dry matter/ha, respectively. The simulations suggested that the irrigation requirement could increase by up to 18%, 16%, and 17% respectively in those rotations in El-Niño years compared to neutral years. On the other hand, irrigation requirement could increase by up to 25%, 23%, and 32% in maize, soybean and sorghum based rotations in El-Nino years compared to La-Nina years. However, irrigation requirement could decrease by up to 8%, 7%, and 13% in maize, soybean and sorghum based rotations in La-Nina years compared to neutral years. The major implication of this study is that APSIM models have potentials in devising preferred forage options to maximise grazeable forage yield which may create the opportunity to grow more forage in small areas around the AMS which in turn will minimise walking distance and milking interval and thus increase milk production. Our analyses also suggest that simulation analysis may provide decision support during climatic uncertainty. PMID:25924963
On the choice of GARCH parameters for efficient modelling of real stock price dynamics
NASA Astrophysics Data System (ADS)
Pokhilchuk, K. A.; Savel'ev, S. E.
2016-04-01
We propose two different methods for optimal choice of GARCH(1,1) parameters for the efficient modelling of stock prices by using a particular return series. Using (as an example) stock return data for Intel Corporation, we vary parameters to fit the average volatility as well as fourth (linked to kurtosis of data) and eighth statistical moments and observe pure convergence of our simulated eighth moment to the stock data. Results indicate that fitting higher-order moments of a return series might not be an optimal approach for choosing GARCH parameters. In contrast, the simulated exponent of the Fourier spectrum decay is much less noisy and can easily fit the corresponding decay of the empirical Fourier spectrum of the used return series of Intel stock, allowing us to efficiently define all GARCH parameters. We compare the estimates of GARCH parameters obtained by fitting price data Fourier spectra with the ones obtained from standard software packages and conclude that the obtained estimates here are deeper in the stability region of parameters. Thus, the proposed method of using Fourier spectra of stock data to estimate GARCH parameters results in a more robust and stable stochastic process but with a shorter characteristic autocovariance time.
SimRNAweb: a web server for RNA 3D structure modeling with optional restraints.
Magnus, Marcin; Boniecki, Michał J; Dawson, Wayne; Bujnicki, Janusz M
2016-07-01
RNA function in many biological processes depends on the formation of three-dimensional (3D) structures. However, RNA structure is difficult to determine experimentally, which has prompted the development of predictive computational methods. Here, we introduce a user-friendly online interface for modeling RNA 3D structures using SimRNA, a method that uses a coarse-grained representation of RNA molecules, utilizes the Monte Carlo method to sample the conformational space, and relies on a statistical potential to describe the interactions in the folding process. SimRNAweb makes SimRNA accessible to users who do not normally use high performance computational facilities or are unfamiliar with using the command line tools. The simplest input consists of an RNA sequence to fold RNA de novo. Alternatively, a user can provide a 3D structure in the PDB format, for instance a preliminary model built with some other technique, to jump-start the modeling close to the expected final outcome. The user can optionally provide secondary structure and distance restraints, and can freeze a part of the starting 3D structure. SimRNAweb can be used to model single RNA sequences and RNA-RNA complexes (up to 52 chains). The webserver is available at http://genesilico.pl/SimRNAweb. PMID:27095203
Code of Federal Regulations, 2014 CFR
2014-01-01
... 16 Commercial Practices 1 2014-01-01 2014-01-01 false Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices B Appendix B to Part 698 Commercial Practices FEDERAL TRADE COMMISSION THE FAIR CREDIT REPORTING ACT MODEL FORMS AND DISCLOSURES Pt. 698, App. B Appendix B to Part...
Code of Federal Regulations, 2013 CFR
2013-01-01
... 16 Commercial Practices 1 2013-01-01 2013-01-01 false Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices B Appendix B to Part 698 Commercial Practices FEDERAL TRADE COMMISSION THE FAIR CREDIT REPORTING ACT MODEL FORMS AND DISCLOSURES Pt. 698, App. B Appendix B to Part...
Code of Federal Regulations, 2012 CFR
2012-01-01
... 16 Commercial Practices 1 2012-01-01 2012-01-01 false Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices B Appendix B to Part 698 Commercial Practices FEDERAL TRADE COMMISSION THE FAIR CREDIT REPORTING ACT MODEL FORMS AND DISCLOSURES Pt. 698, App. B Appendix B to Part...
NASA Astrophysics Data System (ADS)
Vicente, Renato; de Toledo, Charles M.; Leite, Vitor B. P.; Caticha, Nestor
2006-02-01
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics.
Agent-based models for latent liquidity and concave price impact
NASA Astrophysics Data System (ADS)
Mastromatteo, Iacopo; Tóth, Bence; Bouchaud, Jean-Philippe
2014-04-01
We revisit the "ɛ-intelligence" model of Tóth et al. [Phys. Rev. X 1, 021006 (2011), 10.1103/PhysRevX.1.021006], which was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes linearly around the current price, as a consequence of the diffusion of the price itself. However, the numerical implementation of Tóth et al. (2011) was criticized as being unrealistic, in particular because all the "intelligence" was conferred to market orders, while limit orders were passive and random. In this work, we study various alternative specifications of the model, for example, allowing limit orders to react to the order flow or changing the execution protocols. By and large, our study lends strong support to the idea that the square-root impact law is a very generic and robust property that requires very few ingredients to be valid. We also show that the transition from superdiffusion to subdiffusion reported in Tóth et al. (2011) is in fact a crossover but that the original model can be slightly altered in order to give rise to a genuine phase transition, which is of interest on its own. We finally propose a general theoretical framework to understand how a nonlinear impact may appear even in the limit where the bias in the order flow is vanishingly small.
Valuation of exotic options in the framework of Levy processes
Milev, Mariyan Georgieva, Svetla Markovska, Veneta
2013-12-18
In this paper we explore a straightforward procedure to price derivatives by using the Monte Carlo approach when the underlying process is a jump-diffusion. We have compared the Black-Scholes model with one of its extensions that is the Merton model. The latter model is better in capturing the market’s phenomena and is comparative to stochastic volatility models in terms of pricing accuracy. We have presented simulations of asset paths and pricing of barrier options for both Geometric Brownian motion and exponential Levy processes as it is the concrete case of the Merton model. A desired level of accuracy is obtained with simple computer operations in MATLAB for efficient computational time.
Valuation of exotic options in the framework of Levy processes
NASA Astrophysics Data System (ADS)
Milev, Mariyan; Georgieva, Svetla; Markovska, Veneta
2013-12-01
In this paper we explore a straightforward procedure to price derivatives by using the Monte Carlo approach when the underlying process is a jump-diffusion. We have compared the Black-Scholes model with one of its extensions that is the Merton model. The latter model is better in capturing the market's phenomena and is comparative to stochastic volatility models in terms of pricing accuracy. We have presented simulations of asset paths and pricing of barrier options for both Geometric Brownian motion and exponential Levy processes as it is the concrete case of the Merton model. A desired level of accuracy is obtained with simple computer operations in MATLAB for efficient computational time.
Mathieu, Johanna L.; Callaway, Duncan S.; Kiliccote, Sila
2011-08-15
Controlling electric loads to deliver power system services presents a number of interesting challenges. For example, changes in electricity consumption of Commercial and Industrial (C&I) facilities are usually estimated using counterfactual baseline models, and model uncertainty makes it difficult to precisely quantify control responsiveness. Moreover, C&I facilities exhibit variability in their response. This paper seeks to understand baseline model error and demand-side variability in responses to open-loop control signals (i.e. dynamic prices). Using a regression-based baseline model, we define several Demand Response (DR) parameters, which characterize changes in electricity use on DR days, and then present a method for computing the error associated with DR parameter estimates. In addition to analyzing the magnitude of DR parameter error, we develop a metric to determine how much observed DR parameter variability is attributable to real event-to-event variability versus simply baseline model error. Using data from 38 C&I facilities that participated in an automated DR program in California, we find that DR parameter errors are large. For most facilities, observed DR parameter variability is likely explained by baseline model error, not real DR parameter variability; however, a number of facilities exhibit real DR parameter variability. In some cases, the aggregate population of C&I facilities exhibits real DR parameter variability, resulting in implications for the system operator with respect to both resource planning and system stability.
A spectral transform dynamical core option within the Community Atmosphere Model (CAM4)
Evans, Katherine J; Mahajan, Salil; Branstetter, Marcia L; McClean, Julie L.; Caron, Julie M.; Maltrud, Matthew E.; Hack, James J; Bader, David C; Neale, Rich
2014-01-01
A spectral transform dynamical core with an 85 spectral truncation resolution (T85) within the Community Atmosphere Model (CAM), version 4, is evaluated within the recently released Community Earth System Model, version 1.0 (CESM) global climate model. The spectral dynamical core option provides a well-known base within the climate model community from which to assess climate behavior and statistics, and its relative computational efficiency for smaller computing platforms allows it to be extended to perform climate length simulations using high-resolution configurations in the near term. To establish the characteristics of the CAM4 T85, an ensemble of simulations covering the present day observational period using forced sea surface temperatures and prescribed sea-ice extent are evaluated. Overall, the T85 ensemble attributes and biases are similar to a companion ensemble of simulations using the one degree finite volume (FV1) dynamical core, relative to observed and model derived datasets. Notable improvements with T85 compared to FV1 include the representation of wintertime Arctic sea level pressure and summer precipitation over the Western Indian subcontinent. The mean and spatial patterns of the land surface temperature trends over the AMIP period are generally well simulated with the T85 ensemble relative to observations, however the model is not able to capture the extent nor magnitude of changes in temperature extremes over the boreal summer, where the changes are most dramatic. Biases in the wintertime Arctic surface temperature and annual mean surface stress fields persist with T85 as with the CAM3 version of T85.
NASA Astrophysics Data System (ADS)
Choustova, Olga
2008-01-01
We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Through comparing properties of trajectories we come to the conclusion that the only possibility to proceed with real financial data is to apply the stochastic version of the pilot wave theory—the model of Bohm Vigier.
A quantum mechanical model for the relationship between stock price and stock ownership
NASA Astrophysics Data System (ADS)
Cotfas, Liviu-Adrian
2012-11-01
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is, only in the case when the owner is unknown. We show that the stock price can be better described by a function indicating at any moment of time the probabilities for the possible values of price if a transaction takes place. This more general description contains partial information on the stock price, but it also contains partial information on the stock owner. By following the analogy with quantum mechanics, we assume that the time evolution of the function describing the stock price can be described by a Schrödinger type equation.
A quantum mechanical model for the relationship between stock price and stock ownership
Cotfas, Liviu-Adrian
2012-11-01
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is, only in the case when the owner is unknown. We show that the stock price can be better described by a function indicating at any moment of time the probabilities for the possible values of price if a transaction takes place. This more general description contains partial information on the stock price, but it also contains partial information on the stock owner. By following the analogy with quantum mechanics, we assume that the time evolution of the function describing the stock price can be described by a Schroedinger type equation.
Bounds for Asian basket options
NASA Astrophysics Data System (ADS)
Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle
2008-09-01
In this paper we propose pricing bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework. We start from methods used for basket options and Asian options. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums of non-independent random variables as in Kaas et al. [Upper and lower bounds for sums of random variables, Insurance Math. Econom. 27 (2000) 151-168] or Dhaene et al. [The concept of comonotonicity in actuarial science and finance: theory, Insurance Math. Econom. 31(1) (2002) 3-33]. We generalize the methods in Deelstra et al. [Pricing of arithmetic basket options by conditioning, Insurance Math. Econom. 34 (2004) 55-57] and Vanmaele et al. [Bounds for the price of discrete sampled arithmetic Asian options, J. Comput. Appl. Math. 185(1) (2006) 51-90]. Afterwards we show how to derive an analytical closed-form expression for a lower bound in the non-comonotonic case. Finally, we derive upper bounds for Asian basket options by applying techniques as in Thompson [Fast narrow bounds on the value of Asian options, Working Paper, University of Cambridge, 1999] and Lord [Partially exact and bounded approximations for arithmetic Asian options, J. Comput. Finance 10 (2) (2006) 1-52]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and time-to-maturity.
Dual Enrollment Options: Columbus State Community College Model for Successful Implementation.
ERIC Educational Resources Information Center
Jordan, Tammi C.
2001-01-01
Describes Ohio's Postsecondary Enrollment Options (PSEO) program's dual enrollment program. Outlines the options under which students can attend college classes, the rules, and the structure of the program. Details the PSEO process at Columbus State Community College (Ohio), including procedures for admission, counselor meetings, and course…
For the last time: stock options are an expense.
Bodie, Zvi; Kaplan, Robert S; Merton, Robert C
2003-03-01
Should stock options be recorded as an expense on a company's income statement and balance sheet, or should they remain where they are, relegated to footnotes? The extraordinary boom in share prices during the Internet bubble made critics of option expensing look like spoilsports. But since the crash, the debate has returned with a vengeance. And no wonder: The authors believe the case for expensing options is overwhelming. In this article, Nobel Iaureate Robert Merton, one of the inventors of the Black-Scholes option-pricing model; his coauthor on the classic textbook Finance, Zvi Bodie; and Robert Kaplan, creator of the Balanced Scorecard, examine and dismiss the principal claims put forward by those who continue to oppose options expensing. They demonstrate that stock-option grants do indeed have real cash-flow implications that need to be reported. They show that effective ways certainly exist to quantify those implications. They detail the distortions that relegating stock-option accounting to footnotes creates. And they show why reporting option costs should in no way hamper young companies in their efforts to provide incentives. Options are indeed a powerful incentive, the authors agree, and failing to record a transaction that creates such powerful effects is economically indefensible. Worse, it encourages companies to favor options over alternative incentive systems. It is not the proper role of accounting standards, the authors argue, to distort executive and employee compensation by subsidizing one particular form of compensation and no other. Companies should choose compensation methods according to their economic benefits--not the way they are reported. PMID:12632805
Flexibility and Project Value: Interactions and Multiple Real Options
NASA Astrophysics Data System (ADS)
Čulík, Miroslav
2010-06-01
This paper is focused on a project valuation with embedded portfolio of real options including their interactions. Valuation is based on the criterion of Net Present Value on the simulation basis. Portfolio includes selected types of European-type real options: option to expand, contract, abandon and temporarily shut down and restart a project. Due to the fact, that in reality most of the managerial flexibility takes the form of portfolio of real options, selected types of options are valued not only individually, but also in combination. The paper is structured as follows: first, diffusion models for forecasting of output prices and variable costs are derived. Second, project value is estimated on the assumption, that no real options are present. Next, project value is calculated with the presence of selected European-type options; these options and their impact on project value are valued first in isolation and consequently in different combinations. Moreover, intrinsic value evolution of given real options with respect to the time of exercising is analysed. In the end, results are presented graphically; selected statistics and risk measures (Value at Risk, Expected Shortfall) of the NPV's distributions are calculated and commented.
NASA Astrophysics Data System (ADS)
Mínguez, Román; Montero, José-María; Fernández-Avilés, Gema
2013-04-01
Much work has been done in the context of the hedonic price theory to estimate the impact of air quality on housing prices. Research has employed objective measures of air quality, but only slightly confirms the hedonic theory in the best of cases: the implicit price function relating housing prices to air pollution will, ceteris paribus, be negatively sloped. This paper compares the performance of a spatial Durbin model when using both objective and subjective measures of pollution. On the one hand, we design an Air Pollution Indicator based on measured pollution as the objective measure of pollution. On the other hand, the subjective measure of pollution employed to characterize neighborhoods is the percentage of residents who declare that the neighborhood has serious pollution problems, the percentage being referred to as residents' perception of pollution. For comparison purposes, the empirical part of this research focuses on Madrid (Spain). The study employs a proprietary database containing information about the price and 27 characteristics of 11,796 owner-occupied single family homes. As far as the authors are aware, it is the largest database ever used to analyze the Madrid housing market. The results of the study clearly favor the use of subjective air quality measures.
Code of Federal Regulations, 2012 CFR
2012-01-01
... 12 Banks and Banking 3 2012-01-01 2012-01-01 false Appendix H-Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices H Appendix H to Part 222 Banks and Banking FEDERAL... (REGULATION V) Pt. 222, App. H Appendix H to Part 222—Appendix H—Model Forms for Risk-Based Pricing and...
Jallow, B.P.
1996-12-31
Results of the 1993 Greenhouse Gas Emissions Inventory of The Gambia showed net CO{sub 2} emissions of over (1.66 x 10{sup 6} tons) and 1% was due to uptake by plantations (0.01 x 10{sup 6} tons). This is a clear indication that there is need to identify changes in the land-use policy, law and tenure that discourages forest clearing at the same time significantly influencing the sustainable distribution of land among forestry, rangeland and livestock, and agriculture. About 11% of the total area of The Gambia is either fallow or barren flats that once supported vegetation and hence is still capable of supporting vegetation. The US Country Study Programme has provided the Government of The Gambia through the National Climate Committee funds to conduct Assessment of Mitigation Options to Reduce Greenhouse Gas Emissions. The Forestry Sector is one area for which assessment is being conducted. The assessment is expected to end in September 1996. The Comprehensive Mitigation Analysis Process (COMAP) is one of the Models supplied to the National Climate Committee by the Lawrence Berkeley Laboratory, on behalf of the US Country Study Programme, and is being used to conduct the analysis in The Gambia.
Thompson, Kimberly M; Tebbens, Radboud J Duintjer
2012-04-01
As the Global Polio Eradication Initiative progresses toward the eradication of wild polioviruses, national and global health leaders must still actively consider options for managing poliovirus risks, including risks associated with using oral poliovirus vaccine. Oral poliovirus vaccine continues to represent a highly effective tool, but its use causes noticeable, rare cases of vaccine-associated paralytic polio and with low coverage it can evolve to become circulating vaccine-derived polioviruse that causes outbreaks. National leaders face a wide range of options, but their choices depend in part on global policies. This article explores the current set of global options for poliovirus eradication or control, discusses constraints and prerequisites for their implementation and offers some insights based on dynamic modeling to inform discussions and frame future economic analyses. PMID:22551030
... Speech Pathology Occupational Therapy Art Therapy Recreational therapy Neuropsychology Home Care Options Advanced Care Planning Palliative Care ... Speech Pathology Occupational Therapy Art Therapy Recreational therapy Neuropsychology Home Care Options Advanced Care Planning Palliative Care ...
Stochastic string models with continuous semimartingales
NASA Astrophysics Data System (ADS)
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F.
2015-09-01
This paper reformulates the stochastic string model of Santa-Clara and Sornette using stochastic calculus with continuous semimartingales. We present some new results, such as: (a) the dynamics of the short-term interest rate, (b) the PDE that must be satisfied by the bond price, and (c) an analytic expression for the price of a European bond call option. Additionally, we clarify some important features of the stochastic string model and show its relevance to price derivatives and the equivalence with an infinite dimensional HJM model to price European options.
NASA Astrophysics Data System (ADS)
Yang, Z.
2011-12-01
Noah-MP, which improves over the standard Noah land surface model, is unique among all land surface models in that it has multi-parameterization options (hence Noah-MP), capable of producing thousands of parameterization schemes, in addition to its improved physical realism (multi-layer snowpack, groundwater dynamics, and vegetation dynamics). All these features are critical for ensemble hydrological simulations and climate predictions at intraseasonal to decadal timescales. This talk will focus on evaluation of the Noah-MP simulations of energy, water and carbon balances for different sub-basins in the Mississippi River in comparison with various observations. The analysis is performed on daily and monthly scales spanning from January 2000 to December 2009. We will show how different runoff schemes in Noah-MP affect the scatter patterns between runoff and water table depth and between gross primary productivity and total water storage change, a type of analysis that would help us identify the relationships between key water storage terms (groundwater, soil moisture, snow) and fluxes (GPP, sensible heat, evapotranspiration, runoff). Similarly, we want to see how other options affect the patterns, such as the beta parameter (i.e. the soil moisture parameter controlling transpiration of plants), the Ball-Berry and Jarvis options for stomatal resistance, and the dynamic vegetation options (on or off). We will compare the water storage simulations from Noah-MP, observations and other model estimates, which would help determine the strengths and limitations of the Noah-MP groundwater and hydrological schemes.
Facing Price Risks in Internet-of-Services Markets
NASA Astrophysics Data System (ADS)
Matros, Raimund; Streitberger, Werner; Koenig, Stefan; Eymann, Torsten
Internet-of-Services markets allow companies to procure computational resources and application services externally and thus to save both internal capital expenditures and operational costs. Despite the advantages of this new paradigm only few work has been done in the field of risk management concerning Internet-of-Services markets. We simulate such a market using a Grid simulator. The results show that market participants are exposed to price risk. Based on our results we identify and assess technical failures which could lead to loss on service consumer's side. We also show that technical failures influence service prices which lead to volatile prices. Both, service provider and service consumer are exposed to this uncertainty and need a way to face it. Therefore we apply a financial option model to overcome price risk.
Option volatility and the acceleration Lagrangian
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Cao, Yang
2014-01-01
This paper develops a volatility formula for option on an asset from an acceleration Lagrangian model and the formula is calibrated with market data. The Black-Scholes model is a simpler case that has a velocity dependent Lagrangian. The acceleration Lagrangian is defined, and the classical solution of the system in Euclidean time is solved by choosing proper boundary conditions. The conditional probability distribution of final position given the initial position is obtained from the transition amplitude. The volatility is the standard deviation of the conditional probability distribution. Using the conditional probability and the path integral method, the martingale condition is applied, and one of the parameters in the Lagrangian is fixed. The call option price is obtained using the conditional probability and the path integral method.
26 CFR 1.6039-1 - Returns required in connection with certain options.
Code of Federal Regulations, 2010 CFR
2010-04-01
...) The exercise price per share; (vi) The date the option was exercised by the person; (vii) The fair...) The actual exercise price paid per share; (vi) The exercise price per share determined as if the... exercise price per share is not fixed or determinable on the date the option was granted); (vii) The...
Expensing options solves nothing.
Sahlman, William A
2002-12-01
The use of stock options for executive compensation has become a lightning rod for public anger, and it's easy to see why. Many top executives grew hugely rich on the back of the gains they made on their options, profits they've been able to keep even as the value they were supposed to create disappeared. The supposed scam works like this: Current accounting regulations let companies ignore the cost of option grants on their income statements, so they can award valuable option packages without affecting reported earnings. Not charging the cost of the grants supposedly leads to overstated earnings, which purportedly translate into unrealistically high share prices, permitting top executives to realize big gains when they exercise their options. If an accounting anomaly is the problem, then the solution seems obvious: Write off executive share options against the current year's revenues. The trouble is, Sahlman writes, expensing option grants won't give us a more accurate view of earnings, won't add any information not already included in the financial statements, and won't even lead to equal treatment of different forms of executive pay. Far worse, expensing evades the real issue, which is whether compensation (options and other-wise) does what it's supposed to do--namely, help a company recruit, retain, and provide the right people with appropriate performance incentives. Any performance-based compensation system has the potential to encourage cheating. Only ethical management, sensible governance, adequate internal control systems, and comprehensive disclosure will save the investor from disaster. If, Sahlman warns, we pass laws that require the expensing of options, thinking that's fixed the fundamental flaws in corporate America's accounting, we will have missed a golden opportunity to focus on the much more extensive defects in the present system. PMID:12510541
Valuation of irrigation water in South-western Iran using a hedonic pricing model
NASA Astrophysics Data System (ADS)
Esmaeili, Abdoulkarim; Shahsavari, Zahra
2011-12-01
Population growth, improved socioeconomic conditions, increased demand for various types of water use, and a reduction in water supply has created more competition for scarce water supplies leveling many countries. Efficient allocation of water supplies between different economic sectors is therefore very important. Water valuation is a useful tool to determine water price. Water pricing can play a major part in improving water allocation by encouraging users to conserve scarce water resources, and promoting improvements in productivity. We used a hedonic pricing method to reveal the implicit value of irrigation water by analyzing agricultural land values in farms under the Doroodzan dam in South-western Iran. The method was applied to farms in which irrigation water came from wells and canals. The availability of irrigation water was one of the most important factors influencing land prices. The value of irrigation water in the farms investigated was estimated to be 0.046 per cubic meter. The estimated price for water was clearly higher than the price farmers currently pay for water in the area of study. Efficient water pricing could help the sustainability of the water resources. Farmers must therefore be informed of the real value of irrigation water used on their land.
Modeling HIV/AIDS Drug Price Determinants in Brazil: Is Generic Competition a Myth?
Meiners, Constance; Sagaon-Teyssier, Luis; Hasenclever, Lia; Moatti, Jean-Paul
2011-01-01
Background Brazil became the first developing country to guarantee free and universal access to HIV/AIDS treatment, with antiretroviral drugs (ARVs) being delivered to nearly 190,000 patients. The analysis of ARV price evolution and market dynamics in Brazil can help anticipate issues soon to afflict other developing countries, as the 2010 revision of the World Health Organization guidelines shifts demand towards more expensive treatments, and, at the same time, current evolution of international legislation and trade agreements on intellectual property rights may reduce availability of generic drugs for HIV care. Methods and Findings Our analyses are based on effective prices paid for ARV procurement in Brazil between 1996 and 2009. Data panel structure was exploited to gather ex-ante and ex-post information and address various sources of statistical bias. In-difference estimation offered in-depth information on ARV market characteristics which significantly influence prices. Although overall ARV prices follow a declining trend, changing characteristics in the generic segment help explain recent increase in generic ARV prices. Our results show that generic suppliers are more likely to respond to factors influencing demand size and market competition, while originator suppliers tend to set prices strategically to offset compulsory licensing threats and generic competition. Significance In order to guarantee the long term sustainability of access to antiretroviral treatment, our findings highlight the importance of preserving and stimulating generic market dynamics to sustain developing countries' bargaining power in price negotiations undertaken with originator companies. PMID:21858138
Periodicals Price Survey 2002: Doing the Digital Flip.
ERIC Educational Resources Information Center
Van Orsdel, Lee; Born, Kathleen
2002-01-01
Presents the annual periodicals price study. Highlights include average prices; cost histories; cost projections for future budgeting; electronic journal issues; flip pricing, defined as online access at the core of pricing negotiations; various pricing models; purchasing print at deeply discounted prices; and current trends in pricing and in the…
Piantadosi, Steven T.; Hayden, Benjamin Y.
2015-01-01
Economists often model choices as if decision-makers assign each option a scalar value variable, known as utility, and then select the option with the highest utility. It remains unclear whether as-if utility models describe real mental and neural steps in choice. Although choices alone cannot prove the existence of a utility stage, utility transformations are often taken to provide the most parsimonious or psychologically plausible explanation for choice data. Here, we show that it is possible to mathematically transform a large set of common utility-stage two-option choice models (specifically ones in which dimensions are can be decomposed into additive functions) into a heuristic model (specifically, a dimensional prioritization heuristic) that has no utility computation stage. We then show that under a range of plausible assumptions, both classes of model predict similar neural responses. These results highlight the difficulties in using neuroeconomic data to infer the existence of a value stage in choice. PMID:25914613
NASA Technical Reports Server (NTRS)
Bui, Trong T.
1993-01-01
New turbulence modeling options recently implemented for the 3-D version of Proteus, a Reynolds-averaged compressible Navier-Stokes code, are described. The implemented turbulence models include: the Baldwin-Lomax algebraic model, the Baldwin-Barth one-equation model, the Chien k-epsilon model, and the Launder-Sharma k-epsilon model. Features of this turbulence modeling package include: well documented and easy to use turbulence modeling options, uniform integration of turbulence models from different classes, automatic initialization of turbulence variables for calculations using one- or two-equation turbulence models, multiple solid boundaries treatment, and fully vectorized L-U solver for one- and two-equation models. Validation test cases include the incompressible and compressible flat plate turbulent boundary layers, turbulent developing S-duct flow, and glancing shock wave/turbulent boundary layer interaction. Good agreement is obtained between the computational results and experimental data. Sensitivity of the compressible turbulent solutions with the method of y(sup +) computation, the turbulent length scale correction, and some compressibility corrections are examined in detail. The test cases show that the highly optimized one-and two-equation turbulence models can be used in routine 3-D Navier-Stokes computations with no significant increase in CPU time as compared with the Baldwin-Lomax algebraic model.
NASA Technical Reports Server (NTRS)
Bui, Trong T.
1993-01-01
New turbulence modeling options recently implemented for the 3D version of Proteus, a Reynolds-averaged compressible Navier-Stokes code, are described. The implemented turbulence models include: the Baldwin-Lomax algebraic model, the Baldwin-Barth one-equation model, the Chien k-epsilon model, and the Launder-Sharma k-epsilon model. Features of this turbulence modeling package include: well documented and easy to use turbulence modeling options, uniform integration of turbulence models from different classes, automatic initialization of turbulence variables for calculations using one- or two-equation turbulence models, multiple solid boundaries treatment, and fully vectorized L-U solver for one- and two-equation models. Good agreements are obtained between the computational results and experimental data. Sensitivity of the compressible turbulent solutions with the method of y(+) computation, the turbulent length scale correction, and some compressibility corrections are examined in detail. Test cases show that the highly optimized one- and two-equation turbulence models can be used in routine 3D Navier-Stokes computations with no significant increase in CPU time as compared with the Baldwin-Lomax algebraic model.
NASA Astrophysics Data System (ADS)
Hong, S.; Park, S. K.; Choi, Y.; Myoung, B.
2013-12-01
As the importance of the land surface models (LSMs) has been increasingly magnified due to their pivotal role in the complete Earth environmental system, linking the atmosphere, hydrosphere, and biosphere, modeling accuracy at regional scales has been important to ensure better representations of increased land surface heterogeneities with the increase of spatial resolutions. However, every model has its own weaknesses induced by such problems as the reality of physical schemes by uncertain parameterizing methods and even structural unreality by simplified model designs. One of the major uncertainties is Interrelationships between implemented physical schemes and their impact on simulation accuracy. Using the new version of Noah land surface model with multi-physics option (Noah-MP) that enables to create various scheme combinations, we examined how each scheme in different scheme combinations contributes to better simulations and how their interrelationships vary with uncertain parameter changes. Targeting long term (5 year) monthly surface hydrology of Han River watershed in South Korea, we mainly explored the simulation accuracy of runoff and evapotranspiration, and additionally that of leaf area index in order to see the vegetation impact on surface water partitioning. The result indicates that the primary contributor for simulation accuracies were the schemes of surface heat exchange coefficient. These schemes are very sensitive to vegetation amount due to their different treatment of heat transfer between on bare and vegetated surface. Showing that further improvement through uncertain parameter calibration, this study also demonstrated that the combination of analyses of scheme interrelationships and parameter calibration promises improved model calibration. In addition, revealing remained uncertainty about the vegetation effect on surface energy and water partitioning, this study also showed that the scheme interrelationship analyses is useful for model
Predicting inter-season price jumps in the market for temporary water allocations
NASA Astrophysics Data System (ADS)
Plummer, Jonathan; Schreider, Sergei
2015-06-01
The market for temporary water allocations in the Northern Victoria Regulated river system has matured to the point where new instruments to manage risk can be of benefit to water users. One of these instruments could be a series of option contracts issued by the Water Authority. However a serious impediment to the introduction of options is the variation in prices across seasons. Prices jump between the end of one season and the beginning of the next mean that appropriate option strike prices cannot be determined until a period of trading in the new season allows price discovery to take place. This prevents an options market being available at the beginning of the season when it is most useful to irrigators. In this paper we look at winter rainfall for the town of Jamieson, upstream of Lake Eildon and the volume of water in Lake Eildon as predictors of the price of temporary water allocations at the beginning of the irrigation season. We develop a climate driven regression model which allows us to link the inter-seasonal jumps with the biophysical parameters of the system. By better understanding the factors dictating the size of the price jumps between seasons options can be developed that are not restricted to the current season. We also consider the implications of the infrastructure upgrades currently underway and recent policy changes on the market for temporary water allocations. The carryover policy which allows water to be kept for use in subsequent seasons, and the reserve policy, which is designed to allow the delivery of initial allocations and water carried over at the start of the irrigation season each year, are two recent policy innovations. These policies should smooth prices and reduce the jump in prices that have been seen between irrigation seasons.
Robertson, K A
2000-01-01
What was initiated as a directive from a provincial government in an attempt to increase the number of critical care nurses has evolved into an exciting educational opportunity for many nurses and student nurses in the year 2000. Between 1993 and 1997 there has been significant downsizing of acute care beds across Canada (Code Blue: Critical Care Nursing in Nova Scotia, 1998). At the same time patient acuity has increased, due to shorter hospital stays, and the number of nurses working full-time has decreased with the increased use of casual nurses. Several studies at both the provincial and national levels report current and future shortages of specialized nurses (emergency, critical care and perioperative). It is expected that this shortage will continue into the future, a shortage that is driven by technological advances, as well as an aging general and nursing population. Continued shortages of these acute care nurses will result in fierce competition for skilled nurses as well as aggressive recruitment and retention strategies (Code Blue: Critical Care Nursing in Nova Scotia, 1998). It is generally agreed within the nursing community that specialty nurses in critical care require a unique body of knowledge that is not acquired in a basic undergraduate nursing program (Fitzsimmons, Hadley, & Shively, 1999). This specialized knowledge can be gained informally through experience; however, it is largely developed in additional formal education programs. The purpose of this article is to outline a strategy for the delivery of specialty education at three educational levels in acute care nursing with three streams: emergency, critical care and perioperative nursing. This clinical major option is to be delivered in partnership among the Queen Elizabeth Hospital II, the Health Science Centre and Dalhousie University School of Nursing, Halifax, Nova Scotia, Canada. This model of offering specialty education in university preparation could be a template for preparing
Using the Cancer Risk Management Model to evaluate colorectal cancer screening options for Canada
Coldman, A.J.; Phillips, N.; Brisson, J.; Flanagan, W.; Wolfson, M.; Nadeau, C.; Fitzgerald, N.; Miller, A.B.
2015-01-01
Background Several screening methods for colorectal cancer (crc) are available, and some have been shown by randomized trials to be effective. In the present study, we used a well-developed population health simulation model to compare the risks and benefits of a variety of screening scenarios. Tests considered were the fecal occult blood test (fobt), the fecal immunochemical test (fit), flexible sigmoidoscopy, and colonoscopy. Outcomes considered included years of life gained, crc cases and deaths prevented, and direct health system costs. Methods A natural history model of crc was implemented and calibrated to specified targets within the framework of the Cancer Risk Management Model (crmm) from the Canadian Partnership Against Cancer. The crmm-crc permits users to enter their own parameter values or to use program-specified base values. For each of 23 screening scenarios, we used the crmm-crc to run 10 million replicate simulations. Results Using base parameter values and some user-specified values in the crmm-crc, and comparing our screening scenarios with no screening, all screening scenarios were found to reduce the incidence of and mortality from crc. The fobt was the least effective test; it was not associated with lower net cost. Colonoscopy screening was the most effective test; it had net costs comparable to those for several other strategies considered, but required more than 3 times the colonoscopy resources needed by other approaches. After colonoscopy, strategies based on the fit were predicted to be the most effective. In sensitivity analyses performed for the fobt and fit screening strategies, fobt parameter values associated with high-sensitivity formulations were associated with a substantial increase in test effectiveness. The fit was more cost-effective at the 50 ng/mL threshold than at the 100 ng/mL threshold. Conclusions The crmm-crc provides a sophisticated and flexible environment in which to evaluate crc control options. All screening
Impact of energy prices on agricultural and energy markets: an integrated modeling approach
The accelerated growth in biofuels markets has both created and reinforced linkages between agricultural and energy markets. This study investigates the dynamics in biofuel and agricultural markets under alternative price scenarios for both crude oil and natural gas. Two energy ...
Can hydro-economic river basin models simulate water shadow prices under asymmetric access?
Kuhn, A; Britz, W
2012-01-01
Hydro-economic river basin models (HERBM) based on mathematical programming are conventionally formulated as explicit 'aggregate optimization' problems with a single, aggregate objective function. Often unintended, this format implicitly assumes that decisions on water allocation are made via central planning or functioning markets such as to maximize social welfare. In the absence of perfect water markets, however, individually optimal decisions by water users will differ from the social optimum. Classical aggregate HERBMs cannot simulate that situation and thus might be unable to describe existing institutions governing access to water and might produce biased results for alternative ones. We propose a new solution format for HERBMs, based on the format of the mixed complementarity problem (MCP), where modified shadow price relations express spatial externalities resulting from asymmetric access to water use. This new problem format, as opposed to commonly used linear (LP) or non-linear programming (NLP) approaches, enables the simultaneous simulation of numerous 'independent optimization' decisions by multiple water users while maintaining physical interdependences based on water use and flow in the river basin. We show that the alternative problem format allows the formulation HERBMs that yield more realistic results when comparing different water management institutions. PMID:22766881
NASA Astrophysics Data System (ADS)
Tokimatsu, K.; Asaoka, Y.; Konishi, S.; Fujino, J.; Ogawa, Y.; Okano, K.; Nishio, S.; Yoshida, T.; Hiwatari, R.; Yamaji, K.
2002-11-01
In response to social demand, this paper investigates the breakeven price (BP) and potential electricity supply of nuclear fusion energy in the 21st century by means of a world energy and environment model. We set the following objectives in this paper: (i) to reveal the economics of the introduction conditions of nuclear fusion; (ii) to know when tokamak-type nuclear fusion reactors are expected to be introduced cost-effectively into future energy systems; (iii) to estimate the share in 2100 of electricity produced by the presently designed reactors that could be economically selected in the year. The model can give in detail the energy and environment technologies and price-induced energy saving, and can illustrate optimal energy supply structures by minimizing the costs of total discounted energy systems at a discount rate of 5%. The following parameters of nuclear fusion were considered: cost of electricity (COE) in the nuclear fusion introduction year, annual COE reduction rates, regional introduction year, and regional nuclear fusion capacity projection. The investigations are carried out for three nuclear fusion projections one of which includes tritium breeding constraints, four future CO2 concentration constraints, and technological assumptions on fossil fuels, nuclear fission, CO2 sequestration, and anonymous innovative technologies. It is concluded that: (1) the BPs are from 65 to 125 mill kW-1 h-1 depending on the introduction year of nuclear fusion under the 550 ppmv CO2 concentration constraints; those of a business-as-usual (BAU) case are from 51 to 68 mill kW-1h-1. Uncertainties resulting from the CO2 concentration constraints and the technological options influenced the BPs by plus/minus some 10 30 mill kW-1h-1, (2) tokamak-type nuclear fusion reactors (as presently designed, with a COE range around 70 130 mill kW-1h-1) would be favourably introduced into energy systems after 2060 based on the economic criteria under the 450 and 550 ppmv CO2
ERIC Educational Resources Information Center
Garman, Nancy; And Others
1990-01-01
The first of four articles describes the move by the European Space Agency to eliminate connect time charges on its online retrieval system. The remaining articles describe the pricing structure of DIALOG, compare the two pricing schemes, and discuss online pricing from the user's point of view. (CLB)
Meng, Yang; Holmes, John; Hill-McManus, Daniel; Meier, Petra S
2014-01-01
Objective To evaluate the potential impact of two alcohol control policies under consideration in England: banning below cost selling of alcohol and minimum unit pricing. Design Modelling study using the Sheffield Alcohol Policy Model version 2.5. Setting England 2014-15. Population Adults and young people aged 16 or more, including subgroups of moderate, hazardous, and harmful drinkers. Interventions Policy to ban below cost selling, which means that the selling price to consumers could not be lower than tax payable on the product, compared with policies of minimum unit pricing at £0.40 (€0.57; $0.75), 45p, and 50p per unit (7.9 g/10 mL) of pure alcohol. Main outcome measures Changes in mean consumption in terms of units of alcohol, drinkers’ expenditure, and reductions in deaths, illnesses, admissions to hospital, and quality adjusted life years. Results The proportion of the market affected is a key driver of impact, with just 0.7% of all units estimated to be sold below the duty plus value added tax threshold implied by a ban on below cost selling, compared with 23.2% of units for a 45p minimum unit price. Below cost selling is estimated to reduce harmful drinkers’ mean annual consumption by just 0.08%, around 3 units per year, compared with 3.7% or 137 units per year for a 45p minimum unit price (an approximately 45 times greater effect). The ban on below cost selling has a small effect on population health—saving an estimated 14 deaths and 500 admissions to hospital per annum. In contrast, a 45p minimum unit price is estimated to save 624 deaths and 23 700 hospital admissions. Most of the harm reductions (for example, 89% of estimated deaths saved per annum) are estimated to occur in the 5.3% of people who are harmful drinkers. Conclusions The ban on below cost selling, implemented in the England in May 2014, is estimated to have small effects on consumption and health harm. The previously announced policy of a minimum unit price, if set at
Promoting Self-Directed Learning Using a Menu of Assessment Options: The Investment Model
ERIC Educational Resources Information Center
Rangachari, P. K.
2006-01-01
Undergraduate science students took an Inquiry course in their second (sophomore) year. The course was designed to explore the social life of scientific knowledge. They were given a set of eight assessment options: personal logs, targeted oral examinations, commentaries, mini-lectures, individual explorations, research proposals, book reviews, and…
Tiered Pricing: Implications for Library Collections
ERIC Educational Resources Information Center
Hahn, Karla
2005-01-01
In recent years an increasing number of publishers have adopted tiered pricing of journals. The design and implications of tiered-pricing models, however, are poorly understood. Tiered pricing can be modeled using several variables. A survey of current tiered-pricing models documents the range of key variables used. A sensitivity analysis…
17 CFR 210.12-12B - Open option contracts written.
Code of Federal Regulations, 2011 CFR
2011-04-01
... of contracts 3 Exercise price Expiration date Value. 4 1 Information as to put options shall be shown separately from information as to call options. 2 Options of an issuer where exercise prices or expiration dates differ shall be listed separately. 3 If the number of shares subject to option is substituted...
26 CFR 1.422-2 - Incentive stock options defined.
Code of Federal Regulations, 2011 CFR
2011-04-01
... this section, it must be granted to an individual who, at the time the option is granted, does not own... a stated percentage of the shares outstanding at the time of each offering or grant under such plan... the option at the time the option is granted. The option price may be determined in any...
Carbon accounting of forest bioenergy: from model calibrations to policy options (Invited)
NASA Astrophysics Data System (ADS)
Lamers, P.
2013-12-01
knowledge in the field by comparing different state-of-the-art temporal forest carbon modeling efforts, and discusses whether or to what extent a deterministic ';carbon debt' accounting is possible and appropriate. It concludes upon the possible scientific and eventually political choices in temporal carbon accounting for regulatory frameworks including alternative options to address unintentional carbon losses within forest ecosystems/bioenergy systems.
Essays on oil price volatility and irreversible investment
NASA Astrophysics Data System (ADS)
Pastor, Daniel J.
In chapter 1, we provide an extensive and systematic evaluation of the relative forecasting performance of several models for the volatility of daily spot crude oil prices. Empirical research over the past decades has uncovered significant gains in forecasting performance of Markov Switching GARCH models over GARCH models for the volatility of financial assets and crude oil futures. We find that, for spot oil price returns, non-switching models perform better in the short run, whereas switching models tend to do better at longer horizons. In chapter 2, I investigate the impact of volatility on firms' irreversible investment decisions using real options theory. Cost incurred in oil drilling is considered sunk cost, thus irreversible. I collect detailed data on onshore, development oil well drilling on the North Slope of Alaska from 2003 to 2014. Volatility is modeled by constructing GARCH, EGARCH, and GJR-GARCH forecasts based on monthly real oil prices, and realized volatility from 5-minute intraday returns of oil futures prices. Using a duration model, I show that oil price volatility generally has a negative relationship with the hazard rate of drilling an oil well both when aggregating all the fields, and in individual fields.
NASA Astrophysics Data System (ADS)
Avci, Mesut
A practical cost and energy efficient model predictive control (MPC) strategy is proposed for HVAC load control under dynamic real-time electricity pricing. The MPC strategy is built based on a proposed model that jointly minimizes the total energy consumption and hence, cost of electricity for the user, and the deviation of the inside temperature from the consumer's preference. An algorithm that assigns temperature set-points (reference temperatures) to price ranges based on the consumer's discomfort tolerance index is developed. A practical parameter prediction model is also designed for mapping between the HVAC load and the inside temperature. The prediction model and the produced temperature set-points are integrated as inputs into the MPC controller, which is then used to generate signal actions for the AC unit. To investigate and demonstrate the effectiveness of the proposed approach, a simulation based experimental analysis is presented using real-life pricing data. An actual prototype for the proposed HVAC load control strategy is then built and a series of prototype experiments are conducted similar to the simulation studies. The experiments reveal that the MPC strategy can lead to significant reductions in overall energy consumption and cost savings for the consumer. Results suggest that by providing an efficient response strategy for the consumers, the proposed MPC strategy can enable the utility providers to adopt efficient demand management policies using real-time pricing. Finally, a cost-benefit analysis is performed to display the economic feasibility of implementing such a controller as part of a building energy management system, and the payback period is identified considering cost of prototype build and cost savings to help the adoption of this controller in the building HVAC control industry.
NASA Astrophysics Data System (ADS)
De Santis, Alberto; Dellepiane, Umberto; Lucidi, Stefano
2012-11-01
In this paper we investigate the estimation problem for a model of the commodity prices. This model is a stochastic state space dynamical model and the problem unknowns are the state variables and the system parameters. Data are represented by the commodity spot prices, very seldom time series of Futures contracts are available for free. Both the system joint likelihood function (state variables and parameters) and the system marginal likelihood (the state variables are eliminated) function are addressed.
Modeling of waiting times and price changes in currency exchange data
NASA Astrophysics Data System (ADS)
Repetowicz, Przemysław; Richmond, Peter
2004-11-01
A theory which describes the share price evolution at financial markets as a continuous-time random walk (Physica A 287 (2000) 468, Physica A 314 (2002) 749, Eur. Phys. J. B 27 (2002) 273, Physica A 376 (2000) 284) has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density function (pdf) φ(x,t) which uses the concept of a Lévy stable distribution is worked out. The theory is fitted to high-frequency US $/Japanese Yen exchange rate and low-frequency 19th century Irish stock data. The theory has been fitted both to price return and to waiting time data and the adherence to data, in terms of the χ2 test statistic, has been improved when compared to the old theory.
Construction of Discrete Time Shadow Price
Rogala, Tomasz Stettner, Lukasz
2015-12-15
In the paper expected utility from consumption over finite time horizon for discrete time markets with bid and ask prices and strictly concave utility function is considered. The notion of weak shadow price, i.e. an illiquid price, depending on the portfolio, under which the model without bid and ask price is equivalent to the model with bid and ask price is introduced. Existence and the form of weak shadow price is shown. Using weak shadow price usual (called in the paper strong) shadow price is then constructed.
An approach to quantify the heat wave strength and price a heat derivative for risk hedging
NASA Astrophysics Data System (ADS)
Shen, Samuel S. P.; Kramps, Benedikt; Sun, Shirley X.; Bailey, Barbara
2012-01-01
Mitigating the heat stress via a derivative policy is a vital financial option for agricultural producers and other business sectors to strategically adapt to the climate change scenario. This study has provided an approach to identifying heat stress events and pricing the heat stress weather derivative due to persistent days of high surface air temperature (SAT). Cooling degree days (CDD) are used as the weather index for trade. In this study, a call-option model was used as an example for calculating the price of the index. Two heat stress indices were developed to describe the severity and physical impact of heat waves. The daily Global Historical Climatology Network (GHCN-D) SAT data from 1901 to 2007 from the southern California, USA, were used. A major California heat wave that occurred 20-25 October 1965 was studied. The derivative price was calculated based on the call-option model for both long-term station data and the interpolated grid point data at a regular 0.1°×0.1° latitude-longitude grid. The resulting comparison indicates that (a) the interpolated data can be used as reliable proxy to price the CDD and (b) a normal distribution model cannot always be used to reliably calculate the CDD price. In conclusion, the data, models, and procedures described in this study have potential application in hedging agricultural and other risks.
NASA Technical Reports Server (NTRS)
Kanning, G.
1975-01-01
A digital computer program written in FORTRAN is presented that implements the system identification theory for deterministic systems using input-output measurements. The user supplies programs simulating the mathematical model of the physical plant whose parameters are to be identified. The user may choose any one of three options. The first option allows for a complete model simulation for fixed input forcing functions. The second option identifies up to 36 parameters of the model from wind tunnel or flight measurements. The third option performs a sensitivity analysis for up to 36 parameters. The use of each option is illustrated with an example using input-output measurements for a helicopter rotor tested in a wind tunnel.
Modeling SSI financial eligibility and simulating the effect of policy options.
Davies, P S; Huynh, M; Newcomb, C; O'Leary, P; Rupp, K; Sears, J
This article simulates eligibility for Supplemental Security Income (SSI) among the elderly, analyzes factors affecting participation, and looks at the potential effects of various options to modify financial eligibility standards for the federal SSI program. We find that in the estimated noninstitutional elderly population of 30.2 million in the United States in 1991, approximately 2 million individuals aged 65 or older were eligible for SSI (a 6.6 percent rate of eligibility). Our overall estimate of the rate of participation among eligible elderly is approximately 63 percent, suggesting that more than a third of those who are eligible do not participate in the program. The results of our analysis of factors affecting participation among the eligible elderly show that expected SSI benefits and a number of demographic and socioeconomic variables are associated with the probability of participation. We also simulate the effects of various policy options on the poverty rate, poverty gap, annual program cost, the number of participants, and the average estimated benefits among participants. The simulations consider the potential effects of five policy alternatives: Increase the general income exclusion (GIE) from $20 to $80. Increase the earned income exclusion (EIE) from $65 to $260. Increase the federal benefit rate (FBR) by $50 for individuals and $75 for couples and eliminate the GIE. Increase the asset threshold to $3,000 for individuals and $4,500 for couples. Increase the asset threshold to $6,000 for individuals and $9,000 for couples. Using 1991 microdata from the Survey of Income and Program Participation (SIPP) matched to Social Security Administration administrative records and making adjustments reflecting aggregate program statistics, we present the results of our simulations for December 1999. The results show substantial variation in the simulated effects of the five policy alternatives along the various outcome dimensions considered. The simulated
Price dynamics in political prediction markets
Majumder, Saikat Ray; Diermeier, Daniel; Rietz, Thomas A.; Amaral, Luís A. Nunes
2009-01-01
Prediction markets, in which contract prices are used to forecast future events, are increasingly applied to various domains ranging from political contests to scientific breakthroughs. However, the dynamics of such markets are not well understood. Here, we study the return dynamics of the oldest, most data-rich prediction markets, the Iowa Electronic Presidential Election “winner-takes-all” markets. As with other financial markets, we find uncorrelated returns, power-law decaying volatility correlations, and, usually, power-law decaying distributions of returns. However, unlike other financial markets, we find conditional diverging volatilities as the contract settlement date approaches. We propose a dynamic binary option model that captures all features of the empirical data and can potentially provide a tool with which one may extract true information events from a price time series. PMID:19155442
Price dynamics in political prediction markets.
Majumder, Saikat Ray; Diermeier, Daniel; Rietz, Thomas A; Amaral, Luís A Nunes
2009-01-20
Prediction markets, in which contract prices are used to forecast future events, are increasingly applied to various domains ranging from political contests to scientific breakthroughs. However, the dynamics of such markets are not well understood. Here, we study the return dynamics of the oldest, most data-rich prediction markets, the Iowa Electronic Presidential Election "winner-takes-all" markets. As with other financial markets, we find uncorrelated returns, power-law decaying volatility correlations, and, usually, power-law decaying distributions of returns. However, unlike other financial markets, we find conditional diverging volatilities as the contract settlement date approaches. We propose a dynamic binary option model that captures all features of the empirical data and can potentially provide a tool with which one may extract true information events from a price time series. PMID:19155442
Huber, K; Zenner, L; Bicout, D J
2011-02-28
The poultry red mite Dermanyssus gallinae is a major pest and widespread ectoparasite of laying hens and other domestic and wild birds. Under optimal conditions, D. gallinae can complete its lifecycle in less than 10 days, leading to rapid proliferation of populations in poultry systems. This paper focuses on developing a theoretical model framework to describe the population dynamics of D. gallinae. This model is then used to test the efficacy and residual effect of different control options for managing D. gallinae. As well as allowing comparison between treatment options, the model also allows comparison of treatment efficacies to different D. gallinae life stages. Three different means for controlling D. gallinae populations were subjected to the model using computer simulations: mechanical cleaning (killing once at a given time all accessible population stages), sanitary clearance (starving the mite population for a given duration, e.g. between flocks) and acaricide treatment (killing a proportion of nymphs and adults during the persistence of the treatment). Simulations showed that mechanical cleaning and sanitary clearance alone could not eradicate the model D. gallinae population, although these methods did delay population establishment. In contrast, the complete eradication of the model D. gallinae population was achieved by several successive acaricide treatments in close succession, even when a relatively low treatment level was used. PMID:21093987
48 CFR 517.202 - Use of options.
Code of Federal Regulations, 2011 CFR
2011-10-01
... contractor performance. (iv) Facilitate longer term contractual relationships with those contractors that continually meet or exceed quality performance expectations. (2) An option is normally in the Government's... option if the market price is likely to change substantially and an economic price adjustment...
48 CFR 517.202 - Use of options.
Code of Federal Regulations, 2010 CFR
2010-10-01
... contractor performance. (iv) Facilitate longer term contractual relationships with those contractors that continually meet or exceed quality performance expectations. (2) An option is normally in the Government's... option if the market price is likely to change substantially and an economic price adjustment...
NASA Astrophysics Data System (ADS)
Kannan, N.; White, S. M.; Worrall, F.; Whelan, M. J.
2007-01-01
SummaryDistributed models used in hydrological modelling, have many parameters. To get useful results from the model, every parameter is required to have a sensible value. Usually a calibration is undertaken to reduce the uncertainties associated with the estimation of model parameters. To ensure efficient calibration, a sensitivity analysis is conducted to identify the most sensitive parameters. This paper describes simple and efficient approaches for sensitivity analysis, calibration and identification of the best methodology within a modelling framework. For this study, the SWAT-2000 model was used on a small catchment of 141.5 ha in the Unilever Colworth estate, in Bedfordshire, England. Acceptable performance in hydrological modelling, and correct simulation of the processes driving the water balance were essential requirements for subsequent pesticide modelling. SWAT gives various options for both evapotranspiration and runoff modelling. Identification of the best modelling option for these processes is a pre-requisite to achieve these requirements. As a first step, a sensitivity analysis was conducted to identify the sensitive parameters affecting stream flow for subsequent application in stream flow calibration. Hydrological modelling has been carried out for the catchment for the period September 1999 to May 2002 inclusive using both daily and sub-daily rainfall data. The Hargreaves and Penman-Montieth methods of evapotranspiration estimation and the NRCS curve number (CN) and Green and Ampt infiltration methods for runoff estimation techniques were used, in four different combinations, to identify the combination of methodologies that best reproduced the observed data. In addition, as the initial calibration period, starting in September 1999, was substantially wetter than the following corresponding validation period, the calibration and validation periods are interchanged to test the impact of calibration using wet or dry periods.
Electric retail market options: The customer perspective
Hadley, S.W.; Hillsman, E.L.
1995-07-01
This report describes various options that are now available for retail electric customers, or that may become available during the next few years as the electric utility industry restructures. These options include different ways of meeting demand for energy services, different providers of service or points of contact with providers, and different pricing structures for purchased services. Purpose of this document is to examine these options from the customer`s perspective: how might being a retail electric customer in 5--10 years differ from now? Seizing opportunities to reduce cost of electric service is likely to entail working with different service providers; thus, transaction costs are involved. Some of the options considered are speculative. Some transitional options include relocation, customer-built/operated transmission lines, municipalization, self-generation, and long-term contracts with suppliers. All these may change or diminish in a restructured industry. Brokers seem likely to become more common unless restructuring takes the form of mandatory poolcos (wholesale). Some options appear robust, ie, they are likely to become more common regardless of how restructuring is accomplished: increased competition among energy carriers (gas vs electric), real-time pricing, etc. This report identified some of the qualitative differences among the various options. For customers using large amounts of electricity, different alternatives are likely to affect greatly service price, transaction costs, tailoring service to customer preferences, and risks for customer. For retail customers using small amounts of electricity, there may be little difference among the options except service price.
Rehman, Nasir Shashiashvili, Malkhaz
2009-06-15
The classical Garman-Kohlhagen model for the currency exchange assumes that the domestic and foreign currency risk-free interest rates are constant and the exchange rate follows a log-normal diffusion process.In this paper we consider the general case, when exchange rate evolves according to arbitrary one-dimensional diffusion process with local volatility that is the function of time and the current exchange rate and where the domestic and foreign currency risk-free interest rates may be arbitrary continuous functions of time. First non-trivial problem we encounter in time-dependent case is the continuity in time argument of the value function of the American put option and the regularity properties of the optimal exercise boundary. We establish these properties based on systematic use of the monotonicity in volatility for the value functions of the American as well as European options with convex payoffs together with the Dynamic Programming Principle and we obtain certain type of comparison result for the value functions and corresponding exercise boundaries for the American puts with different strikes, maturities and volatilities.Starting from the latter fact that the optimal exercise boundary curve is left continuous with right-hand limits we give a mathematically rigorous and transparent derivation of the significant early exercise premium representation for the value function of the American foreign exchange put option as the sum of the European put option value function and the early exercise premium.The proof essentially relies on the particular property of the stochastic integral with respect to arbitrary continuous semimartingale over the predictable subsets of its zeros. We derive from the latter the nonlinear integral equation for the optimal exercise boundary which can be studied by numerical methods.
Bolinger, Mark; Wiser, Ryan; Golove, William
2003-08-13
Against the backdrop of increasingly volatile natural gas prices, renewable energy resources, which by their nature are immune to natural gas fuel price risk, provide a real economic benefit. Unlike many contracts for natural gas-fired generation, renewable generation is typically sold under fixed-price contracts. Assuming that electricity consumers value long-term price stability, a utility or other retail electricity supplier that is looking to expand its resource portfolio (or a policymaker interested in evaluating different resource options) should therefore compare the cost of fixed-price renewable generation to the hedged or guaranteed cost of new natural gas-fired generation, rather than to projected costs based on uncertain gas price forecasts. To do otherwise would be to compare apples to oranges: by their nature, renewable resources carry no natural gas fuel price risk, and if the market values that attribute, then the most appropriate comparison is to the hedged cost of natural gas-fired generation. Nonetheless, utilities and others often compare the costs of renewable to gas-fired generation using as their fuel price input long-term gas price forecasts that are inherently uncertain, rather than long-term natural gas forward prices that can actually be locked in. This practice raises the critical question of how these two price streams compare. If they are similar, then one might conclude that forecast-based modeling and planning exercises are in fact approximating an apples-to-apples comparison, and no further consideration is necessary. If, however, natural gas forward prices systematically differ from price forecasts, then the use of such forecasts in planning and modeling exercises will yield results that are biased in favor of either renewable (if forwards < forecasts) or natural gas-fired generation (if forwards > forecasts). In this report we compare the cost of hedging natural gas price risk through traditional gas-based hedging instruments (e
Policy options for the northern Benguela ecosystem using a multispecies, multifleet ecosystem model
NASA Astrophysics Data System (ADS)
Heymans, Johanna Jacomina; Sumaila, Ussif Rashid; Christensen, Villy
2009-12-01
Alternative policy options available to northern Benguela fisheries managers were explored using Ecopath with Ecosim. Scenarios were tested for optimizing the discounted profit from the fisheries in the ecosystem, maximizing the jobs that can be provided by the fisheries, maximizing a measure of ecosystem status, and analyzing tradeoffs between these management options. Additionally, two different discount rates were applied to calculate net present values: 4% indicating a more future generation friendly rate, where future generations are taken explicitly into consideration, and 15%, which is similar to the discount rate used by private businesses in Namibia. Basically a low discount rate puts more weight on future net benefits than high discount rates. The results show that the discount rate is most important when optimizing for profits, or when tradeoffs are being made between profit, jobs and ecosystem structure. Fishing effort of the most profitable fleet is significantly increased when discount rate is low, which increases the discounted profit to the fleet. When optimizing for jobs, the fisheries become non-profitable, although no significant difference is found between different fleets with different discount rates. Ecosystem longevity is only improved with a reduction in effort by all fleets while seaweed harvesting (at the lowest trophic level) would require the least reduction in fishing effort.
Younes, Mohammad K; Nopiah, Z M; Basri, N E Ahmad; Basri, H; Abushammala, Mohammed F M; Younes, Mohammed Y
2016-09-01
Solid waste prediction is crucial for sustainable solid waste management. The collection of accurate waste data records is challenging in developing countries. Solid waste generation is usually correlated with economic, demographic and social factors. However, these factors are not constant due to population and economic growth. The objective of this research is to minimize the land requirements for solid waste disposal for implementation of the Malaysian vision of waste disposal options. This goal has been previously achieved by integrating the solid waste forecasting model, waste composition and the Malaysian vision. The modified adaptive neural fuzzy inference system (MANFIS) was employed to develop a solid waste prediction model and search for the optimum input factors. The performance of the model was evaluated using the root mean square error (RMSE) and the coefficient of determination (R(2)). The model validation results are as follows: RMSE for training=0.2678, RMSE for testing=3.9860 and R(2)=0.99. Implementation of the Malaysian vision for waste disposal options can minimize the land requirements for waste disposal by up to 43%. PMID:26522806
NASA Astrophysics Data System (ADS)
Yoo, Jin Woo
Counties. The spatial-lag (SLM), the spatial error (SEM) and the spatial error component (SEC) models were compared. A geographically weighted regression (GWR) model is estimated to study the spatial heterogeneity of the marginal implicit prices of ACE impact within each county. New hybrid spatial hedonic models, the GWR-SEC and a modified GWR-SEM, are estimated such that both spatial autocorrelation and heterogeneity are accounted. The results show that the coefficient of land under easement contract varies spatially within one county, but not within the other county studied. Also, ACE's are found to have both positive and negative impacts on the values of nearby residential properties. Among global spatial models, the SEM fit better than the SLM and the SEC. Statistical goodness of fit measures showed that the GWR-SEC model fit better than the GWR or the GWR-SEC model. Finally, the GWR-SEC showed spatial autocorrelation is stronger in one county than in the other county.
NASA Astrophysics Data System (ADS)
Rounaghi, Mohammad Mahdi; Abbaszadeh, Mohammad Reza; Arashi, Mohammad
2015-11-01
One of the most important topics of interest to investors is stock price changes. Investors whose goals are long term are sensitive to stock price and its changes and react to them. In this regard, we used multivariate adaptive regression splines (MARS) model and semi-parametric splines technique for predicting stock price in this study. The MARS model as a nonparametric method is an adaptive method for regression and it fits for problems with high dimensions and several variables. semi-parametric splines technique was used in this study. Smoothing splines is a nonparametric regression method. In this study, we used 40 variables (30 accounting variables and 10 economic variables) for predicting stock price using the MARS model and using semi-parametric splines technique. After investigating the models, we select 4 accounting variables (book value per share, predicted earnings per share, P/E ratio and risk) as influencing variables on predicting stock price using the MARS model. After fitting the semi-parametric splines technique, only 4 accounting variables (dividends, net EPS, EPS Forecast and P/E Ratio) were selected as variables effective in forecasting stock prices.
Smaldino, Paul E.; Richerson, Peter J.
2012-01-01
Most research on decision making has focused on how human or animal decision makers choose between two or more options, posed in advance by the researchers. The mechanisms by which options are generated for most decisions, however, are not well understood. Models of sequential search have examined the trade-off between continued exploration and choosing one’s current best option, but still cannot explain the processes by which new options are generated. We argue that understanding the origins of options is a crucial but untapped area for decision making research. We explore a number of factors which influence the generation of options, which fall broadly into two categories: psycho-biological and socio-cultural. The former category includes factors such as perceptual biases and associative memory networks. The latter category relies on the incredible human capacity for culture and social learning, which doubtless shape not only our choices but the options available for choice. Our intention is to start a discussion that brings us closer toward understanding the origins of options. PMID:22514515
An analytic network process model for municipal solid waste disposal options
Khan, Sheeba Faisal, Mohd Nishat
2008-07-01
The aim of this paper is to present an evaluation method that can aid decision makers in a local civic body to prioritize and select appropriate municipal solid waste disposal methods. We introduce a hierarchical network (hiernet) decision structure and apply the analytic network process (ANP) super-matrix approach to measure the relative desirability of disposal alternatives using value judgments as the input of the various stakeholders. ANP is a flexible analytical program that enables decision makers to find the best possible solution to complex problems by breaking down a problem into a systematic network of inter-relationships among the various levels and attributes. This method therefore may not only aid in selecting the best alternative but also helps decision makers to understand why an alternative is preferred over the other options.
Genome Integrity in Aging: Human Syndromes, Mouse Models, and Therapeutic Options.
Vermeij, Wilbert P; Hoeijmakers, Jan H J; Pothof, Joris
2016-01-01
Human syndromes and mouse mutants that exhibit accelerated but bona fide aging in multiple organs and tissues have been invaluable for the identification of nine denominators of aging: telomere attrition, genome instability, epigenetic alterations, mitochondrial dysfunction, deregulated nutrient sensing, altered intercellular communication, loss of proteostasis, cellular senescence and adult stem cell exhaustion. However, whether and how these instigators of aging interrelate or whether they have one root cause is currently largely unknown. Rare human progeroid syndromes and corresponding mouse mutants with resolved genetic defects highlight the dominant importance of genome maintenance for aging. A second class of aging-related disorders reveals a cross connection with metabolism. As genome maintenance and metabolism are closely interconnected, they may constitute the main underlying biology of aging. This review focuses on the role of genome stability in aging, its crosstalk with metabolism, and options for nutritional and/or pharmaceutical interventions that delay age-related pathology. PMID:26514200
NASA Astrophysics Data System (ADS)
Shu, Yunqiao; Villholth, Karen G.; Jensen, Karsten H.; Stisen, Simon; Lei, Yuping
2012-09-01
SummaryThe integrated hydrological model MIKE SHE was applied to a part of the North China Plain to examine the dynamics of the hydrological system and to assess water management options to restore depleted groundwater resources. The model simulates the spatio-temporal distribution of recharge to and the associated dynamics of the alluvial aquifers based on climatic conditions, land use, soil characteristics, irrigation and coupled unsaturated-saturated zone processes. The model was auto-calibrated for the period 1996-2002 against daily observations of groundwater head from wells distributed across the 7230 km2 region and actual evapotranspiration measured at an agricultural station located within the model area. The model simulations compared well with observations and acceptable values were obtained for both root mean square error and correlation coefficient. The calibrated model was subsequently used for scenario analysis of the effect of different cropping rotations, irrigation intensity, and other water management options, like the implementation of the South to North Water Transfer (SNWT) project. The model analysis verified that groundwater tables in the region are subject to steep declines (up to 1 m/yr) due to decades of intensive exploitation of the groundwater resources for crop irrigation, primarily the widespread crop rotation of irrigated winter wheat and mostly rainfed summer maize. The SNWT project mitigates water stress in Shijiazhuang city and areas adjacent to wastewater canals but cannot solely reverse declining water tables across the region. Combining the SNWT project and implementing region-wide crop and irrigation system changes, including deficit irrigation, wastewater irrigation, and alternating winter fallow, provides a feasible means to stabilize groundwater levels in the area.
Options for change in the NHS consultant contract.
Clarke, R. W.; Gray, C.
1994-01-01
The lead negotiators for the management and consultant sides in an NHS trust in northern England responded to debate in their trust about consultant contracts by offering to research the attitudes of their peers towards a variety of contract options. The options tested included the current contract; models already examined in the trust and elsewhere, such as time sensitive and mild performance related contracts; and some more radical and speculative possibilities, including consultants franchising their services to the trust. Beyond the predictable conclusion that consultants would prefer no change while managers desired it, a time sensitive contract emerged as having potential for successful negotiation. On the other hand, neither consultants nor managers favoured a strict performance related contract or a fee for service contract. There was a strong similarity of opinion between the two groups on the relative salary values of the options, though the consultants consistently priced these higher than the managers. PMID:8086915
Federal Register 2010, 2011, 2012, 2013, 2014
2010-04-07
... Change Relating to Cash-Settled Foreign Currency Options With One-Cent Exercise Prices April 1, 2010... and cleared as securities options notwithstanding that they may have a nominal exercise price such as... nominal exercise price such as one cent.\\2\\ In its capacity as a ``derivatives clearing...
Federal Register 2010, 2011, 2012, 2013, 2014
2010-02-10
... Effectiveness of Proposed Rule Change Relating to Options for Which the Premium and Exercise Price Are Expressed... OCC's By-Laws and Rules to accommodate options for which the premium and exercise price are expressed..., Article I.A.5 (definition of ``Aggregate Exercise Price'') and OCC Rule 805(d)(2) to accommodate...
Federal Register 2010, 2011, 2012, 2013, 2014
2011-01-12
... Immediate Effectiveness of Proposed Rule Change to Establish a $5 Strike Price Program January 6, 2011... $5 or greater where the strike price is more than $200 in up to five option classes on individual... greater where the strike price is more than $200 in up to five option classes on individual stocks...
Leopold, Christine; Mantel-Teeuwisse, Aukje Katja; Seyfang, Leonhard; Vogler, Sabine; de Joncheere, Kees; Laing, Richard Ogilvie; Leufkens, Hubert
2012-01-01
Objectives: This study aims to examine the impact of external price referencing (EPR) on on-patent medicine prices, adjusting for other factors that may affect price levels such as sales volume, exchange rates, gross domestic product (GDP) per capita, total pharmaceutical expenditure (TPE), and size of the pharmaceutical industry. Methods: Price data of 14 on-patent products, in 14 European countries in 2007 and 2008 were obtained from the Pharmaceutical Price Information Service of the Austrian Health Institute. Based on the unit ex-factory prices in EURO, scaled ranks per country and per product were calculated. For the regression analysis the scaled ranks per country and product were weighted; each country had the same sum of weights but within a country the weights were proportional to its sales volume in the year (data obtained from IMS Health). Taking the scaled ranks, several statistical analyses were performed by using the program “R”, including a multiple regression analysis (including variables such as GDP per capita and national industry size). Results: This study showed that on average EPR as a pricing policy leads to lower prices. However, the large variation in price levels among countries using EPR confirmed that the price level is not only driven by EPR. The unadjusted linear regression model confirms that applying EPR in a country is associated with a lower scaled weighted rank (p=0.002). This interaction persisted after inclusion of total pharmaceutical expenditure per capita and GDP per capita in the final model. Conclusions: The study showed that for patented products, prices are in general lower in case the country applied EPR. Nevertheless substantial price differences among countries that apply EPR could be identified. Possible explanations could be found through a correlation between pharmaceutical industry and the scaled price ranks. In conclusion, we found that implementing external reference pricing could lead to lower prices. PMID
A Cognitive Diagnosis Model for Cognitively Based Multiple-Choice Options
ERIC Educational Resources Information Center
de la Torre, Jimmy
2009-01-01
Cognitive or skills diagnosis models are discrete latent variable models developed specifically for the purpose of identifying the presence or absence of multiple fine-grained skills. However, applications of these models typically involve dichotomous or dichotomized data, including data from multiple-choice (MC) assessments that are scored as…
ERIC Educational Resources Information Center
Crelinsten, Michael; And Others
Designed for students who are just about to complete Katimavik (a nine-month volunteer community service and experiential learning program for 17 to 21-year-old Canadian youth), the bilingual information guide presents facts and considerations about options in lifestyle, academic attainment, and career goals available as a result of Katimavik…
2014-01-01
Background There is urgent need for effective HIV prevention methods that women can initiate. The CAPRISA 004 trial showed that a tenofovir-based vaginal microbicide had significant impact on HIV incidence among women. This study uses the trial findings to estimate the population-level impact of the gel on HIV and HSV-2 transmission, and price thresholds at which widespread product introduction would be as cost-effective as male circumcision in urban South Africa. Methods The estimated ‘per sex-act’ HIV and HSV-2 efficacies were imputed from CAPRISA 004. A dynamic HIV/STI transmission model, parameterised and fitted to Gauteng (HIV prevalence of 16.9% in 2008), South Africa, was used to estimate the impact of gel use over 15 years. Uptake was assumed to increase linearly to 30% over 10 years, with gel use in 72% of sex-acts. Full economic programme and averted HIV treatment costs were modelled. Cost per DALY averted is estimated and a microbicide price that equalises its cost-effectiveness to that of male circumcision is estimated. Results Using plausible assumptions about product introduction, we predict that tenofovir gel use could lead to a 12.5% and 4.9% reduction in HIV and HSV-2 incidence respectively, by year 15. Microbicide introduction is predicted to be highly cost-effective (under $300 per DALY averted), though the dose price would need to be just $0.12 to be equally cost-effective as male circumcision. A single dose or highly effective (83% HIV efficacy per sex-act) regimen would allow for more realistic threshold prices ($0.25 and $0.33 per dose, respectively). Conclusions These findings show that an effective coitally-dependent microbicide could reduce HIV incidence by 12.5% in this setting, if current condom use is maintained. For microbicides to be in the range of the most cost-effective HIV prevention interventions, product costs will need to decrease substantially. PMID:24405719
26 CFR 1.424-1 - Definitions and special rules applicable to statutory options.
Code of Federal Regulations, 2013 CFR
2013-04-01
... option. (ii) The excess of the aggregate fair market value of the shares subject to the new or assumed... price of such shares must not exceed the excess of the aggregate fair market value of all shares subject... ratio of the option price to the fair market value of the shares subject to the option immediately...
17 CFR 210.12-12B - Open option contracts written.
Code of Federal Regulations, 2012 CFR
2012-04-01
.... Col. A Col. B Col. C Col. D Col. E Name of issuer 1,2 Number of contracts 3 Exercise price Expiration date Value. 4 1 Information as to put options shall be shown separately from information as to call options. 2 Options of an issuer where exercise prices or expiration dates differ shall be...
17 CFR 210.12-12B - Open option contracts written.
Code of Federal Regulations, 2013 CFR
2013-04-01
.... Col. A Col. B Col. C Col. D Col. E Name of issuer 1,2 Number of contracts 3 Exercise price Expiration date Value. 4 1 Information as to put options shall be shown separately from information as to call options. 2 Options of an issuer where exercise prices or expiration dates differ shall be...
Options for orbifold-GUT model building from five-dimensional supergravity
NASA Astrophysics Data System (ADS)
McReynolds, Sean
2005-10-01
This is the first paper of a series that will examine the options for embedding supersymmetric orbifold-GUTs into five-dimensional N=2 Yang-Mills-Einstein supergravity theories (YMESGTs). In particular, we focus on the allowed couplings of charged hypermultiplets in the lowest-dimensional reps of the gauge groups SU(5), SO(10) and E. Our results are within the classification of homogeneous quaternionic scalar manifolds. In the minimal coupling of a generation of bulk matter hypermultiplets, supergravity requires the field content of an SO(10) scenario. In the minimal coupling of n bulk generations of matter and Higgs hypermultiplets, supergravity requires the field content of an E scenario. We also discuss the coupling of tensors and non-compact gaugings in 5D YMESGTs, which can serve as alternative ways to obtain four-dimensional Higgs sectors. Charged tensor couplings seem to be difficult to work with phenomenologically since a U(1) gauge factor is always required when they are present, and it is not clear if tensors can be put in unified multiplets with other fields, if this is desired. This seems to imply that tensor couplings in GUT scenarios may be better suited in higher-dimensional settings. The non-compact gaugings discussed here are those of [M. Günaydin, G. Sierra, P.K. Townsend, Gauging the D=5 Maxwell-Einstein supergravity theories: More on Jordan algebras, Nucl. Phys. B 253 (1985) 573, M. Günaydin, M. Zagermann, Unified Maxwell-Einstein and Yang-Mills-Einstein supergravity theories in five dimensions, JHEP 0307 (2003) 023, arxiv:/hep-th/0304109], and offer a novel unification scenario in which the supergravity and vector multiplets are connected by gauge transformations. The main points are summarized in tables and the conclusion. Although the discussion is in the spirit of a "bottom-up" approach, M-theory is taken as a motivating background.
Updated parameters and expanded simulation options for a model of the auditory periphery.
Zilany, Muhammad S A; Bruce, Ian C; Carney, Laurel H
2014-01-01
A phenomenological model of the auditory periphery in cats was previously developed by Zilany and colleagues [J. Acoust. Soc. Am. 126, 2390-2412 (2009)] to examine the detailed transformation of acoustic signals into the auditory-nerve representation. In this paper, a few issues arising from the responses of the previous version have been addressed. The parameters of the synapse model have been readjusted to better simulate reported physiological discharge rates at saturation for higher characteristic frequencies [Liberman, J. Acoust. Soc. Am. 63, 442-455 (1978)]. This modification also corrects the responses of higher-characteristic frequency (CF) model fibers to low-frequency tones that were erroneously much higher than the responses of low-CF model fibers in the previous version. In addition, an analytical method has been implemented to compute the mean discharge rate and variance from the model's synapse output that takes into account the effects of absolute refractoriness. PMID:24437768
Evaluating Policy Options for Biofuel Land Use Change
NASA Astrophysics Data System (ADS)
Witcover, J.; Yeh, S.; Msangi, S.
2012-12-01
The use of biofuels leads to global land use change (LUC) through increased land competition. LUC poses risks such as increased greenhouse gas emissions and food prices, that policymakers must balance against biofuel objectives. This paper examines policy approaches to lower LUC risk from biofuels. We propose a three-pronged policy approach: (1) promoting feedstocks that rely less on land; (2) reducing LUC risk for land-using feedstocks; and (3) stimulating investments that increase land productivity and environmental protection. We illustrate possibilities for model-based evaluation of LUC policy design options using two linked partial economic equilibrium simulation models (BEPAM/IMPACT). While the modeling addresses only a subset of mitigation options presented (including an 'iLUC factor'), it illustrates how this approach can shed light on the geographical distribution and magnitude of LUC resulting from specific policy designs.
NASA Astrophysics Data System (ADS)
Berg, Matthew; Hartley, Brian; Richters, Oliver
2015-01-01
By synthesizing stock-flow consistent models, input-output models, and aspects of ecological macroeconomics, a method is developed to simultaneously model monetary flows through the financial system, flows of produced goods and services through the real economy, and flows of physical materials through the natural environment. This paper highlights the linkages between the physical environment and the economic system by emphasizing the role of the energy industry. A conceptual model is developed in general form with an arbitrary number of sectors, while emphasizing connections with the agent-based, econophysics, and complexity economics literature. First, we use the model to challenge claims that 0% interest rates are a necessary condition for a stationary economy and conduct a stability analysis within the parameter space of interest rates and consumption parameters of an economy in stock-flow equilibrium. Second, we analyze the role of energy price shocks in contributing to recessions, incorporating several propagation and amplification mechanisms. Third, implied heat emissions from energy conversion and the effect of anthropogenic heat flux on climate change are considered in light of a minimal single-layer atmosphere climate model, although the model is only implicitly, not explicitly, linked to the economic model.
NASA Astrophysics Data System (ADS)
Giri, B. C.; Maiti, T.
2013-05-01
This article develops a single-manufacturer and single-retailer supply chain model under two-level permissible delay in payments when the manufacturer follows a lot-for-lot policy in response to the retailer's demand. The manufacturer offers a trade credit period to the retailer with the contract that the retailer must share a fraction of the profit earned during the trade credit period. On the other hand, the retailer provides his customer a partial trade credit which is less than that of the manufacturer. The demand at the retailer is assumed to be dependent on the selling price and the trade credit period offered to the customers. The average net profit of the supply chain is derived and an algorithm for finding the optimal solution is developed. Numerical examples are given to demonstrate the coordination policy of the supply chain and examine the sensitivity of key model-parameters.
NASA Astrophysics Data System (ADS)
Liu, Zhiyuan; Meng, Qiang
2014-05-01
This paper focuses on modelling the network flow equilibrium problem on a multimodal transport network with bus-based park-and-ride (P&R) system and congestion pricing charges. The multimodal network has three travel modes: auto mode, transit mode and P&R mode. A continuously distributed value-of-time is assumed to convert toll charges and transit fares to time unit, and the users' route choice behaviour is assumed to follow the probit-based stochastic user equilibrium principle with elastic demand. These two assumptions have caused randomness to the users' generalised travel times on the multimodal network. A comprehensive network framework is first defined for the flow equilibrium problem with consideration of interactions between auto flows and transit (bus) flows. Then, a fixed-point model with unique solution is proposed for the equilibrium flows, which can be solved by a convergent cost averaging method. Finally, the proposed methodology is tested by a network example.
path integral approach to closed form pricing formulas in the Heston framework.
NASA Astrophysics Data System (ADS)
Lemmens, Damiaan; Wouters, Michiel; Tempere, Jacques; Foulon, Sven
2008-03-01
We present a path integral approach for finding closed form formulas for option prices in the framework of the Heston model. The first model for determining option prices was the Black-Scholes model, which assumed that the logreturn followed a Wiener process with a given drift and constant volatility. To provide a realistic description of the market, the Black-Scholes results must be extended to include stochastic volatility. This is achieved by the Heston model, which assumes that the volatility follows a mean reverting square root process. Current applications of the Heston model are hampered by the unavailability of fast numerical methods, due to a lack of closed-form formulae. Therefore the search for closed form solutions is an essential step before the qualitatively better stochastic volatility models will be used in practice. To attain this goal we outline a simplified path integral approach yielding straightforward results for vanilla Heston options with correlation. Extensions to barrier options and other path-dependent option are discussed, and the new derivation is compared to existing results obtained from alternative path-integral approaches (Dragulescu, Kleinert).
Moeller, Antje; Ask, Kjetil; Warburton, David; Gauldie, Jack; Kolb, Martin
2008-01-01
Different animal models of pulmonary fibrosis have been developed to investigate potential therapies for idiopathic pulmonary fibrosis (IPF). The most common is the bleomycin model in rodents (mouse, rat and hamster). Over the years, numerous agents have been shown to inhibit fibrosis in this model. However, to date none of these compounds are used in the clinical management of IPF and none has shown a comparable antifibrotic effect in humans. We performed a systematic review of publications on drug efficacy studies in the bleomycin model to evaluate the value of this model regarding transferability to clinical use. Between 1980 and 2006 we identified 246 experimental studies describing beneficial antifibrotic compounds in the bleomycin model. In 221 of the studies we found enough details about the timing of drug application to allow inter-study comparison. 211 of those used a preventive regimen (drug given ≤ day 7 after last bleomycin application), only 10 were therapeutic trials (> 7 days after last bleomycin application). It is critical to distinguish between drugs interfering with the inflammatory and early fibrogenic response from those preventing progression of fibrosis, the latter likely much more meaningful for clinical application. All potential antifibrotic compounds should be evaluated in the phase of established fibrosis rather than in the early period of bleomycin-induced inflammation for assessment of its antifibrotic properties. Further care should be taken in extrapolation of drugs successfully tested in the bleomycin model due to partial reversibility of bleomycin induced fibrosis over time. The use of alternative and more robust animal models, which better reflect human IPF, is warranted. PMID:17936056
NASA Astrophysics Data System (ADS)
Carlowicz, Michael
In a recent speech to graduates of the College of Computer, Mathematical, and Physical Sciences at the University of Maryland, Anne Petersen, deputy director of the National Science Foundation, encouraged a new generation of scientists to embrace opportunity and choice, and to use their scientific training as an employment credential, not a limit. In her May 23 commencement address, Petersen exhorted students to view their freshly minted diplomas as tickets to a broad and diverse job market, not just one-way trips to the laboratory.“Looking for the options and alternatives open to us—and creating options for ourselves where they are not apparent—can give us a sense of direction and volition that enriches our lives immensely…
Xiong, Xiong; Nan, Ding; Yang, Yang; Yongjie, Zhang
2015-01-01
This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market by changing the settings of price limits. After comparing the market stability under different price limits by appropriate liquidity and volatility indicators, we find that enhancing price limits or removing price limits both play a negative impact on market stability. In contrast, a positive impact exists on market stability if the existing price limit is maintained (increase of limit by10%, down by 10%) or it is broadened to a proper extent. Our study provides reasonable advice for a price limit setting and risk management for CSI 300 futures. PMID:26571135
2015-01-01
This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market by changing the settings of price limits. After comparing the market stability under different price limits by appropriate liquidity and volatility indicators, we find that enhancing price limits or removing price limits both play a negative impact on market stability. In contrast, a positive impact exists on market stability if the existing price limit is maintained (increase of limit by10%, down by 10%) or it is broadened to a proper extent. Our study provides reasonable advice for a price limit setting and risk management for CSI 300 futures. PMID:26571135
Jazayeri, A.A.
1984-01-01
This study relates the kWh consumption and the maximum instantaneous demand through a reasonable and simple inequity based on the property of the load curve. The model of analysis includes this inequality and two equations relating the kWh consumption and kW demand to their respective prices. The error term in the first equation is assumed to be normally distributed, and the error term in the second equation is assumed to have an asymptotic distribution similar to that of the largest extremes. Relating the two equations through the inequality necessitates the formation of the convolution of the normal and the extreme value distributions. Such a distribution is formed and the maximum-likelihood estimation technique along with methods of numerical analysis are utilized to estimate the parameters of this system of equations. In addition, the method of estimation is applied to time-of-use electricity pricing which preserve the basic structure of Hopkinson rate, introduction of demand and energy charges, and allows application of distinct demand and energy charges to different periods of the day or season.
Code of Federal Regulations, 2013 CFR
2013-01-01
... 12 Banks and Banking 3 2013-01-01 2013-01-01 false Appendix H-Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices H Appendix H to Part 222 Banks and Banking FEDERAL... REPORTING (REGULATION V) Pt. 222, App. H Appendix H to Part 222—Appendix H—Model Forms for...
Code of Federal Regulations, 2014 CFR
2014-01-01
... 12 Banks and Banking 3 2014-01-01 2014-01-01 false Appendix H-Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices H Appendix H to Part 222 Banks and Banking FEDERAL... REPORTING (REGULATION V) Pt. 222, App. H Appendix H to Part 222—Appendix H—Model Forms for...
Evaluating Domestic Hot Water Distribution System Options with Validated Analysis Models
Weitzel, E.; Hoeschele, E.
2014-09-01
A developing body of work is forming that collects data on domestic hot water consumption, water use behaviors, and energy efficiency of various distribution systems. Transient System Simulation Tool (TRNSYS) is a full distribution system developed that has been validated using field monitoring data and then exercised in a number of climates to understand climate impact on performance. In this study, the Building America team built upon previous analysis modeling work to evaluate differing distribution systems and the sensitivities of water heating energy and water use efficiency to variations of climate, load, distribution type, insulation and compact plumbing practices. Overall, 124 different TRNSYS models were simulated. The results of this work are useful in informing future development of water heating best practices guides as well as more accurate (and simulation time efficient) distribution models for annual whole house simulation programs.
Predictive risk modelling in health: options for New Zealand and Australia.
Panattoni, Laura E; Vaithianathan, Rhema; Ashton, Toni; Lewis, Geraint H
2011-02-01
Predictive risk models (PRMs) are case-finding tools that enable health care systems to identify patients at risk of expensive and potentially avoidable events such as emergency hospitalisation. Examples include the PARR (Patients-at-Risk-of-Rehospitalisation) tool and Combined Predictive Model used by the National Health Service in England. When such models are coupled with an appropriate preventive intervention designed to avert the adverse event, they represent a useful strategy for improving the cost-effectiveness of preventive health care. This article reviews the current knowledge about PRMs and explores some of the issues surrounding the potential introduction of a PRM to a public health system. We make a particular case for New Zealand, but also consider issues that are relevant to Australia. PMID:21367330
Assessment of coastal management options by means of multilayered ecosystem models
NASA Astrophysics Data System (ADS)
Nobre, Ana M.; Ferreira, João G.; Nunes, João P.; Yan, Xiaojun; Bricker, Suzanne; Corner, Richard; Groom, Steve; Gu, Haifeng; Hawkins, Anthony J. S.; Hutson, Rory; Lan, Dongzhao; Silva, João D. Lencart e.; Pascoe, Philip; Telfer, Trevor; Zhang, Xuelei; Zhu, Mingyuan
2010-03-01
This paper presents a multilayered ecosystem modelling approach that combines the simulation of the biogeochemistry of a coastal ecosystem with the simulation of the main forcing functions, such as catchment loading and aquaculture activities. This approach was developed as a tool for sustainable management of coastal ecosystems. A key feature is to simulate management scenarios that account for changes in multiple uses and enable assessment of cumulative impacts of coastal activities. The model was applied to a coastal zone in China with large aquaculture production and multiple catchment uses, and where management efforts to improve water quality are under way. Development scenarios designed in conjunction with local managers and aquaculture producers include the reduction of fish cages and treatment of wastewater. Despite the reduction in nutrient loading simulated in three different scenarios, inorganic nutrient concentrations in the bay were predicted to exceed the thresholds for poor quality defined by Chinese seawater quality legislation. For all scenarios there is still a Moderate High to High nutrient loading from the catchment, so further reductions might be enacted, together with additional decreases in fish cage culture. The model predicts that overall, shellfish production decreases by 10%-28% using any of these development scenarios, principally because shellfish growth is being sustained by the substances to be reduced for improvement of water quality. The model outcomes indicate that this may be counteracted by zoning of shellfish aquaculture at the ecosystem level in order to optimize trade-offs between productivity and environmental effects. The present case study exemplifies the value of multilayered ecosystem modelling as a tool for Integrated Coastal Zone Management and for the adoption of ecosystem approaches for marine resource management. This modelling approach can be applied worldwide, and may be particularly useful for the application of
Borison, A.B.; Judd, B.R.; Morris, P.A.; Walters, E.C.
1981-08-01
This report describes an electric utility generation expansion model developed for use in research and development (R and D) planning under uncertainty. The model provides a framework for examining broad utility and R and D planning issues, rather than the specific generation expansion decisions of individual utilities. Unlike existing approaches, the model focuses directly on the demand, technological, and regulatory uncertainties and the long-term dynamics that affect the impact of R and D achievements. The model's somewhat aggregate approach to electric utility decision-making (to allow repeated application at low cost) can be modified, as needed, for more detailed utility planning. When fully implemented, the model can be applied to the analysis of issues such as technology adoption, reserve margin, unit size, reliability, storage and load management effects, lead time, and government regulation. The model inputs include demand, supply (generation technology characteristics), and external factors (regulatory constraints). The outputs are the optimal (minimum discounted expected cost) generation expansion plan, its cost, and other aspects of this plan. The model relies on three mathematical programming approaches: dynamic programming, iterative dynamic programming, and state-of-the-world decomposition. The state-of-the-world decomposition component separates the main problem into a set of individual scenario problems, each of which is solved with the iterative dynamic-programming component. The iterative dynamic-programming component, in turn, transforms each individual scenario problem into a series of even simpler problems, each of which is solved with the dynamic-programming component. Possible future extensions of the model involve increased operating detail, increased financial detail, explicit incorporation of storage and load management options, and more efficient treatment of closed-loop decision-making.
Leusmann, D B; Sabinski, F
1996-01-01
We investigated the effects of weak to moderate urease hydrolysis by optional urease-positive microorganisms in an artificial urine model enriched with calcium phosphate and calcium oxalate in respect of calcium stone formation. The incubation experiments were performed using a discontinuously running fermenter device to simulate the urinary system. The kinetics of cell division rates, pH and ammonium ion production were measured and correlated to crystallite appearance in the incubation medium. Qualitative analyses of the sediments revealed apatite. Investigations using light microscopy and scanning electron microscopy (SEM) confirmed the matrix effect of bacterial glycoproteins. It was shown that initiation of calcium oxalate stone formation is in all probability equally determined by matrix effects and by heteronuclear crystallization if the urinary tract is infected by optional urease-positive bacteria. When urinary inorganic phosphate is present, calcium phosphate nidi are always initially formed, and may subsequently be coated by calcium oxalate. PMID:8740975
Bird, S.P.
1980-09-01
The simulation code, SOLSTEP, was developed at the Pacific Northwest Laboratory to facilitate the evaluation of proposed designs for solar thermal power plants. It allows the user to analyze the thermodynamic and economic performance of a conceptual design for several field size-storage capacity configurations. This feature makes it possible to study the levelized energy cost of a proposed concept over a range of plant capacity factors. The thermodynamic performance is analyzed on a time step basis using actual recorded meteorological and insolation data for specific geographic locations. The flexibility of the model enables the user to analyze both central and distributed generation concepts using either thermal or electric storage systems. The thermodynamic and economic analyses view the plant in a macroscopic manner as a combination of component subsystems. In the thermodynamic simulation, concentrator optical performance is modeled as a function of solar position; other aspects of collector performance can optionally be treated as functions of ambient air temperature, wind speed, and component power level. The power conversion model accounts for the effects of ambient air temperature, partial load operation, auxiliary power demands, and plant standby and startup energy requirements. The code was designed in a modular fashion to provide efficient evaluations of the collector system, total plant, and system economics. SOLSTEP has been used to analyze a variety of solar thermal generic concepts involving several collector types and energy conversion and storage subsystems. The code's straightforward models and modular nature facilitated simple and inexpensive parametric studies of solar thermal power plant performance.
A Mathematical Model that Simulates Control Options for African Swine Fever Virus (ASFV).
Barongo, Mike B; Bishop, Richard P; Fèvre, Eric M; Knobel, Darryn L; Ssematimba, Amos
2016-01-01
A stochastic model designed to simulate transmission dynamics of African swine fever virus (ASFV) in a free-ranging pig population under various intervention scenarios is presented. The model was used to assess the relative impact of the timing of the implementation of different control strategies on disease-related mortality. The implementation of biosecurity measures was simulated through incorporation of a decay function on the transmission rate. The model predicts that biosecurity measures implemented within 14 days of the onset of an epidemic can avert up to 74% of pig deaths due to ASF while hypothetical vaccines that confer 70% immunity when deployed prior to day 14 of the epidemic could avert 65% of pig deaths. When the two control measures are combined, the model predicts that 91% of the pigs that would have otherwise succumbed to the disease if no intervention was implemented would be saved. However, if the combined interventions are delayed (defined as implementation from > 60 days) only 30% of ASF-related deaths would be averted. In the absence of vaccines against ASF, we recommend early implementation of enhanced biosecurity measures. Active surveillance and use of pen-side diagnostic assays, preferably linked to rapid dissemination of this data to veterinary authorities through mobile phone technology platforms are essential for rapid detection and confirmation of ASF outbreaks. This prediction, although it may seem intuitive, rationally confirms the importance of early intervention in managing ASF epidemics. The modelling approach is particularly valuable in that it determines an optimal timing for implementation of interventions in controlling ASF outbreaks. PMID:27391689
A Mathematical Model that Simulates Control Options for African Swine Fever Virus (ASFV)
Barongo, Mike B.; Bishop, Richard P; Fèvre, Eric M; Knobel, Darryn L; Ssematimba, Amos
2016-01-01
A stochastic model designed to simulate transmission dynamics of African swine fever virus (ASFV) in a free-ranging pig population under various intervention scenarios is presented. The model was used to assess the relative impact of the timing of the implementation of different control strategies on disease-related mortality. The implementation of biosecurity measures was simulated through incorporation of a decay function on the transmission rate. The model predicts that biosecurity measures implemented within 14 days of the onset of an epidemic can avert up to 74% of pig deaths due to ASF while hypothetical vaccines that confer 70% immunity when deployed prior to day 14 of the epidemic could avert 65% of pig deaths. When the two control measures are combined, the model predicts that 91% of the pigs that would have otherwise succumbed to the disease if no intervention was implemented would be saved. However, if the combined interventions are delayed (defined as implementation from > 60 days) only 30% of ASF-related deaths would be averted. In the absence of vaccines against ASF, we recommend early implementation of enhanced biosecurity measures. Active surveillance and use of pen-side diagnostic assays, preferably linked to rapid dissemination of this data to veterinary authorities through mobile phone technology platforms are essential for rapid detection and confirmation of ASF outbreaks. This prediction, although it may seem intuitive, rationally confirms the importance of early intervention in managing ASF epidemics. The modelling approach is particularly valuable in that it determines an optimal timing for implementation of interventions in controlling ASF outbreaks. PMID:27391689
Cai, Yan; Wu, Jie; Li, Zhiyong; Long, Quan
2016-01-01
We propose a coupled mathematical modelling system to investigate glioblastoma growth in response to dynamic changes in chemical and haemodynamic microenvironments caused by pre-existing vessel co-option, remodelling, collapse and angiogenesis. A typical tree-like architecture network with different orders for vessel diameter is designed to model pre-existing vasculature in host tissue. The chemical substances including oxygen, vascular endothelial growth factor, extra-cellular matrix and matrix degradation enzymes are calculated based on the haemodynamic environment which is obtained by coupled modelling of intravascular blood flow with interstitial fluid flow. The haemodynamic changes, including vessel diameter and permeability, are introduced to reflect a series of pathological characteristics of abnormal tumour vessels including vessel dilation, leakage, angiogenesis, regression and collapse. Migrating cells are included as a new phenotype to describe the migration behaviour of malignant tumour cells. The simulation focuses on the avascular phase of tumour development and stops at an early phase of angiogenesis. The model is able to demonstrate the main features of glioblastoma growth in this phase such as the formation of pseudopalisades, cell migration along the host vessels, the pre-existing vasculature co-option, angiogenesis and remodelling. The model also enables us to examine the influence of initial conditions and local environment on the early phase of glioblastoma growth. PMID:26934465
Høgåsen, H R; Er, C; Di Nardo, A; Dalla Villa, P
2013-11-01
Since 1991, Italian free-roaming dogs have been under government protection and euthanasia is restricted by law. Management measures are regulated at the regional level and include: kennelling, adoptions, conversion of stray dogs into block dogs, and population control of owned dogs. "Block dogs" are free-roaming dogs that have been collected by the veterinary services, microchipped, sterilised, vaccinated, and released under the responsibility of the local municipalities. The present paper describes a cost-benefit model for different management options and applies it to two provinces in Abruzzo, central Italy. The model considers welfare, nuisance and direct costs to the municipality. Welfare is quantified based on the expert opinions of 60 local veterinarians, who were asked to assign a score for each dog category according to the five freedoms: freedom from pain, physical discomfort, disease, fear, and freedom to express normal behaviour. Nuisance was assessed only for comparisons between management options, using the number of free-roaming dogs per inhabitant as a proxy indicator. A community dog population model was constructed to predict the effect of management on the different subpopulations of dogs during a ten-year period. It is a user-friendly deterministic model in Excel, easily adaptable to different communities to assess the impact of their dog management policy on welfare, nuisance and direct monetary cost. We present results for Teramo and Pescara provinces. Today's management system is compared to alternative models, which evaluate the effect of specific interventions. These include either a 10% yearly increase in kennel capacity, an increase in adoptions from kennels, a doubling of the capture of stray dogs, or a stabilisation of the owned dog population. Results indicate that optimal management decisions are complex because welfare, nuisance and monetary costs may imply conflicting interventions. Nevertheless, they clearly indicate that
Optimal dynamic pricing for deteriorating items with reference-price effects
NASA Astrophysics Data System (ADS)
Xue, Musen; Tang, Wansheng; Zhang, Jianxiong
2016-07-01
In this paper, a dynamic pricing problem for deteriorating items with the consumers' reference-price effect is studied. An optimal control model is established to maximise the total profit, where the demand not only depends on the current price, but also is sensitive to the historical price. The continuous-time dynamic optimal pricing strategy with reference-price effect is obtained through solving the optimal control model on the basis of Pontryagin's maximum principle. In addition, numerical simulations and sensitivity analysis are carried out. Finally, some managerial suggestions that firm may adopt to formulate its pricing policy are proposed.
Process Options Description for Vitrification Flowsheet Model of INEEL Sodium Bearing Waste
Nichols, Todd Travis; Taylor, Dean Dalton; Lauerhass, Lance; Barnes, Charles Marshall
2001-02-01
The purpose of this document is to provide the technical information to Savannah River Site (SRS) personnel that is required for the development of a basic steady-state process simulation of the vitrification treatment train of sodium bearing waste (SBW) at Idaho National Engineering and nvironmental Laboratory (INEEL). INEEL considers simulation to have an important role in the integration/optimization of treatment process trains for the High Level Waste (HLW) Program. This project involves a joint Technical Task Plan (TTP ID77WT31, Subtask C) between SRS and INEEL. The work scope of simulation is different at the two sites. This document addresses only the treatment of SBW at INEEL. The simulation model(s) is to be built by SRS for INEEL in FY-2001.
Exploring Water Management Options with SIWA: A Simple, Coupled Human-Water-Climate Model
NASA Astrophysics Data System (ADS)
Motesharrei, S.; Gustafson, K. C.; Zhao, F.; Rivas, J.; Zeng, N.; Miralles-Wilhelm, F.; Kalnay, E.
2013-12-01
Water is, and has always been, a critical resource for survival of civilizations and a key to prosperity of societies. Over the past several decades, demand for freshwater has increased significantly due to growth of both population and consumption. Such soaring demands have put serious strain on freshwater sources at many regions of the world, and climate change can only worsen the uncertainty in availability of needed freshwater. Therefore, it is essential to study the water system in conjunction with the Earth system and the Human system. Most importantly, we need to understand effectiveness of various managerial decisions on the water system, since efficient policy making is the only viable solution for sustaining water sources and supply (reservoir) at any water-scarce region of the world. We have developed a SImple WAter model (SIWA) that is integrated with the human system and the earth system through bidirectional feedbacks. Policies are introduced as drivers of the model so that the effect of each policy on the system can be measured as we change its level. We have applied our model to two data-rich watersheds in the United States: Phoenix AMA watershed and the Potomac River Basin. The latter receives plenty of precipitation while the former is rather dry. Model is trained with the data from 1900-2010, and then projections are made for the next several decades. Historical data were recovered from the records at the US National Archives. We have also used remotely sensed satellite data in conjunction with data from local municipalities. Response of the system to six different short and long term policies are presented under three different climate scenarios. We show that it is possible to guarantee the freshwater supply and sustain the freshwater sources through a proper set of policy choices for any specific region.
Thermal control of high energy nuclear waste, space option. [mathematical models
NASA Technical Reports Server (NTRS)
Peoples, J. A.
1979-01-01
Problems related to the temperature and packaging of nuclear waste material for disposal in space are explored. An approach is suggested for solving both problems with emphasis on high energy density waste material. A passive cooling concept is presented which utilized conduction rods that penetrate the inner core. Data are presented to illustrate the effectiveness of the rods and the limit of their capability. A computerized thermal model is discussed and developed for the cooling concept.
Evaluating Domestic Hot Water Distribution System Options With Validated Analysis Models
Weitzel, E.; Hoeschele, M.
2014-09-01
A developing body of work is forming that collects data on domestic hot water consumption, water use behaviors, and energy efficiency of various distribution systems. A full distribution system developed in TRNSYS has been validated using field monitoring data and then exercised in a number of climates to understand climate impact on performance. This study builds upon previous analysis modelling work to evaluate differing distribution systems and the sensitivities of water heating energy and water use efficiency to variations of climate, load, distribution type, insulation and compact plumbing practices. Overall 124 different TRNSYS models were simulated. Of the configurations evaluated, distribution losses account for 13-29% of the total water heating energy use and water use efficiency ranges from 11-22%. The base case, an uninsulated trunk and branch system sees the most improvement in energy consumption by insulating and locating the water heater central to all fixtures. Demand recirculation systems are not projected to provide significant energy savings and in some cases increase energy consumption. Water use is most efficient with demand recirculation systems, followed by the insulated trunk and branch system with a central water heater. Compact plumbing practices and insulation have the most impact on energy consumption (2-6% for insulation and 3-4% per 10 gallons of enclosed volume reduced). The results of this work are useful in informing future development of water heating best practices guides as well as more accurate (and simulation time efficient) distribution models for annual whole house simulation programs.
NASA Astrophysics Data System (ADS)
Niu, Guo-Yue; Yang, Zong-Liang; Mitchell, Kenneth E.; Chen, Fei; Ek, Michael B.; Barlage, Michael; Kumar, Anil; Manning, Kevin; Niyogi, Dev; Rosero, Enrique; Tewari, Mukul; Xia, Youlong
2011-06-01
This first paper of the two-part series describes the objectives of the community efforts in improving the Noah land surface model (LSM), documents, through mathematical formulations, the augmented conceptual realism in biophysical and hydrological processes, and introduces a framework for multiple options to parameterize selected processes (Noah-MP). The Noah-MP's performance is evaluated at various local sites using high temporal frequency data sets, and results show the advantages of using multiple optional schemes to interpret the differences in modeling simulations. The second paper focuses on ensemble evaluations with long-term regional (basin) and global scale data sets. The enhanced conceptual realism includes (1) the vegetation canopy energy balance, (2) the layered snowpack, (3) frozen soil and infiltration, (4) soil moisture-groundwater interaction and related runoff production, and (5) vegetation phenology. Sample local-scale validations are conducted over the First International Satellite Land Surface Climatology Project (ISLSCP) Field Experiment (FIFE) site, the W3 catchment of Sleepers River, Vermont, and a French snow observation site. Noah-MP shows apparent improvements in reproducing surface fluxes, skin temperature over dry periods, snow water equivalent (SWE), snow depth, and runoff over Noah LSM version 3.0. Noah-MP improves the SWE simulations due to more accurate simulations of the diurnal variations of the snow skin temperature, which is critical for computing available energy for melting. Noah-MP also improves the simulation of runoff peaks and timing by introducing a more permeable frozen soil and more accurate simulation of snowmelt. We also demonstrate that Noah-MP is an effective research tool by which modeling results for a given process can be interpreted through multiple optional parameterization schemes in the same model framework.
Natural gas and CO2 price variation: impact on the relative cost-efficiency of LNG and pipelines
Ulvestad, Marte; Overland, Indra
2012-01-01
This article develops a formal model for comparing the cost structure of the two main transport options for natural gas: liquefied natural gas (LNG) and pipelines. In particular, it evaluates how variations in the prices of natural gas and greenhouse gas emissions affect the relative cost-efficiency of these two options. Natural gas is often promoted as the most environmentally friendly of all fossil fuels, and LNG as a modern and efficient way of transporting it. Some research has been carried out into the local environmental impact of LNG facilities, but almost none into aspects related to climate change. This paper concludes that at current price levels for natural gas and CO2 emissions the distance from field to consumer and the volume of natural gas transported are the main determinants of transport costs. The pricing of natural gas and greenhouse emissions influence the relative cost-efficiency of LNG and pipeline transport, but only to a limited degree at current price levels. Because more energy is required for the LNG process (especially for fuelling the liquefaction process) than for pipelines at distances below 9100 km, LNG is more exposed to variability in the price of natural gas and greenhouse gas emissions up to this distance. If the prices of natural gas and/or greenhouse gas emission rise dramatically in the future, this will affect the choice between pipelines and LNG. Such a price increase will be favourable for pipelines relative to LNG. PMID:24683269
NASA Astrophysics Data System (ADS)
Efstratiadis, Andreas; Nalbantis, Ioannis; Rozos, Evangelos; Koutsoyiannis, Demetris
2010-05-01
In mixed natural and artificialized river basins, many complexities arise due to anthropogenic interventions in the hydrological cycle, including abstractions from surface water bodies, groundwater pumping or recharge and water returns through drainage systems. Typical engineering approaches adopt a multi-stage modelling procedure, with the aim to handle the complexity of process interactions and the lack of measured abstractions. In such context, the entire hydrosystem is separated into natural and artificial sub-systems or components; the natural ones are modelled individually, and their predictions (i.e. hydrological fluxes) are transferred to the artificial components as inputs to a water management scheme. To account for the interactions between the various components, an iterative procedure is essential, whereby the outputs of the artificial sub-systems (i.e. abstractions) become inputs to the natural ones. However, this strategy suffers from multiple shortcomings, since it presupposes that pure natural sub-systems can be located and that sufficient information is available for each sub-system modelled, including suitable, i.e. "unmodified", data for calibrating the hydrological component. In addition, implementing such strategy is ineffective when the entire scheme runs in stochastic simulation mode. To cope with the above drawbacks, we developed a generalized modelling framework, following a network optimization approach. This originates from the graph theory, which has been successfully implemented within some advanced computer packages for water resource systems analysis. The user formulates a unified system which is comprised of the hydrographical network and the typical components of a water management network (aqueducts, pumps, junctions, demand nodes etc.). Input data for the later include hydraulic properties, constraints, targets, priorities and operation costs. The real-world system is described through a conceptual graph, whose dummy properties
Adequacy Criteria of Models of the Cargo Inspection System with Material Discrimination Option
NASA Astrophysics Data System (ADS)
Osipov, S.; Chakhlov, S.; Osipov, O.; Shtein, A.; Van, J.
2016-01-01
Generalized adequacy criteria for mathematical models in order to discriminate materials in X-ray inspection systems by the dual-energy method were developed. Two main approaches of the examination systems to produce the adequacy criteria by the final and the intermediate parameters of the dual-energy method were analyzed. The criteria were specified in respect to the discrimination by the effective atomic number and by the method of level functions. Experimental and theoretical estimates of the discrimination parameters of the test object constituents scanned by fan beams of X-ray radiation with the maximal energies of 4.5 and 9 MeV are given.
Renewable Power Options for Electrical Generation on Kaua'i: Economics and Performance Modeling
Burman, K.; Keller, J.; Kroposki, B.; Lilienthal, P.; Slaughter, R.; Glassmire, J.
2011-11-01
The Hawaii Clean Energy Initiative (HCEI) is working with a team led by the U.S. Department of Energy's (DOE) National Renewable Energy Laboratory (NREL) to assess the economic and technical feasibility of increasing the contribution of renewable energy in Hawaii. This part of the HCEI project focuses on working with Kaua'i Island Utility Cooperative (KIUC) to understand how to integrate higher levels of renewable energy into the electric power system of the island of Kaua'i. NREL partnered with KIUC to perform an economic and technical analysis and discussed how to model PV inverters in the electrical grid.
Babad, H. R.; Nokes, D. J.; Gay, N. J.; Miller, E.; Morgan-Capner, P.; Anderson, R. M.
1995-01-01
Measles incidence in England and Wales has fallen to an all-time low. Attention is now focused on preventing local outbreaks, and, in the long run, on the elimination of indigenous measles. A realistic age-structured (RAS) mathematical model of measles transmission is used to reconstruct the impact of measles vaccination in England and Wales from 1968 to the present and to evaluate the merits of future policy options. In general, the predictions of the model show good agreement with long-term age stratified case reports and seroprevalence surveys. The model underestimates the proportion of cases that are notified in 0-2-year-old children. However, recent work suggests a high degree of misdiagnosis in this age group. Projections on the basis of the existing vaccination strategy in the UK suggest that the present level of measles vaccine coverage will be insufficient to eliminate small seasonal outbreaks of measles. This result is, however, sensitive to the assumed level of vaccine efficacy. Explorations of a variety of changes to current vaccination strategy favour a 2-dose schedule with the second dose administered at age 4 years irrespective of vaccination history. A vaccination campaign in school-age children, to reduce deficits in herd immunity, would accelerate progress towards measles elimination. PMID:7705494
The Basic Economics of CD-ROM Pricing.
ERIC Educational Resources Information Center
Erkkila, John E.
1991-01-01
This explanation of how the basic economic model of pricing applies to the CD-ROM industry considers the supply and demand sides of the market and compares three distinct pricing strategies: (1) pricing to maximize profits; (2) average cost pricing; and (3) marginal cost pricing. (EAM)
NASA Astrophysics Data System (ADS)
Shah, Nita H.; Shah, Digeshkumar B.; Patel, Dushyantkumar G.
2015-07-01
This study aims at formulating an integrated supplier-buyer inventory model when market demand is variable price-sensitive trapezoidal and the supplier offers a choice between discount in unit price and permissible delay period for settling the accounts due against the purchases made. This type of trade credit is termed as 'net credit'. In this policy, if the buyer pays within offered time M1, then the buyer is entitled for a cash discount; otherwise the full account must be settled by the time M2; where M2 > M1 ⩾ 0. The goal is to determine the optimal selling price, procurement quantity, number of transfers from the supplier to the buyer and payment time to maximise the joint profit per unit time. An algorithm is worked out to obtain the optimal solution. A numerical example is given to validate the proposed model. The managerial insights based on sensitivity analysis are deduced.
NASA Astrophysics Data System (ADS)
Nisa Fadlilah F., I.; Mukhaiyar, Utriweni; Fahmi, Fauzia
2015-12-01
The observations at a certain location may be linearly influenced by the previous times of observations at that location and neighbor locations, which could be analyzed by Generalized STAR(1,1). In this paper, the weekly red-chili prices secondary-data of five main traditional markets in Bandung are used as case study. The purpose of GSTAR(1,1) model is to forecast the next time red-chili prices at those markets. The model is identified by sample space-time ACF and space-time PACF, and model parameters are estimated by least square estimation method. Theoretically, the errors' independency assumption could simplify the parameter estimation's problem. However, practically that assumption is hard to satisfy since the errors may be correlated each other's. In red-chili prices modeling, it is considered that the process has time-correlated errors, i.e. martingale difference process, instead of follow normal distribution. Here, we do some simulations to investigate the behavior of errors' assumptions. Although some of results show that the behavior of the errors' model are not always followed the martingale difference process, it does not corrupt the goodness of GSTAR(1,1) model to forecast the red-chili prices at those five markets.
Essays on price dynamics and consumer search
NASA Astrophysics Data System (ADS)
Lewis, Matthew Stephen
It has been documented that retail gasoline prices respond more quickly to increases in wholesale price than to decreases. However, there is very little theoretical or empirical evidence identifying the market characteristics responsible for this behavior. Chapter 2 presents a new theoretical model of asymmetric adjustment that empirically matches observed retail gasoline price behavior better than previously suggested explanations. I develop a "reference price" consumer search model that assumes consumers' expectations of prices are based on prices observed during previous purchases. The model predicts that consumers search less when prices are falling. This reduced search results in higher profit margins and therefore causes a slower price response to cost decreases than to cost increases. Chapter 3 discusses the robustness of some of the important assumptions of the reference price search model, and describes the effects of altering these assumptions. Chapter 4 develops testable implications that distinguish my model from two alternative explanations of asymmetric adjustment. The first is a model in which firms temporarily collude using past prices as a focal price. The second theory suggests that increases in wholesale cost volatility reduce consumer search behavior. Using a panel of gas station prices, I estimate the response pattern of prices to a change in costs. Estimates are consistent with the predictions of the reference price search model and contradict the previously suggested explanations of asymmetric price adjustment. Chapter 5 examines the empirical fact that price response varies depending on the current level of profit margins. This fact is contrasted with the common empirical observation that response differs based on the direction of the change in cost. I go on to document that this relationship between price response and margins is observed in gasoline markets across the country.
Process Options Description for Steam Reforming Flowsheet Model of INEEL Tank Farm Waste
Taylor, D.D.; Barnes, C.M.; Nichols, T.T.
2002-05-21
Technical information is provided herein that is required for development of a steady-state process simulation of a baseline steam reforming treatment train for Tank Farm waste at the Idaho National Engineering and Environmental Laboratory (INEEL). This document supercedes INEEL/EXT-2001-173, produced in FY2001 to support simulation of the direct vitrification treatment train which was the previous process baseline. A process block flow diagram for steam reforming is provided, together with a list of unit operations which constitute the process. A detailed description of each unit operation is given which includes its purpose, principal phenomena present, expected pressure and temperature ranges, key chemical species in the inlet steam, and the proposed manner in which the unit operation is to be modeled in the steady state process simulation. Models for the unit operations may be mechanistic (based on first principles), empirical (based solely on pilot test data without extrapolation) , or by correlations (based on extrapolative or statistical schemes applied to pilot test data). Composition data for the expected process feed streams is provided.
Sitzenfrei, R; Rauch, W
2014-01-01
The impact of climate change, water scarcity, land use change, population growth and also population shrinking can only be predicted with uncertainties. Especially for assets with a long planning horizon this is a critical part for planning and design. One solution is to make centralized organized water infrastructure with a long-planning horizon resilient and adaptive. For existing centralized infrastructure such a transition would be to increasingly implement decentralized measures. But such a transition can cause severe impacts on existing centralized infrastructure. Low flow conditions in urban drainage systems can cause sediment deposition, and for water supply systems water age problems may occur. This work focuses on city-scale analysis for assessing the impact of such measures. For that a coupled model for integrated city-scale analysis is applied and further developed. In addition, a geographic information system (GIS)-based approach for sensitivity analysis is enhanced and also implemented in that model. The developed approach is applied to assess the water infrastructure of an alpine case study. With the obtained results it is demonstrated how the planning process is enhanced by indicating where and where not to implement decentralized measures in an existing water infrastructure. PMID:25500471
Assessment of management options in marine fisheries by qualitative modelling techniques.
Eisenack, K; Kropp, J
2001-01-01
An effective management of the rapidly dwindling marine fish resources is of great ecological, economic and social importance for the future. An over-development of commercial fisheries has brought about a multitude of negative environmental impacts, such as an accelerated exploitation of stocks or a decrease of marine biodiversity, and furthermore, a profound structural change in fish industry. However, the main reason for the non-prosperous rationing of marine resources is the lack of knowledge about certain processes as well as the non-availability of adequate steering instruments. This paper addresses the lack of conceptualization in the case of uncertain knowledge. It proposes a model approach which can be used for weak but improved decision support under the premise of vague knowledge. The usage of qualitative differential equations illustrates general patterns of overcapitalization of fishing fleets. The extension of traditional model approaches by integration of additional socio-economic phenomena in this context supplies deeper insights in the dynamics of a coupled economic and ecological system. The approach provides a set of characteristic system behaviours which can be fruitfully used for the development of future management tasks. PMID:11760187
Tee, James J L; Smith, Alexander J; Hardcastle, Alison J; Michaelides, Michel
2016-08-01
Retinitis pigmentosa GTPase regulator (RPGR) gene sequence variants account for the vast majority of X linked retinitis pigmentosa (RP), which is one of the most severe forms of RP. Symptoms of nyctalopia typically begin in childhood, with increasing loss of peripheral visual field during teenage years, and progressive central visual loss during the second to fourth decade of life. There is however marked intrafamilial and interfamilial phenotypic heterogeneity in affected males and carrier females. There is now a far greater understanding of the range of phenotypes associated with variants in this gene; including rod-cone dystrophy, cone-rod dystrophy, cone dystrophy, macular dystrophy and non-ocular phenotypes. There are also increasingly established genotype-phenotype associations and structure-function correlations. RPGR is involved in ciliary function, with ciliary dysfunction now recognised as the mechanism underlying a large proportion of inherited retinal disease. There has been significant progress in identifying naturally occurring animal models and developing novel models to define the underlying disease mechanisms and to test gene replacement therapy, in addition to advances in human retinal imaging, culminating in completed and planned clinical trials. These significant developments will be discussed. PMID:26843488
Process Options Description for Vitrification Flowsheet Model of INEEL Sodium Bearing Waste
Nichols, T.T.; Taylor, D.D.; Lauerhass, L.; Barnes, C.M.
2002-02-21
The technical information required for the development of a basic steady-state process simulation of the vitrification treatment train of sodium bearing waste (SBW) at Idaho National Engineering and Environmental Laboratory (INEEL) is presented. The objective of the modeling effort is to provide the predictive capability required to optimize an entire treatment train and assess system-wide impacts of local changes at individual unit operations, with the aim of reducing the schedule and cost of future process/facility design efforts. All the information required a priori for engineers to construct and link unit operation modules in a commercial software simulator to represent the alternative treatment trains is presented. The information is of a mid- to high-level nature and consists of the following: (1) a description of twenty-four specific unit operations--their operating conditions and constraints, primary species and key outputs, and the initial modeling approaches that will be used in the first year of the simulation's development; (2) three potential configurations of the unit operations (trains) and their interdependencies via stream connections; and (3) representative stream compositional makeups.
Evaluating dispersion modeling options to estimate methane emissions from grazing beef cattle.
McGinn, Sean M; Flesch, Thomas K; Coates, Trevor W; Charmley, Ed; Chen, Deli; Bai, Mei; Bishop-Hurley, Greg
2015-01-01
Enteric methane (CH) emission from cattle is a source of greenhouse gas and is an energy loss that contributes to production inefficiency for cattle. Direct measurements of enteric CH emissions are useful to quantify the magnitude and variation and to evaluate mitigation of this important greenhouse gas source. The objectives of this study were to evaluate the impact of stocking density of cattle and source configuration (i.e., point source vs. area source and elevation of area source) on CH emissions from grazing beef cattle in Queensland, Australia. This was accomplished using nonintrusive atmospheric measurements and a gas dispersion model. The average measured CH emission for the point and area source was between 240 and 250 g animal d over the entire study. There was no difference ( > 0.05) in emission when using an elevated area source (0.5 m) or a ground area source (0 m). For the point-source configuration, there was a difference in CH emission due to stocking density; likewise, some differences existed for the area-source emissions. This study demonstrates the flexibility of the area-source configuration of the dispersion model to estimate CH emissions even at a low stocking density. PMID:25602324
Model-Based Analysis of Electric Drive Options for Medium-Duty Parcel Delivery Vehicles: Preprint
Barnitt, R. A.; Brooker, A. D.; Ramroth, L.
2010-12-01
Medium-duty vehicles are used in a broad array of fleet applications, including parcel delivery. These vehicles are excellent candidates for electric drive applications due to their transient-intensive duty cycles, operation in densely populated areas, and relatively high fuel consumption and emissions. The National Renewable Energy Laboratory (NREL) conducted a robust assessment of parcel delivery routes and completed a model-based techno-economic analysis of hybrid electric vehicle (HEV) and plug-in hybrid electric vehicle configurations. First, NREL characterized parcel delivery vehicle usage patterns, most notably daily distance driven and drive cycle intensity. Second, drive-cycle analysis results framed the selection of drive cycles used to test a parcel delivery HEV on a chassis dynamometer. Next, measured fuel consumption results were used to validate simulated fuel consumption values derived from a dynamic model of the parcel delivery vehicle. Finally, NREL swept a matrix of 120 component size, usage, and cost combinations to assess impacts on fuel consumption and vehicle cost. The results illustrated the dependency of component sizing on drive-cycle intensity and daily distance driven and may allow parcel delivery fleets to match the most appropriate electric drive vehicle to their fleet usage profile.
NASA Astrophysics Data System (ADS)
Albersen, Peter J.; Houba, Harold E. D.; Keyzer, Michiel A.
A general approach is presented to value the stocks and flows of water as well as the physical structure of the basin on the basis of an arbitrary process-based hydrological model. This approach adapts concepts from the economic theory of capital accumulation, which are based on Lagrange multipliers that reflect market prices in the absence of markets. This permits to derive a financial account complementing the water balance in which the value of deliveries by the hydrological system fully balances with the value of resources, including physical characteristics reflected in the shape of the functions in the model. The approach naturally suggests the use of numerical optimization software to compute the multipliers, without the need to impose an immensely large number of small perturbations on the simulation model, or to calculate all derivatives analytically. A novel procedure is proposed to circumvent numerical problems in computation and it is implemented in a numerical application using AQUA, an existing model of the Upper-Zambezi River. It appears, not unexpectedly, that most end value accrues to agriculture. Irrigated agriculture receives a remarkably large share, and is by far the most rewarding activity. Furthermore, according to the model, the economic value would be higher if temperature was lower, pointing to the detrimental effect of climate change. We also find that a significant economic value is stored in the groundwater stock because of its critical role in the dry season. As groundwater comes out as the main capital of the basin, its mining could be harmful.
JSBML 1.0: providing a smorgasbord of options to encode systems biology models
Rodriguez, Nicolas; Thomas, Alex; Watanabe, Leandro; Vazirabad, Ibrahim Y.; Kofia, Victor; Gómez, Harold F.; Mittag, Florian; Matthes, Jakob; Rudolph, Jan; Wrzodek, Finja; Netz, Eugen; Diamantikos, Alexander; Eichner, Johannes; Keller, Roland; Wrzodek, Clemens; Fröhlich, Sebastian; Lewis, Nathan E.; Myers, Chris J.; Le Novère, Nicolas; Palsson, Bernhard Ø.; Hucka, Michael; Dräger, Andreas
2015-01-01
Summary: JSBML, the official pure Java programming library for the Systems Biology Markup Language (SBML) format, has evolved with the advent of different modeling formalisms in systems biology and their ability to be exchanged and represented via extensions of SBML. JSBML has matured into a major, active open-source project with contributions from a growing, international team of developers who not only maintain compatibility with SBML, but also drive steady improvements to the Java interface and promote ease-of-use with end users. Availability and implementation: Source code, binaries and documentation for JSBML can be freely obtained under the terms of the LGPL 2.1 from the website http://sbml.org/Software/JSBML. More information about JSBML can be found in the user guide at http://sbml.org/Software/JSBML/docs/. Contact: jsbml-development@googlegroups.com or andraeger@eng.ucsd.edu Supplementary information: Supplementary data are available at Bioinformatics online. PMID:26079347
Tradeoffs between Price and Quality: How a Value Index Affects Preference Formation.
ERIC Educational Resources Information Center
Creyer, Elizabeth H.; Ross, William T., Jr.
1997-01-01
Some of a group of 143 consumers were given a choice between higher-priced, higher-quality items and items with lower price and quality but higher value index (benefit/cost tradeoff); others were given price and quality information only. Consumers were more likely to choose lower-priced, higher-value options when the index information was…
Applying Real Options for Evaluating Investments in ERP Systems
NASA Astrophysics Data System (ADS)
Nakagane, Jun; Sekozawa, Teruji
This paper intends to verify effectiveness of real options approach for evaluating investments in Enterprise Resource Planning systems (ERP) and proves how important it is to disclose shadow options potentially embedded in ERP investment. The net present value (NPV) method is principally adopted to evaluate the value of ERP. However, the NPV method assumes no uncertainties exist in the object. It doesn't satisfy the current business circumstances which are filled with dynamic issues. Since the 1990s the effectiveness of option pricing models for Information System (IS) investment to solve issues in the NPV method has been discussed in the IS literature. This paper presents 3 business cases to review the practical advantages of such techniques for IS investments, especially ERP investments. The first case is EDI development. We evaluate the project by a new approach with lighting one of shadow options, EDI implementation. In the second case we reveal an ERP investment has an “expanding option” in a case of eliminating redundancy. The third case describes an option to contract which is deliberately slotted in ERP development to prepare transferring a manufacturing facility.
Modeling Measles Transmission in the North American Amish and Options for Outbreak Response.
Thompson, Kimberly M; Kisjes, Kasper H
2016-07-01
Measles outbreaks in the United States continue to occur in subpopulations with sufficient numbers of undervaccinated individuals, with a 2014 outbreak in Amish communities in Ohio pushing the annual cases to the highest national number reported in the last 20 years. We adapted an individual-based model developed to explore potential poliovirus transmission in the North American Amish to characterize a 1988 measles outbreak in the Pennsylvania Amish and the 2014 outbreak in the Ohio Amish. We explored the impact of the 2014 outbreak response compared to no or partial response. Measles can spread very rapidly in an underimmunized subpopulation like the North American Amish, with the potential for national spread within a year or so in the absence of outbreak response. Vaccination efforts significantly reduced the transmission of measles and the expected number of cases. Until global eradication, measles importations will continue to pose a threat to clusters of underimmunized individuals in the United States. Aggressive outbreak response efforts in Ohio probably prevented widespread transmission of measles within the entire North American Amish. PMID:26103154
Federal Register 2010, 2011, 2012, 2013, 2014
2012-05-07
... Securities Exchange Act Release No. 65875 (December 2, 2011), 76 FR 76783 (December 8, 2011) (SR-CBOE-2011..., expiration date, exercise style, and certain exercise prices. FLEX Options can be FLEX Index Options or...
Scholes, Shaun; Bajekal, Madhavi; Norman, Paul; O’Flaherty, Martin; Hawkins, Nathaniel; Kivimäki, Mika; Capewell, Simon; Raine, Rosalind
2013-01-01
Aims To estimate the number of coronary heart disease (CHD) deaths potentially preventable in England in 2020 comparing four risk factor change scenarios. Methods and Results Using 2007 as baseline, the IMPACTSEC model was extended to estimate the potential number of CHD deaths preventable in England in 2020 by age, gender and Index of Multiple Deprivation 2007 quintiles given four risk factor change scenarios: (a) assuming recent trends will continue; (b) assuming optimal but feasible levels already achieved elsewhere; (c) an intermediate point, halfway between current and optimal levels; and (d) assuming plateauing or worsening levels, the worst case scenario. These four scenarios were compared to the baseline scenario with both risk factors and CHD mortality rates remaining at 2007 levels. This would result in approximately 97,000 CHD deaths in 2020. Assuming recent trends will continue would avert approximately 22,640 deaths (95% uncertainty interval: 20,390-24,980). There would be some 39,720 (37,120-41,900) fewer deaths in 2020 with optimal risk factor levels and 22,330 fewer (19,850-24,300) in the intermediate scenario. In the worst case scenario, 16,170 additional deaths (13,880-18,420) would occur. If optimal risk factor levels were achieved, the gap in CHD rates between the most and least deprived areas would halve with falls in systolic blood pressure, physical inactivity and total cholesterol providing the largest contributions to mortality gains. Conclusions CHD mortality reductions of up to 45%, accompanied by significant reductions in area deprivation mortality disparities, would be possible by implementing optimal preventive policies. PMID:23936122
Balkema, A J; Preisig, H A; Otterpohl, R; Lambert, A J; Weijers, S R
2001-01-01
To enable decision makers to select sustainable wastewater treatment systems, insight into the sustainability of a wide variety of systems should be provided in a transparent way leaving room for adaptation and interpretation according to the local situation. To provide this insight a structured methodology comparing wastewater treatment systems with respect to sustainability is defined. Similar to life cycle assessment (LCA) three phases can be distinguished: (1) goal and scope definition, (2) inventory analysis, and (3) optimisation and results. In the goal and scope definition we set the system boundaries to include most of the water cycle and part of the food cycle. Furthermore, we defined a multi-disciplinary set of sustainability indicators including technical, economic, environmental, and socio-cultural aspects. In the inventory analysis these sustainability indicators are quantified using simple static models of wastewater unit operations. Selection of unit operations results in a model of a complete wastewater treatment system. In the optimisation phase the decision maker can weigh the different sustainability indicators and select sustainable options through integer programming. PMID:11385856
Code of Federal Regulations, 2012 CFR
2012-01-01
... 12 Banks and Banking 8 2012-01-01 2012-01-01 false Appendix H-Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices H Appendix H to Part 1022 Banks and Banking BUREAU OF CONSUMER FINANCIAL PROTECTION FAIR CREDIT REPORTING (REGULATION V) Pt. 1022, App. H Appendix H to Part...
Code of Federal Regulations, 2014 CFR
2014-01-01
... 12 Banks and Banking 8 2014-01-01 2014-01-01 false Appendix H-Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices H Appendix H to Part 1022 Banks and Banking BUREAU OF CONSUMER FINANCIAL PROTECTION FAIR CREDIT REPORTING (REGULATION V) Pt. 1022, App. H Appendix H to Part...
Code of Federal Regulations, 2013 CFR
2013-01-01
... 12 Banks and Banking 8 2013-01-01 2013-01-01 false Appendix H-Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices H Appendix H to Part 1022 Banks and Banking BUREAU OF CONSUMER FINANCIAL PROTECTION FAIR CREDIT REPORTING (REGULATION V) Pt. 1022, App. H Appendix H to Part...
Samuelson, P A
1971-02-01
Because a commodity like wheat can be carried forward from one period to the next, speculative arbitrage serves to link its prices at different points of time. Since, however, the size of the harvest depends on complicated probability processes impossible to forecast with certainty, the minimal model for understanding market behavior must involve stochastic processes. The present study, on the basis of the axiom that it is the expected rather than the known-for-certain prices which enter into all arbitrage relations and carryover decisions, determines the behavior of price as the solution to a stochastic-dynamic-programming problem. The resulting stationary time series possesses an ergodic state and normative properties like those often observed for real-world bourses. PMID:16591903
The equivalent martingale measure: an introduction to pricing using expectations.
Magdon-Ismail, M
2001-01-01
We provide a self contained introduction to the risk neutral or martingale approach to the pricing of financial derivatives, while assuming no financial background. This approach to pricing provides a rich source of problems ideally suited to the application of Monte Carlo methods, thus forming a bridge between computational finance and some of the well developed tools available to engineers and scientists. We illustrate the power of the martingale approach by using it to develop the price of the European call option using only elementary methods and briefly discuss the pricing of the American put option as well as interest rate derivatives. PMID:18249904
NASA Astrophysics Data System (ADS)
Wu, Feng
This dissertation contains three essays. In the first essay I use a volatility spillover model to find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices become more energy-driven as the ethanol gasoline consumption ratio increases. Based on this strong volatility link between crude oil and corn prices, a new cross hedging strategy for managing corn price risk using oil futures is examined and its performance studied. Results show that this cross hedging strategy provides only slightly better hedging performance compared to traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. The second essay studies the spillover effect of biofuel policy on participation in the Conservation Reserve Program. Landowners' participation decisions are modeled using a real options framework. A novel aspect of the model is that it captures the structural change in agriculture caused by rising biofuel production. The resulting model is used to simulate the spillover effect under various conditions. In particular, I simulate how increased growth in agricultural returns, persistence of the biofuel production boom, and the volatility surrounding agricultural returns, affect conservation program participation decisions. Policy implications of these results are also discussed. The third essay proposes a methodology to construct a risk-adjusted implied volatility measure that removes the forecasting bias of the model-free implied volatility measure. The risk adjustment is based on a closed
Watters, G M; Hill, S L; Hinke, J T; Matthews, J; Reid, K
2013-06-01
Decision-makers charged with implementing ecosystem-based management (EBM) rely on scientists to predict the consequences of decisions relating to multiple, potentially conflicting, objectives. Such predictions are inherently uncertain, and this can be a barrier to decision-making. The Convention on the Conservation of Antarctic Marine Living Resources requires managers of Southern Ocean fisheries to sustain the productivity of target stocks, the health and resilience of the ecosystem, and the performance of the fisheries themselves. The managers of the Antarctic krill fishery in the Scotia Sea and southern Drake Passage have requested advice on candidate management measures consisting of a regional catch limit and options for subdividing this among smaller areas. We developed a spatially resolved model that simulates krill-predator-fishery interactions and reproduces a plausible representation of past dynamics. We worked with experts and stakeholders to identify (1) key uncertainties affecting our ability to predict ecosystem state; (2) illustrative reference points that represent the management objectives; and (3) a clear and simple way of conveying our results to decision-makers. We developed four scenarios that bracket the key uncertainties and evaluated candidate management measures in each of these scenarios using multiple stochastic simulations. The model emphasizes uncertainty and simulates multiple ecosystem components relating to diverse objectives. We summarize the potentially complex results as estimates of the risk that each illustrative objective will not be achieved (i.e., of the state being outside the range specified by the reference point). This approach allows direct comparisons between objectives. It also demonstrates that a candid appraisal of uncertainty, in the form of risk estimates, can be an aid, rather than a barrier, to understanding and using ecosystem model predictions. Management measures that reduce coastal fishing, relative to
Crabbe, M J C
2009-12-01
Climate change will have serious effects on the planet and on its ecosystems. Currently, mitigation efforts are proving ineffectual in reducing anthropogenic CO2 emissions. Coral reefs are the most sensitive ecosystems on the planet to climate change, and here we review modelling a number of geoengineering options, and their potential influence on coral reefs. There are two categories of geoengineering, shortwave solar radiation management and longwave carbon dioxide removal. The first set of techniques only reduce some, but not all, effects of climate change, while possibly creating other problems. They also do not affect CO2 levels and therefore fail to address the wider effects of rising CO2, including ocean acidification, important for coral reefs. Solar radiation is important to coral growth and survival, and solar radiation management is not in general appropriate for this ecosystem. Longwave carbon dioxide removal techniques address the root cause of climate change, rising CO2 concentrations, they have relatively low uncertainties and risks. They are worthy of further research and potential implementation, particularly carbon capture and storage, biochar, and afforestation methods, alongside increased mitigation of atmospheric CO2 concentrations. PMID:19850527
Analysis of housing price by means of STAR models with neighbourhood effects: a Bayesian approach
NASA Astrophysics Data System (ADS)
Beamonte, Asuncion; Gargallo, Pilar; Salvador, Manuel
2010-06-01
In this paper, we extend the Bayesian methodology introduced by Beamonte et al. (Stat Modelling 8:285-311, 2008) for the estimation and comparison of spatio-temporal autoregressive models (STAR) with neighbourhood effects, providing a more general treatment that uses larger and denser nets for the number of spatial and temporal influential neighbours and continuous distributions for their smoothing weights. This new treatment also reduces the computational time and the RAM necessities of the estimation algorithm in Beamonte et al. (Stat Modelling 8:285-311, 2008). The procedure is illustrated by an application to the Zaragoza (Spain) real estate market, improving the goodness of fit and the outsampling behaviour of the model thanks to a more flexible estimation of the neighbourhood parameters.
NASA policy on pricing shuttle launch services
NASA Technical Reports Server (NTRS)
Smith, J. M.
1977-01-01
The paper explains the rationale behind key elements of the pricing policy for STS, the major features of the non-government user policy, and some of the stimulating features of the policy which will open space to a wide range of new users. Attention is given to such major policy features as payment schedule, cost and standard services, the two phase pricing structure, optional services, shared flights, cancellation and postponement, and earnest money.
Analysis of the Pricing Process in Electricity Market using Multi-Agent Model
NASA Astrophysics Data System (ADS)
Shimomura, Takahiro; Saisho, Yuichi; Fujii, Yasumasa; Yamaji, Kenji
Many electric utilities world-wide have been forced to change their ways of doing business, from vertically integrated mechanisms to open market systems. We are facing urgent issues about how we design the structures of power market systems. In order to settle down these issues, many studies have been made with market models of various characteristics and regulations. The goal of modeling analysis is to enrich our understanding of fundamental process that may appear. However, there are many kinds of modeling methods. Each has drawback and advantage about validity and versatility. This paper presents two kinds of methods to construct multi-agent market models. One is based on game theory and another is based on reinforcement learning. By comparing the results of the two methods, they can advance in validity and help us figure out potential problems in electricity markets which have oligopolistic generators, demand fluctuation and inelastic demand. Moreover, this model based on reinforcement learning enables us to consider characteristics peculiar to electricity markets which have plant unit characteristics, seasonable and hourly demand fluctuation, real-time regulation market and operating reserve market. This model figures out importance of the share of peak-load-plants and the way of designing operating reserve market.
Aguilar, I; Tsuruta, S; Misztal, I
2010-06-01
Data included 90,242,799 test day records from first, second and third parities of 5,402,484 Holstein cows and 9,326,754 animals in the pedigree. Additionally, daily temperature humidity indexes (THI) from 202 weather stations were available. The fixed effects included herd test day, age at calving, milking frequency and days in milk classes (DIM). Random effects were additive genetic, permanent environment and herd-year and were fit as random regressions. Covariates included linear splines with four knots at 5, 50, 200 and 305 DIM and a function of THI. Mixed model equations were solved using an iteration on data program with a preconditioned conjugate gradient algorithm. Preconditioners used were diagonal (D), block diagonal due to traits (BT) and block diagonal due to traits and correlated effects (BTCORR). One run included BT with a 'diagonalized' model in which the random effects were reparameterized for diagonal (co)variance matrices among traits (BTDIAG). Memory requirements were 8.7 Gb for D, 10.4 Gb for BT and BTDIAG, and 24.3 Gb for BTCORR. Computing times (rounds) were 14 days (952) for D, 10.7 days (706) for BT, 7.7 days (494) for BTDIAG and 4.6 days (289) for BTCORR. The convergence pattern was strongly influenced by the choice of fixed effects. When sufficient memory is available, the option BTCORR is the fastest and simplest to implement; the next efficient method, BTDIAG, requires additional steps for diagonalization and back-diagonalization. PMID:20536641
Third-Degree Price Discrimination Revisited
ERIC Educational Resources Information Center
Kwon, Youngsun
2006-01-01
The author derives the probability that price discrimination improves social welfare, using a simple model of third-degree price discrimination assuming two independent linear demands. The probability that price discrimination raises social welfare increases as the preferences or incomes of consumer groups become more heterogeneous. He derives the…
Oil price: Endless ability to surprise
NASA Astrophysics Data System (ADS)
Manzano, Baltasar
2016-05-01
Economic agents have varying expectations on oil price fluctuations that play an important role in determining the timing and magnitude of oil price shocks. A study now shows that heterogeneous expectations should be included when modelling oil price shocks to grasp their impact on macroeconomic outcomes and energy policies.
Invariance in the recurrence of large returns and the validation of models of price dynamics
NASA Astrophysics Data System (ADS)
Chang, Lo-Bin; Geman, Stuart; Hsieh, Fushing; Hwang, Chii-Ruey
2013-08-01
Starting from a robust, nonparametric definition of large returns (“excursions”), we study the statistics of their occurrences, focusing on the recurrence process. The empirical waiting-time distribution between excursions is remarkably invariant to year, stock, and scale (return interval). This invariance is related to self-similarity of the marginal distributions of returns, but the excursion waiting-time distribution is a function of the entire return process and not just its univariate probabilities. Generalized autoregressive conditional heteroskedasticity (GARCH) models, market-time transformations based on volume or trades, and generalized (Lévy) random-walk models all fail to fit the statistical structure of excursions.
JSTOR: The Development of a Cost-Driven, Value-Based Pricing Model.
ERIC Educational Resources Information Center
Guthrie, Kevin M.
JSTOR (Journal STORage project) began as a project of The Andrew W. Mellon Foundation designed to help libraries address growing persistent space problems. JSTOR was established as an independent not-for-profit organization with its own Board of Trustees in August 1995. This paper summarizes how JSTOR's economic model was developed, lessons…
Solar PV Manufacturing Cost Model Group: Installed Solar PV System Prices (Presentation)
Goodrich, A. C.; Woodhouse, M.; James, T.
2011-02-01
EERE's Solar Energy Technologies Program is charged with leading the Secretary's SunShot Initiative to reduce the cost of electricity from solar by 75% to be cost competitive with conventional energy sources without subsidy by the end of the decade. As part of this Initiative, the program has funded the National Renewable Energy Laboratory (NREL) to develop module manufacturing and solar PV system installation cost models to ensure that the program's cost reduction targets are carefully aligned with current and near term industry costs. The NREL cost analysis team has leveraged the laboratories' extensive experience in the areas of project finance and deployment, as well as industry partnerships, to develop cost models that mirror the project cost analysis tools used by project managers at leading U.S. installers. The cost models are constructed through a "bottoms-up" assessment of each major cost element, beginning with the system's bill of materials, labor requirements (type and hours) by component, site-specific charges, and soft costs. In addition to the relevant engineering, procurement, and construction costs, the models also consider all relevant costs to an installer, including labor burdens and overhead rates, supply chain costs, and overhead and materials inventory costs, and assume market-specific profits.
Implied adjusted volatility functions: Empirical evidence from Australian index option market
NASA Astrophysics Data System (ADS)
Harun, Hanani Farhah; Hafizah, Mimi
2015-02-01
This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuation accuracy. The implied adjusted volatility is investigated in the context of Standard and Poor/Australian Stock Exchange (S&P/ASX) 200 index options over the course of 2001-2010, which covers the global financial crisis in the mid-2007 until the end of 2008. Both in- and out-of-sample resulted in approximately similar pricing error along the different Leland models. Results indicate that symmetric and asymmetric models of both moneyness ratio and logarithmic transformation of moneyness provide the overall best result in both during and post-crisis periods. We find that in the different period of interval (pre-, during and post-crisis) is subject to a different implied adjusted volatility function which best explains the index options. Hence, it is tremendously important to identify the intervals beforehand in investigating the implied adjusted volatility function.
Statistical techniques for modeling extreme price dynamics in the energy market
NASA Astrophysics Data System (ADS)
Mbugua, L. N.; Mwita, P. N.
2013-02-01
Extreme events have large impact throughout the span of engineering, science and economics. This is because extreme events often lead to failure and losses due to the nature unobservable of extra ordinary occurrences. In this context this paper focuses on appropriate statistical methods relating to a combination of quantile regression approach and extreme value theory to model the excesses. This plays a vital role in risk management. Locally, nonparametric quantile regression is used, a method that is flexible and best suited when one knows little about the functional forms of the object being estimated. The conditions are derived in order to estimate the extreme value distribution function. The threshold model of extreme values is used to circumvent the lack of adequate observation problem at the tail of the distribution function. The application of a selection of these techniques is demonstrated on the volatile fuel market. The results indicate that the method used can extract maximum possible reliable information from the data. The key attraction of this method is that it offers a set of ready made approaches to the most difficult problem of risk modeling.
The accelerated growth in biofuels markets has both created and reinforced linkages between agricultural and energy markets. This study investigates the dynamics in agricultural and biofuel markets under alternative price scenarios for both crude oil and natural gas. Two energy ...
Systems, not pills: The options market for antibiotics seeks to rejuvenate the antibiotic pipeline.
Brogan, David M; Mossialos, Elias
2016-02-01
Over the past decade, there has been a growing recognition of the increasing growth of antibiotic resistant bacteria and a relative decline in the production of novel antibacterial therapies. The combination of these two forces poses a potentially grave threat to global health, in both developed and developing countries. Current market forces do not provide appropriate incentives to stimulate new antibiotic development, thus we propose a new incentive mechanism: the Options Market for Antibiotics. This mechanism, modelled on the principle of financial call options, allows payers to buy the right, in early stages of development, to purchase antibiotics at a discounted price if and when they ever make it to market approval. This paper demonstrates the effect of such a model on the expected Net Present Value of a typical antibacterial project. As part of an integrated strategy to confront the impending antibiotic crisis, the Options Market for Antibiotics may effectively stimulate corporate and public investment into antibiotic research and development. PMID:26808335
NASA Astrophysics Data System (ADS)
Hu, Haixin
This dissertation consists of two parts. The first part studies the sample selection and spatial models of housing price index using transaction data on detached single-family houses of two California metropolitan areas from 1990 through 2008. House prices are often spatially correlated due to shared amenities, or when the properties are viewed as close substitutes in a housing submarket. There have been many studies that address spatial correlation in the context of housing markets. However, none has used spatial models to construct housing price indexes at zip code level for the entire time period analyzed in this dissertation to the best of my knowledge. In this paper, I study a first-order autoregressive spatial model with four different weighing matrix schemes. Four sets of housing price indexes are constructed accordingly. Gatzlaff and Haurin (1997, 1998) study the sample selection problem in housing index by using Heckman's two-step method. This method, however, is generally inefficient and can cause multicollinearity problem. Also, it requires data on unsold houses in order to carry out the first-step probit regression. Maximum likelihood (ML) method can be used to estimate a truncated incidental model which allows one to correct for sample selection based on transaction data only. However, convergence problem is very prevalent in practice. In this paper I adopt Lewbel's (2007) sample selection correction method which does not require one to model or estimate the selection model, except for some very general assumptions. I then extend this method to correct for spatial correlation. In the second part, I analyze the U.S. gasoline market with a disequilibrium model that allows lagged-latent variables, endogenous prices, and panel data with fixed effects. Most existing studies (see the survey of Espey, 1998, Energy Economics) of the gasoline market assume equilibrium. In practice, however, prices do not always adjust fast enough to clear the market
Nonrenewable resource extraction under discontinuous price policy
Kalt, J.P.; Otten, A.L.
1985-01-01
Temporal discontinuities in public policy with respect to nonrenewable resource pricing can have significant impacts on the time patterns of resource extraction. These impacts arise from the effect of price discontinuities on the relative values of Hotelling rents across time periods. Whether faced with intertemporal price continuity or price discontinuity, the planning task of the wealth-maximizing producer is to equate the present value of each period's marginal contribution to the stream of net revenues from production across time. This rule for extraction provides the key to understanding the response to a price jump such as occurs upon the removal of price controls. The rational producer holds back at least some output until the price jump occurs. At the moment, the producer pushes output up sharply, raising marginal extraction cost by the absolute amount of the price jump and, thereby, maintaining the value of the Hotelling rent given by the gap between price and marginal extraction cost. US natural gas policy options, as well as plausible alternatives, are simulated to illustrate the effects of discontinuous regulatory regimes. 15 references, 1 table.
Bohi, D.R.
1983-01-01
It is common, though debatable, to model the world oil market as some form of a producer cartel that administers oil prices. In this context, the central question is what motivates the cartel to change prices and output. The answer is only partially given by presuming that producers seek to optimize the stream of earnings over time. Aside from complexities introduced by differences in discount rates and objective functions across producers, there is still the question of determining what the market will bear. A simple and popular explanation is that the cartel has been guided by changes in prices in spot markets. In this report, the author casts doubt on the importance of spot market prices in determining OPEC selling prices, and indeed on the proposition that OPEC price increases are administered rather than market induced. These observations are drawn from an examination of inventory and price behavior during the after the price shock of 1979. Although an alternative explanation of the 1979 experience is advanced, the primary message of this paper is that caution is advisable in accepting prevailing interpretations of how the market works. The ready corollary of this conclusion is that policies for mitigating harm during a disruption should be robust across a range of possible formulation processes. 14 refs., 6 figs., 1 tab.
Evaluation of Foreign Investment in Power Plants using Real Options
NASA Astrophysics Data System (ADS)
Kato, Moritoshi; Zhou, Yicheng
This paper proposes new methods for evaluating foreign investment in power plants under market uncertainty using a real options approach. We suppose a thermal power plant project in a deregulated electricity market. One of our proposed methods is that we calculate the cash flow generated by the project in a reference year using actual market data to incorporate periodic characteristics of energy prices into a yearly cash flow model. We make the stochastic yearly cash flow model with the initial value which is the cash flow in the reference year, and certain trend and volatility. Then we calculate the real options value (ROV) of the project which has abandonment options using the yearly cash flow model. Another our proposed method is that we evaluate foreign currency/domestic currency exchange rate risk by representing ROV in foreign currency as yearly pay off and exchanging it to ROV in domestic currency using a stochastic exchange rate model. We analyze the effect of the heat rate and operation and maintenance costs of the power plant on ROV, and evaluate exchange rate risk through numerical examples. Our proposed method will be useful for the risk management of foreign investment in power plants.
Rao, Mayuree; Afshin, Ashkan; Singh, Gitanjali; Mozaffarian, Dariush
2013-01-01
Objective To conduct a systematic review and meta-analysis of prices of healthier versus less healthy foods/diet patterns while accounting for key sources of heterogeneity. Data sources MEDLINE (2000–2011), supplemented with expert consultations and hand reviews of reference lists and related citations. Design Studies reviewed independently and in duplicate were included if reporting mean retail price of foods or diet patterns stratified by healthfulness. We extracted, in duplicate, mean prices and their uncertainties of healthier and less healthy foods/diet patterns and rated the intensity of health differences for each comparison (range 1–10). Prices were adjusted for inflation and the World Bank purchasing power parity, and standardised to the international dollar (defined as US$1) in 2011. Using random effects models, we quantified price differences of healthier versus less healthy options for specific food types, diet patterns and units of price (serving, day and calorie). Statistical heterogeneity was quantified using I2 statistics. Results 27 studies from 10 countries met the inclusion criteria. Among food groups, meats/protein had largest price differences: healthier options cost $0.29/serving (95% CI $0.19 to $0.40) and $0.47/200 kcal ($0.42 to $0.53) more than less healthy options. Price differences per serving for healthier versus less healthy foods were smaller among grains ($0.03), dairy (−$0.004), snacks/sweets ($0.12) and fats/oils ($0.02; p<0.05 each) and not significant for soda/juice ($0.11, p=0.64). Comparing extremes (top vs bottom quantile) of food-based diet patterns, healthier diets cost $1.48/day ($1.01 to $1.95) and $1.54/2000 kcal ($1.15 to $1.94) more. Comparing nutrient-based patterns, price per day was not significantly different (top vs bottom quantile: $0.04; p=0.916), whereas price per 2000 kcal was $1.56 ($0.61 to $2.51) more. Adjustment for intensity of differences in healthfulness yielded similar results. Conclusions
Federal Register 2010, 2011, 2012, 2013, 2014
2010-11-16
...). \\2\\ 17 CFR 240.19b-4. \\3\\ Securities Exchange Act Release No. 61820 (Apr. 1, 2010), 75 FR 17805. II... Proposed Rule Change Relating to Cash- Settled Foreign Currency Options With One-Cent Exercise Prices... cleared as securities options notwithstanding that they may have a nominal exercise price such as one...
Price controls and international petroleum product prices
Deacon, R.T.; Mead, W.J.; Agarwal, V.B.
1980-02-01
The effects of Federal refined-product price controls upon the price of motor gasoline in the United States through 1977 are examined. A comparison of domestic and foreign gasoline prices is made, based on the prices of products actually moving in international trade. There is also an effort to ascribe US/foreign market price differentials to identifiable cost factors. Primary emphasis is on price comparisons at the wholesale level, although some retail comparisons are presented. The study also examines the extent to which product price controls are binding, and attempts to estimate what the price of motor gasoline would have been in the absence of controls. The time period under consideration is from 1969 through 1977, with primary focus on price relationships in 1970-1971 (just before US controls) and 1976-1977. The foreign-domestic comparisons are made with respect to four major US cities, namely, Boston, New York, New Orleans, and Los Angeles. 20 figures, 14 tables.
NASA Astrophysics Data System (ADS)
Maitani, Tatsuyuki; Tezuka, Tetsuo
The electric power market of Japan has been locally monopolized for a long time. But, like many countries, Japan is moving forward with the deregulation of its electric power industry so that any power generation company could sell electric power in the market. The power price, however, will fluctuate inevitably to balance the power supply and demand. A new appropriate market design is indispensable when introducing new market mechanisms in the electric power market to avoid undesirable results of the market. The first stage of deregulation will be the competition between an existing large-scaled power utility and a new power generation company. In this paper we have investigated the wholesale market with competition of these two power companies based on a simulation model approach. Under the competitive situation the effects of exogenous disturbance may bring serious results and we estimated the influence on the market when the price of fossil fuel rises. The conclusion of this study is that several types of Nash equilibriums have been found in the market: the larger the new power generation company becomes, the higher the electricity price under the Nash equilibriums rises. Because of the difference in their structure of generation capacity, the existing large-scaled power utility gets more profit while the new power generation company loses its profit when the price of fossil fuel rises.
Bentolila, Laurent A.; Prakash, Roshini; Mihic-Probst, Daniela; Wadehra, Madhuri; Kleinman, Hynda K.; Carmichael, Thomas S.; Péault, Bruno; Barnhill, Raymond L.; Lugassy, Claire
2016-01-01
Angiotropism/pericytic mimicry and vascular co-option involve tumor cell interactions with the abluminal vascular surface. These two phenomena may be closely related. However, investigations of the two processes have developed in an independent fashion and different explanations offered as to their biological nature. Angiotropism describes the propensity of tumor cells to spread distantly via continuous migration along abluminal vascular surfaces, or extravascular migratory metastasis (EVMM). Vascular co-option has been proposed as an alternative mechanism by which tumors cells may gain access to a blood supply. We have used a murine brain melanoma model to analyze the interactions of GFP human melanoma cells injected into the mouse brain with red fluorescent lectin-labeled microvascular channels. Results have shown a striking spread of melanoma cells along preexisting microvascular channels and features of both vascular co-option and angiotropism/pericytic mimicry. This study has also documented the perivascular expression of Serpin B2 by angiotropic melanoma cells in the murine brain and in human melanoma brain metastases. Our findings suggest that vascular co-option and angiotropism/pericytic mimicry are closely related if not identical processes. Further studies are needed in order to establish whether EVMM is an alternative form of cancer metastasis in addition to intravascular cancer dissemination. PMID:27048955
Bentolila, Laurent A; Prakash, Roshini; Mihic-Probst, Daniela; Wadehra, Madhuri; Kleinman, Hynda K; Carmichael, Thomas S; Péault, Bruno; Barnhill, Raymond L; Lugassy, Claire
2016-01-01
Angiotropism/pericytic mimicry and vascular co-option involve tumor cell interactions with the abluminal vascular surface. These two phenomena may be closely related. However, investigations of the two processes have developed in an independent fashion and different explanations offered as to their biological nature. Angiotropism describes the propensity of tumor cells to spread distantly via continuous migration along abluminal vascular surfaces, or extravascular migratory metastasis (EVMM). Vascular co-option has been proposed as an alternative mechanism by which tumors cells may gain access to a blood supply. We have used a murine brain melanoma model to analyze the interactions of GFP human melanoma cells injected into the mouse brain with red fluorescent lectin-labeled microvascular channels. Results have shown a striking spread of melanoma cells along preexisting microvascular channels and features of both vascular co-option and angiotropism/pericytic mimicry. This study has also documented the perivascular expression of Serpin B2 by angiotropic melanoma cells in the murine brain and in human melanoma brain metastases. Our findings suggest that vascular co-option and angiotropism/pericytic mimicry are closely related if not identical processes. Further studies are needed in order to establish whether EVMM is an alternative form of cancer metastasis in addition to intravascular cancer dissemination. PMID:27048955
Payment and Pricing Plans: Survey Identifies Most Common Practices.
ERIC Educational Resources Information Center
Young, David M.; And Others
1996-01-01
A survey of 787 colleges and universities investigated institutions' payment and pricing practices designed to attract and retain students. Issues examined include acceptance of credit cards, cash discounts, prepayment options, differential pricing based on credits or programs, and the rationales for and results of the policies. Results reflect…
Uranium price forecasting methods
Fuller, D.M.
1994-03-01
This article reviews a number of forecasting methods that have been applied to uranium prices and compares their relative strengths and weaknesses. The methods reviewed are: (1) judgemental methods, (2) technical analysis, (3) time-series methods, (4) fundamental analysis, and (5) econometric methods. Historically, none of these methods has performed very well, but a well-thought-out model is still useful as a basis from which to adjust to new circumstances and try again.
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2011 CFR
2011-01-01
... 7 Agriculture 9 2011-01-01 2011-01-01 false Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors...
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2010 CFR
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors...
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2012 CFR
2012-01-01
... 7 Agriculture 9 2012-01-01 2012-01-01 false Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors...
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2014 CFR
2014-01-01
... 7 Agriculture 9 2014-01-01 2013-01-01 true Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors...
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2013 CFR
2013-01-01
... 7 Agriculture 9 2013-01-01 2013-01-01 false Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors...
NASA Astrophysics Data System (ADS)
Challinor, A. J.
2010-12-01
standard deviations below the mean comes from alleviation of heat stress. The socio-economic analysis suggests that adaptation is also possible through measures such as greater investment. India. The simulations of groundnut in India identified regions where heat stress will play an increasing role in limiting crop yields, and other regions where crops with greater thermal time requirement will be needed. The simulations were used, together with an observed dataset and a simple analysis of crop cardinal temperatures and thermal time, to estimate the potential for adaptation using existing cultivars. USA. Analysis of spring wheat in the USA showed that at +2oC of local warming, 87% of the 2711 varieties examined, and all of the five most common varieties, could be used to maintain the crop duration of the current climate (i.e. successful adaptation to mean warming). At +4o this fell to 54% of all varieties, and two of the top five. 4. Future research. The results, and the limitations of the study, suggest directions for research to link climate and crop models, socio-economic analyses and crop variety trial data in order to prioritise adaptation options such as capacity building, plant breeding and biotechnology.
[Drug prices: how they are established and existing price control systems].
Rovira Forns, Joan
2015-03-01
Price is one of the main barriers of access to medicines. It is therefore important to understand how prices are formed and what factors determine the amount, as well as what interventions and regulations are the most appropriate considering their effects on access, innovation, local production and other potential objectives of drug policy. Economic analysis has developed a set of market models that can explain the behavior of prices, although actual markets diverge substantially from the theoretical models. Price regulation is justified by the so-called "market failures." Price regulation based on the cost of production, the most traditional form of price control, has fallen into disuse in favor of systems of international reference pricing and value-based pricing. PMID:25853829
Customer Strategies for Responding to Day-Ahead Market HourlyElectricity Pricing
Goldman, Chuck; Hopper, Nicole; Bharvirkar, Ranjit; Neenan,Bernie; Boisvert, Dick; Cappers, Peter; Pratt, Donna; Butkins, Kim
2005-08-25
Real-time pricing (RTP) has been advocated as an economically efficient means to send price signals to customers to promote demand response (DR) (Borenstein 2002, Borenstein 2005, Ruff 2002). However, limited information exists that can be used to judge how effectively RTP actually induces DR, particularly in the context of restructured electricity markets. This report describes the second phase of a study of how large, non-residential customers' adapted to default-service day-ahead hourly pricing. The customers are located in upstate New York and served under Niagara Mohawk, A National Grid Company (NMPC)'s SC-3A rate class. The SC-3A tariff is a type of RTP that provides firm, day-ahead notice of hourly varying prices indexed to New York Independent System Operator (NYISO) day-ahead market prices. The study was funded by the California Energy Commission (CEC)'s PIER program through the Demand Response Research Center (DRRC). NMPC's is the first and longest-running default-service RTP tariff implemented in the context of retail competition. The mix of NMPC's large customers exposed to day-ahead hourly prices is roughly 30% industrial, 25% commercial and 45% institutional. They have faced periods of high prices during the study period (2000-2004), thereby providing an opportunity to assess their response to volatile hourly prices. The nature of the SC-3A default service attracted competitive retailers offering a wide array of pricing and hedging options, and customers could also participate in demand response programs implemented by NYISO. The first phase of this study examined SC-3A customers' satisfaction, hedging choices and price response through in-depth customer market research and a Constant Elasticity of Substitution (CES) demand model (Goldman et al. 2004). This second phase was undertaken to answer questions that remained unresolved and to quantify price response to a higher level of granularity. We accomplished these objectives with a second customer
NASA Astrophysics Data System (ADS)
Wang, Mulan Xiaofeng
My dissertation concentrates on several aspects of supply chain management and economic valuation of real options in the natural gas and liquefied natural gas (LNG) industry, including gas pipeline transportations, ocean LNG shipping logistics, and downstream storage. Chapter 1 briefly introduces the natural gas and LNG industries, and the topics studied in this thesis. Chapter 2 studies how to value U.S. natural gas pipeline network transport contracts as real options. It is common for natural gas shippers to value and manage contracts by simple adaptations of financial spread option formulas that do not fully account for the implications of the capacity limits and the network structure that distinguish these contracts. In contrast, we show that these operational features can be fully captured and integrated with financial considerations in a fairly easy and managerially significant manner by a model that combines linear programming and simulation. We derive pathwise estimators for the so called deltas and structurally characterize them. We interpret them in a novel fashion as discounted expectations, under a specific weighing distribution, of the amounts of natural gas to be procured/marketed when optimally using pipeline capacity. Based on the actual prices of traded natural gas futures and basis swaps, we show that an enhanced version of the common approach employed in practice can significantly underestimate the true value of natural gas pipeline network capacity. Our model also exhibits promising financial (delta) hedging performance. Thus, this model emerges as an easy to use and useful tool that natural gas shippers can employ to support their valuation and delta hedging decisions concerning natural gas pipeline network transport capacity contracts. Moreover, the insights that follow from our data analysis have broader significance and implications in terms of the management of real options beyond our specific application. Motivated by current developments
Options contracts in the nuclear fuel industry
Fuller, D.M.
1995-04-01
This article discusses options trading in the nuclear fuels industry. Although there now exists no formal options market in the nuclear industry, flexibilities, or embedded options, are actually quite common in the long-term supply contracts. The value of these flexibilities can be estimated by applying the methods used to evaluate options. The method used is the Black-Scholes Model, and it is applied to a number of examples.