Science.gov

Sample records for option pricing model

  1. 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.

  2. Pricing Options.

    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…

  3. 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.

  4. 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.

  5. A new logistic-type model for pricing European options.

    PubMed

    Londoño, Jaime A; Sandoval, Javier

    2015-01-01

    We propose a family of models for the evolution of the price process [Formula: see text] of a financial market. We model share price and volatility using a two-dimensional system of stochastic differential equations (SDEs) driven by a single Wiener process. We prove that this family of models is well defined and that each model from this family is free of arbitrage opportunities, and it is (state) complete. We use option prices written over the S&P500 from December 2007 to December 2008 to calibrate a model of the proposed family and compare the calibration results with results of the Heston Model for the same data set. The empirical results achieved in both models show similarities for periods of low volatility, but the model studied shows a better performance during the period of higher volatility.

  6. Approximate option pricing

    SciTech Connect

    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.

  7. Option Pricing Formulas Based on a Non-Gaussian Stock Price Model

    NASA Astrophysics Data System (ADS)

    Borland, Lisa

    2002-08-01

    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.

  8. 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.

  9. 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.

  10. 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.

  11. 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.

  12. Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian-fractional Brownian model

    NASA Astrophysics Data System (ADS)

    Wang, Xiao-Tian; Zhu, En-Hui; Tang, Ming-Ming; Yan, Hai-Gang

    2010-02-01

    This paper deals with the problem of discrete-time option pricing by the mixed Brownian-fractional Brownian 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. In particular, the minimal pricing cmin(t,st) of an option under transaction costs is obtained, which shows that timestep δt and Hurst exponent H play an important role in option pricing with transaction costs. In addition, we also show that there exists fundamental difference between the continuous-time trade and discrete-time trade and that continuous-time trade assumption will result in underestimating the value of a European call option.

  13. 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.

  14. Recovery of time-dependent volatility in option pricing model

    NASA Astrophysics Data System (ADS)

    Deng, Zui-Cha; Hon, Y. C.; Isakov, V.

    2016-11-01

    In this paper we investigate an inverse problem of determining the time-dependent volatility from observed market prices of options with different strikes. Due to the non linearity and sparsity of observations, an analytical solution to the problem is generally not available. Numerical approximation is also difficult to obtain using most of the existing numerical algorithms. Based on our recent theoretical results, we apply the linearisation technique to convert the problem into an inverse source problem from which recovery of the unknown volatility function can be achieved. Two kinds of strategies, namely, the integral equation method and the Landweber iterations, are adopted to obtain the stable numerical solution to the inverse problem. Both theoretical analysis and numerical examples confirm that the proposed approaches are effective. The work described in this paper was partially supported by a grant from the Research Grant Council of the Hong Kong Special Administrative Region (Project No. CityU 101112) and grants from the NNSF of China (Nos. 11261029, 11461039), and NSF grants DMS 10-08902 and 15-14886 and by Emylou Keith and Betty Dutcher Distinguished Professorship at the Wichita State University (USA).

  15. 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.

  16. 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.

  17. 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.

  18. Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs

    NASA Astrophysics Data System (ADS)

    Wang, Xiao-Tian; Yan, Hai-Gang; Tang, Ming-Ming; Zhu, En-Hui

    2010-02-01

    A model for option pricing of fractional version of the Merton model with ‘Hurst exponent’ H being in [1/2,1) is established with transaction costs. In particular, for H∈(1/2,1) the minimal price Cmin(t,St) of an option under transaction costs is obtained, which displays that the timestep δt and the ‘Hurst exponent’ H play an important role in option pricing with transaction costs.

  19. 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.

  20. 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.

  1. Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

    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.

  2. 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.

  3. A simple derivation of risk-neutral probability in the binomial option pricing model

    NASA Astrophysics Data System (ADS)

    Orosi, Greg

    2015-01-01

    The traditional derivation of risk-neutral probability in the binomial option pricing framework used in introductory mathematical finance courses is straightforward, but employs several different concepts and is is not algebraically simple. In order to overcome this drawback of the standard approach, we provide an alternative derivation.

  4. Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model

    NASA Astrophysics Data System (ADS)

    Perelló, Josep

    2007-08-01

    The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied in Ref. [J. Masoliver, J. Perelló, Quant. Finance 6 (2006) 423] by exploring an aspect of practical interest. Having as a benchmark the parameters estimated from the Dow Jones daily data, we want to compute the price for the European option. This is actually done by Monte Carlo, running a large number of simulations. Our main interest is to “see” the effects of a long-range market memory from our expOU model in its subsequent European call option. We pay attention to the effects of the existence of a broad range of time scales in the volatility. We find that a richer set of time scales brings the price of the option higher. This appears in clear contrast to the presence of memory in the price itself which makes the price of the option cheaper.

  5. 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…

  6. 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.

  7. 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.

  8. A Model-Free No-arbitrage Price Bound for Variance Options

    SciTech Connect

    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.

  9. 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.

  10. 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.

  11. 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

  12. Pricing of options on assets with level dependent stochastic volatility

    NASA Astrophysics Data System (ADS)

    Skabelin, Alexander

    2005-05-01

    Many asset classes, such as interest rates, exchange rates, commodities, and equities, often exhibit a strong relationship between asset prices and asset volatilities. This paper examines an analytical model that takes into account this level dependence of volatility. We demonstrate how prices of European options under stochastic volatility can be calculated analytically via inverse Laplace transformations. We also examine a Hull-White stochastic volatility expansion. While a success of this expansion in approximate computation of option prices has already been established empirically, the question of convergence has been left unanswered. We demonstrate, in this paper, that this expansion diverges essentially for all possible stochastic volatility processes. In contrast to a majority of volatility expansion models reported in the literature, we construct expansions that explicitly show the contribution of all of the variance moments. Such complete expansions are very useful in analyzing properties of option prices, as we demonstrate by examining why empirical volatility surfaces plotted as a function of the rescaled strike can sometimes exhibit striking time invariance.

  13. 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.

  14. Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem

    SciTech Connect

    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.

  15. 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.

  16. Option pricing with regime switching by trinomial tree method

    NASA Astrophysics Data System (ADS)

    Yuen, Fei Lung; Yang, Hailiang

    2010-02-01

    We present a fast and simple tree model to price simple and exotic options in Markov Regime Switching Model (MRSM) with multi-regime. We modify the trinomial tree model of Boyle (1986) [12] by controlling the risk neutral probability measure in different regime states to ensure that the tree model can accommodate the data of all different regimes at the same time preserving its combining tree structure. In MRSM, the market might not be complete, therefore we provide some ideas and discussions on managing the regime switching risk in support of our results.

  17. On pricing futures options on random binomial tree

    NASA Astrophysics Data System (ADS)

    Bayram, Kamola; Ganikhodjaev, Nasir

    2013-04-01

    The discrete-time approach to real option valuation has typically been implemented in the finance literature using a binomial tree framework. Instead we develop a new model by randomizing the environment and call such model a random binomial tree. Whereas the usual model has only one environment (u, d) where the price of underlying asset can move by u times up and d times down, and pair (u, d) is constant over the life of the underlying asset, in our new model the underlying security is moving in two environments namely (u1, d1) and (u2, d2). Thus we obtain two volatilities σ1 and σ2. This new approach enables calculations reflecting the real market since it consider the two states of market normal and extra ordinal. In this paper we define and study Futures options for such models.

  18. Study on Venture Capital Investment Risk Avoiding Base on Option Pricing in Agricultural Production and Processing Enterprises

    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.

  19. 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.

  20. Internet Access and Pricing: Sorting Out the Options.

    ERIC Educational Resources Information Center

    Fowler, Thomas B.

    1997-01-01

    Discusses Internet access and pricing options. Highlights include restructuring of the telecommunications industry; current methods of access; economics of high-speed access; the impact of cheap Internet access; long-term possibilities; and a table that provides a comparison of Internet access methods. (LRW)

  1. Price percolation model

    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.

  2. A data-centric approach to understanding the pricing of financial options

    NASA Astrophysics Data System (ADS)

    Healy, J.; Dixon, M.; Read, B.; Cai, F. F.

    2002-05-01

    We investigate what can be learned from a purely phenomenological study of options prices without modelling assumptions. We fitted neural net (NN) models to LIFFE ``ESX'' European style FTSE 100 index options using daily data from 1992 to 1997. These non-parametric models reproduce the Black-Scholes (BS) analytic model in terms of fit and performance measures using just the usual five inputs (S, X, t, r, IV). We found that adding transaction costs (bid-ask spread) to these standard five parameters gives a comparable fit and performance. Tests show that the bid-ask spread can be a statistically significant explanatory variable for option prices. The difference in option prices between the models with transaction costs and those without ranges from about -3.0 to +1.5 index points, varying with maturity date. However, the difference depends on the moneyness (S/X), being greatest in-the-money. This suggests that use of a five-factor model can result in a pricing difference of up to #10 to #30 per call option contract compared with modelling under transaction costs. We found that the influence of transaction costs varied between different yearly subsets of the data. Open interest is also a significant explanatory variable, but volume is not.

  3. 77 FR 56243 - Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed...

    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...

  4. Feynman path integral application on deriving black-scholes diffusion equation for european option pricing

    NASA Astrophysics Data System (ADS)

    Utama, Briandhika; Purqon, Acep

    2016-08-01

    Path Integral is a method to transform a function from its initial condition to final condition through multiplying its initial condition with the transition probability function, known as propagator. At the early development, several studies focused to apply this method for solving problems only in Quantum Mechanics. Nevertheless, Path Integral could also apply to other subjects with some modifications in the propagator function. In this study, we investigate the application of Path Integral method in financial derivatives, stock options. Black-Scholes Model (Nobel 1997) was a beginning anchor in Option Pricing study. Though this model did not successfully predict option price perfectly, especially because its sensitivity for the major changing on market, Black-Scholes Model still is a legitimate equation in pricing an option. The derivation of Black-Scholes has a high difficulty level because it is a stochastic partial differential equation. Black-Scholes equation has a similar principle with Path Integral, where in Black-Scholes the share's initial price is transformed to its final price. The Black-Scholes propagator function then derived by introducing a modified Lagrange based on Black-Scholes equation. Furthermore, we study the correlation between path integral analytical solution and Monte-Carlo numeric solution to find the similarity between this two methods.

  5. An option pricing theory explanation of the invasion of Kuwait

    SciTech Connect

    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.

  6. 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.

  7. 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.

  8. Optional time-of-use prices for electricity: Analysis of PG E's experimental TOU rates

    SciTech Connect

    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.

  9. Feynman perturbation expansion for the price of coupon bond options and swaptions in quantum finance. II. Empirical.

    PubMed

    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.

  10. Finite Difference Methods for Option Pricing under Lévy Processes: Wiener-Hopf Factorization Approach

    PubMed Central

    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

  11. 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.

  12. The Use of the Information Wave Function in a Drift Dependent Option Price: A Simple Example

    SciTech Connect

    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.

  13. 77 FR 37720 - Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2012-06-22

    ... COMMISSION Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment to the Plan To Revise the Definition of the Term ``Nonprofessional'' June 15, 2012. Pursuant to... hereby given that on May 31, 2012, the Options Price Reporting Authority (``OPRA'') submitted to...

  14. 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…

  15. Feynman perturbation expansion for the price of coupon bond options and swaptions in quantum finance. I. Theory.

    PubMed

    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.

  16. PHYSICS OF OUR DAYS: Collectively fluctuating assets in the presence of arbitrage opportunities, and option pricing

    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.

  17. 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.

  18. Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion

    PubMed Central

    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

  19. 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.

  20. Transmission pricing and renewables: Issues, options, and recommendations

    SciTech Connect

    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.

  1. Optional time-of-use prices for electricity: Analysis of PG&E`s experimental TOU rates. Final report

    SciTech Connect

    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.

  2. 77 FR 47459 - Options Price Reporting Authority; Order Approving an Amendment to the Plan for Reporting of...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2012-08-08

    ... COMMISSION Options Price Reporting Authority; Order Approving an Amendment to the Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information To Revise the Definition of the Term ``Nonprofessional'' August 2, 2012. I. Introduction On May 31, 2012, the Options Price Reporting Authority...

  3. Policy options for pharmaceutical pricing and purchasing: issues for low- and middle-income countries.

    PubMed

    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.

  4. Monte Carlo methods for multidimensional integration for European option pricing

    NASA Astrophysics Data System (ADS)

    Todorov, V.; Dimov, I. T.

    2016-10-01

    In this paper, we illustrate examples of highly accurate Monte Carlo and quasi-Monte Carlo methods for multiple integrals related to the evaluation of European style options. The idea is that the value of the option is formulated in terms of the expectation of some random variable; then the average of independent samples of this random variable is used to estimate the value of the option. First we obtain an integral representation for the value of the option using the risk neutral valuation formula. Then with an appropriations change of the constants we obtain a multidimensional integral over the unit hypercube of the corresponding dimensionality. Then we compare a specific type of lattice rules over one of the best low discrepancy sequence of Sobol for numerical integration. Quasi-Monte Carlo methods are compared with Adaptive and Crude Monte Carlo techniques for solving the problem. The four approaches are completely different thus it is a question of interest to know which one of them outperforms the other for evaluation multidimensional integrals in finance. Some of the advantages and disadvantages of the developed algorithms are discussed.

  5. 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.

  6. An ill-posed problem for the Black-Scholes equation for a profitable forecast of prices of stock options on real market data

    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.

  7. 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.

  8. 48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.

    Code of Federal Regulations, 2012 CFR

    2012-10-01

    ... 48 Federal Acquisition Regulations System 6 2012-10-01 2012-10-01 false 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...

  9. 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...

  10. 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.

  11. 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.

  12. 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.

  13. 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.

  14. 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

  15. Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates

    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.

  16. 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.

  17. 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.

  18. System Dynamics Models and Institutional Pricing Decisions.

    ERIC Educational Resources Information Center

    Chen, Fiona

    1986-01-01

    A system dynamics model for the pricing of tuition is presented, illustrating how such models enable decision-makers to anticipate cause-and-effect relationships and test alternative courses of action. (Author)

  19. A Differential Tree Approach to Price Path-Dependent American Options using Malliavin Calculus

    NASA Astrophysics Data System (ADS)

    Schellhorn, Henry; Morris, Hedley

    2009-05-01

    We propose a recursive schemes to calculate backward the values of conditional expectations of functions of path values of Brownian motion. This scheme is based on the Clark-Ocone formula in discrete time. We suggest an algorithm based on our scheme to effectively calculate the price of American options on securities with path-dependent payoffs. For problems where the path-dependence comes only from the path-dependence of the state variables our method is less subject to the curse of dimensionality observed in all other methods.

  20. Tracking Models for Optioned Portfolio Selection

    NASA Astrophysics Data System (ADS)

    Liang, Jianfeng

    In this paper we study a target tracking problem for the portfolio selection involving options. In particular, the portfolio in question contains a stock index and some European style options on the index. A refined tracking-error-variance methodology is adopted to formulate this problem as a multi-stage optimization model. We derive the optimal solutions based on stochastic programming and optimality conditions. Attention is paid to the structure of the optimal payoff function, which is shown to possess rich properties.

  1. 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.

  2. Learning from the implementation of residential optional time of use pricing in the United States electricity industry

    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

  3. 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

  4. The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes

    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

  5. 48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.

    Code of Federal Regulations, 2013 CFR

    2013-10-01

    ... exercising the option. Use of an option will result in the following contract modifications: (a) The “Period of Performance” clause will be amended as follows to cover the Base and Option Periods: Period...

  6. 48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.

    Code of Federal Regulations, 2014 CFR

    2014-10-01

    ... exercising the option. Use of an option will result in the following contract modifications: (a) The “Period of Performance” clause will be amended as follows to cover the Base and Option Periods: Period...

  7. 48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.

    Code of Federal Regulations, 2011 CFR

    2011-10-01

    ... exercising the option. Use of an option will result in the following contract modifications: (a) The “Period of Performance” clause will be amended as follows to cover the Base and Option Periods: Period...

  8. 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.

  9. 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…

  10. Real Time Pricing as a Default or Optional Service for C&ICustomers: A Comparative Analysis of Eight Case Studies

    SciTech Connect

    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

  11. 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.

  12. 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.

  13. 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.

  14. Using Enrollment Demand Models in Institutional Pricing Decisions.

    ERIC Educational Resources Information Center

    Weiler, William C.

    1984-01-01

    Issues in the application of enrollment demand analysis to institutions' pricing policy are discussed, including price change impact on enrollment, the role of enrollment demand models on long-range financial and personnel planning, use of tuition and financial aid policy in optimizing policymakers' enrollment objectives, and the redistribution…

  15. 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...

  16. Fuzzy pricing for urban water resources: model construction and application.

    PubMed

    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

  17. 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.

  18. Convergence of the Approximation Scheme to American Option Pricing via the Discrete Morse Semiflow

    SciTech Connect

    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.

  19. 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.

  20. 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}.

  1. 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.

  2. Performance of default risk model with barrier option framework and maximum likelihood estimation: Evidence from Taiwan

    NASA Astrophysics Data System (ADS)

    Chou, Heng-Chih; Wang, David

    2007-11-01

    We investigate the performance of a default risk model based on the barrier option framework with maximum likelihood estimation. We provide empirical validation of the model by showing that implied default barriers are statistically significant for a sample of construction firms in Taiwan over the period 1994-2004. We find that our model dominates the commonly adopted models, Merton model, Z-score model and ZETA model. Moreover, we test the n-year-ahead prediction performance of the model and find evidence that the prediction accuracy of the model improves as the forecast horizon decreases. Finally, we assess the effect of estimated default risk on equity returns and find that default risk is able to explain equity returns and that default risk is a variable worth considering in asset-pricing tests, above and beyond size and book-to-market.

  3. 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.

  4. Short-Term Energy Outlook Model Documentation: Regional Residential Propane Price Model

    EIA Publications

    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.

  5. Short-Term Energy Outlook Model Documentation: Regional Residential Heating Oil Price Model

    EIA Publications

    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.

  6. Area-to-point Kriging in spatial hedonic pricing models

    NASA Astrophysics Data System (ADS)

    Yoo, E.-H.; Kyriakidis, P. C.

    2009-12-01

    This paper proposes a geostatistical hedonic price model in which the effects of location on house values are explicitly modeled. The proposed geostatistical approach, namely area-to-point Kriging with External Drift (A2PKED), can take into account spatial dependence and spatial heteroskedasticity, if they exist. Furthermore, this approach has significant implications in situations where exhaustive area-averaged housing price data are available in addition to a subset of individual housing price data. In the case study, we demonstrate that A2PKED substantially improves the quality of predictions using apartment sale transaction records that occurred in Seoul, South Korea, during 2003. The improvement is illustrated via a comparative analysis, where predicted values obtained from different models, including two traditional regression-based hedonic models and a point-support geostatistical model, are compared to those obtained from the A2PKED model.

  7. 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.

  8. The capital-asset-pricing model and arbitrage pricing theory: a unification.

    PubMed

    Ali Khan, M; Sun, Y

    1997-04-15

    We present a model of a financial market in which naive diversification, based simply on portfolio size and obtained as a consequence of the law of large numbers, is distinguished from efficient diversification, based on mean-variance analysis. This distinction yields a valuation formula involving only the essential risk embodied in an asset's return, where the overall risk can be decomposed into a systematic and an unsystematic part, as in the arbitrage pricing theory; and the systematic component further decomposed into an essential and an inessential part, as in the capital-asset-pricing model. The two theories are thus unified, and their individual asset-pricing formulas shown to be equivalent to the pervasive economic principle of no arbitrage. The factors in the model are endogenously chosen by a procedure analogous to the Karhunen-Loéve expansion of continuous time stochastic processes; it has an optimality property justifying the use of a relatively small number of them to describe the underlying correlational structures. Our idealized limit model is based on a continuum of assets indexed by a hyperfinite Loeb measure space, and it is asymptotically implementable in a setting with a large but finite number of assets. Because the difficulties in the formulation of the law of large numbers with a standard continuum of random variables are well known, the model uncovers some basic phenomena not amenable to classical methods, and whose approximate counterparts are not already, or even readily, apparent in the asymptotic setting.

  9. 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…

  10. 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

  11. The OPTIONS model of sexual risk assessment for adolescents.

    PubMed

    Lusczakoski, Kathryn D; Rue, Lisa A

    2012-03-01

    Typically, clinical evaluations of adolescents' sexual risk is based on inquiring about past sexual activity, which is limited by not including an adolescent's cognitive decision making regarding their past sexual decisions. This study describes the novel OPTIONS framework for assessing adolescent sexual risk including three general categories of risk (e.g., primary, secondary, and tertiary risk), which is designed to overcome the limitation of action-based assessment of risk and improve practitioners' ability to assess the levels of sexual risk. A convenience sample of 201 older adolescents (18-19 years of age) completed an online version of the Relationship Options Survey (ROS), designed to measure the OPTIONS sexual risk assessment. Bivariate correlation among the subscales functioned in the hypothesized manner, with all correlations being statistically significant. Using the OPTIONS model, 22.4% participants were classified as high risk primary, 7.0% participants were classified as high risk secondary, and 27.4% participants were classified as high risk tertiary. The study provided preliminary evidence for OPTIONS model of sexual assessment, which provides a more tailored evaluation by including cognitive decisions regarding an adolescent's sexual actions.

  12. 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.

  13. 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.

  14. Crude oil price forecasting based on hybridizing wavelet multiple linear regression model, particle swarm optimization techniques, and principal component analysis.

    PubMed

    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.

  15. Crude oil price forecasting based on hybridizing wavelet multiple linear regression model, particle swarm optimization techniques, and principal component analysis.

    PubMed

    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

  16. 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…

  17. 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.

  18. 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.

  19. An indexing and price movement model for managing pension funds.

    PubMed

    Freeman, H R

    1994-10-01

    A model for the investment of pension funds has been created that combines passive and active portfolio management strategies. The model uses a passive index fund to reduce the amount spent in transaction costs. It applies a percentage band that identifies the portion of the portfolio that should be committed to equity investments at various stages of the market movement cycle. Finally, it uses price movement trigger points to dictate when pension funds should be moved into and withdrawn from stock market investments.

  20. Estimated Effects of Different Alcohol Taxation and Price Policies on Health Inequalities: A Mathematical Modelling Study

    PubMed Central

    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

  1. 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.

  2. Self-consistent asset pricing models

    NASA Astrophysics Data System (ADS)

    Malevergne, Y.; Sornette, D.

    2007-08-01

    We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain. As already reported in several articles, self-consistency implies correlations between the return disturbances. As a consequence, the alphas and betas of the factor model are unobservable. Self-consistency leads to renormalized betas with zero effective alphas, which are observable with standard OLS regressions. When the conditions derived from internal consistency are not met, the model is necessarily incomplete, which means that some sources of risk cannot be replicated (or hedged) by a portfolio of stocks traded on the market, even for infinite economies. Analytical derivations and numerical simulations show that, for arbitrary choices of the proxy which are different from the true market portfolio, a modified linear regression holds with a non-zero value αi at the origin between an asset i's return and the proxy's return. Self-consistency also introduces “orthogonality” and “normality” conditions linking the betas, alphas (as well as the residuals) and the weights of the proxy portfolio. Two diagnostics based on these orthogonality and normality conditions are implemented on a basket of 323 assets which have been components of the S&P500 in the period from January 1990 to February 2005. These two diagnostics show interesting departures from dynamical self-consistency starting about 2 years before the end of the Internet bubble. Assuming that the CAPM holds with the self-consistency condition, the OLS method automatically obeys the resulting orthogonality and normality conditions and therefore provides a simple way to self-consistently assess the parameters of the model by using proxy portfolios made only of the assets which are used in the CAPM regressions. Finally, the factor decomposition with the

  3. 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.

  4. 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.

  5. 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.

  6. Short-Term Energy Outlook Model Documentation: Petroleum Product Prices Module

    EIA Publications

    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.

  7. Estimated Effects of Different Alcohol Taxation and Price Policies on Health Inequalities: A Mathematical Modelling Study

    PubMed Central

    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

  8. Prognostic modelling options for remaining useful life estimation by industry

    NASA Astrophysics Data System (ADS)

    Sikorska, J. Z.; Hodkiewicz, M.; Ma, L.

    2011-07-01

    Over recent years a significant amount of research has been undertaken to develop prognostic models that can be used to predict the remaining useful life of engineering assets. Implementations by industry have only had limited success. By design, models are subject to specific assumptions and approximations, some of which are mathematical, while others relate to practical implementation issues such as the amount of data required to validate and verify a proposed model. Therefore, appropriate model selection for successful practical implementation requires not only a mathematical understanding of each model type, but also an appreciation of how a particular business intends to utilise a model and its outputs. This paper discusses business issues that need to be considered when selecting an appropriate modelling approach for trial. It also presents classification tables and process flow diagrams to assist industry and research personnel select appropriate prognostic models for predicting the remaining useful life of engineering assets within their specific business environment. The paper then explores the strengths and weaknesses of the main prognostics model classes to establish what makes them better suited to certain applications than to others and summarises how each have been applied to engineering prognostics. Consequently, this paper should provide a starting point for young researchers first considering options for remaining useful life prediction. The models described in this paper are Knowledge-based (expert and fuzzy), Life expectancy (stochastic and statistical), Artificial Neural Networks, and Physical models.

  9. 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.

  10. Short-Term Energy Outlook Model Documentation: Natural Gas Consumption and Prices

    EIA Publications

    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.

  11. 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.

  12. R-squared measurement in multifactor pricing model

    NASA Astrophysics Data System (ADS)

    Jianlong, Wang; Jaaman, Saiful Hafizah; Samsudin, Humaida Banu

    2015-09-01

    The importance of the adjusted R-squared (R2) in multiple regression is to measure how well a model explains the response variable from independent variables. R2 sometimes induces some mistaken ideas and peculiar claims. Statistically, the larger the R2 is, the better explanatory power the model has. However, large R2 does not occur commonly in empirical study, for one should consider the practical significance of the explanatory variables, not just the statistics. This study examines the usefulness of R2 in multifactor pricing model of Shanghai Stock Exchange (SHSE). The results of this study show that the ability of R2 in information interpretation is not convinced in empirical study.

  13. 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.

  14. The valuation of currency options by fractional Brownian motion.

    PubMed

    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

  15. 76 FR 27062 - Biologics Price Competition and Innovation Act of 2009; Options for a User Fee Program for...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-05-10

    ...; Options for a User Fee Program for Biosimilar and Interchangeable Biological Product Applications for... this document to request comments relating to the development of a user fee program for biosimilar and...). FDA is requesting input on the identified principles for development of a 351(k) user fee program,...

  16. 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.

  17. The asymmetric effect of coal price on the China's macro economy using NARDL model

    NASA Astrophysics Data System (ADS)

    Hou, J. C.; Yang, M. C.

    2016-08-01

    The present work endeavors to explore the asymmetric effect of coal price on the China's macro economy by applying nonlinear autoregressive distributed lag (NARDL) model for the period of January 2005 to June 2015. The obtained results indicate that the coal price has a strong asymmetric effect on China's macro economy in the long-run. Namely one percent increase in coal price leads to 0.6194 percent of the China's macro economy increase; and while the coal price is reduces by 1 percent, the China's macro economy will decrease by 0.008 percent. These data indicate that when coal price rises, the effect on China's macro economy is far greater than the price decline. In the short-run, coal price fluctuation has a positive effect on the China's macro economy.

  18. 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.

  19. Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process

    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.

  20. A scalable delivery framework and a pricing model for streaming media with advertisements

    NASA Astrophysics Data System (ADS)

    Al-Hadrusi, Musab; Sarhan, Nabil J.

    2008-01-01

    This paper presents a delivery framework for streaming media with advertisements and an associated pricing model. The delivery model combines the benefits of periodic broadcasting and stream merging. The advertisements' revenues are used to subsidize the price of the media content. The pricing is determined based on the total ads' viewing time. Moreover, this paper presents an efficient ad allocation scheme and three modified scheduling policies that are well suited to the proposed delivery framework. Furthermore, we study the effectiveness of the delivery framework and various scheduling polices through extensive simulation in terms of numerous metrics, including customer defection probability, average number of ads viewed per client, price, arrival rate, profit, and revenue.

  1. 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…

  2. [Study on early-warning of Chinese materia medica price base on ARMA model].

    PubMed

    Chang, Feng; Mao, Yang-Dui

    2014-05-01

    This study sets up an early-warning system framework of Chinese materia medica price, using price index as early warning indicator to establish black early-warning model, with indicator of price index volatility and limit line of "price principal". The research divides warning degree into 5 parts named negative heavy warning, negative light warning, no warning, positive light warning and positive heavy warning, with 5 corresponding lights to describe the change level of the medicine price. Then make an early-warning empirical research based on Chengdu Chinese materia medica price index from December in 2010 to October in 2013. ARMA model is applied to forecast index and the result of early-warning is analyzed, and finally farmer households, companies, customers and the government are recommended respectively.

  3. 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.

  4. 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%.

  5. The Obstacle Version of the Geometric Dynamic Programming Principle: Application to the Pricing of American Options Under Constraints

    SciTech Connect

    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.

  6. 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.

  7. Non-life insurance pricing: multi-agent model

    NASA Astrophysics Data System (ADS)

    Darooneh, A. H.

    2004-11-01

    We use the maximum entropy principle for the pricing of non-life insurance and recover the Bühlmann results for the economic premium principle. The concept of economic equilibrium is revised in this respect.

  8. A Behavioral Economic Model of Alcohol Advertising and Price.

    PubMed

    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

  9. A BEHAVIORAL ECONOMIC MODEL OF ALCOHOL ADVERTISING AND PRICE

    PubMed Central

    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

  10. Introducing a price variation limiter mechanism into a behavioral financial market model.

    PubMed

    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.

  11. 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…

  12. Analysis of Price Equilibriums in the Aspen Economic Model under Various Purchasing Methods

    SciTech Connect

    SLEPOY, NATASHA; PRYOR, RICHARD J.

    2002-11-01

    Aspen, a powerful economic modeling tool that uses agent modeling and genetic algorithms, can accurately simulate the economy. In it, individuals are hired by firms to produce a good that households then purchase. The firms decide what price to charge for this good, and based on that price, the households determine which firm to purchase from. We will attempt to discover the Nash Equilibrium price found in this model under two different methods of determining how many orders each firm receives. To keep it simple, we will assume there are only two firms in our model, and that these firms compete for the sale of one identical good.

  13. 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…

  14. 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…

  15. 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.

  16. a Spatial Analysis on Gis-Hedonic Pricing Model on the Influence of Public Open Space and House Price in Klang Valley, Malaysia

    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.

  17. 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.

  18. Accurate market price formation model with both supply-demand and trend-following for global food prices providing policy recommendations.

    PubMed

    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

  19. Accurate market price formation model with both supply-demand and trend-following for global food prices providing policy recommendations

    PubMed Central

    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

  20. 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.

  1. A mathematical model of a fishery with variable market price: sustainable fishery/over-exploitation.

    PubMed

    Mansal, Fulgence; Nguyen-Huu, Tri; Auger, Pierre; Balde, Moussa

    2014-09-01

    We present a mathematical bioeconomic model of a fishery with a variable price. The model describes the time evolution of the resource, the fishing effort and the price which is assumed to vary with respect to supply and demand. The supply is the instantaneous catch while the demand function is assumed to be a monotone decreasing function of price. We show that a generic market price equation (MPE) can be derived and has to be solved to calculate non trivial equilibria of the model. This MPE can have 1, 2 or 3 equilibria. We perform the analysis of local and global stability of equilibria. The MPE is extended to two cases: an age-structured fish population and a fishery with storage of the resource.

  2. Research on WNN modeling for gold price forecasting based on improved artificial bee colony algorithm.

    PubMed

    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.

  3. Research on WNN Modeling for Gold Price Forecasting Based on Improved Artificial Bee Colony Algorithm

    PubMed Central

    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

  4. Effect of the tobacco price support program on cigarette consumption in the United States: an updated model.

    PubMed Central

    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

  5. 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.

  6. 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.

  7. Discrete-Time Pricing and Optimal Exercise of American Perpetual Warrants in the Geometric Random Walk Model

    SciTech Connect

    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.

  8. 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.

  9. 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.

  10. 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.

  11. 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

  12. 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…

  13. 48 CFR 552.217-70 - Evaluation of Options.

    Code of Federal Regulations, 2013 CFR

    2013-10-01

    ... period price. When option year pricing is based on a formula (e.g., changes in the Producer Price Index or other common standard); option year pricing is automatically considered when evaluating the base... 48 Federal Acquisition Regulations System 4 2013-10-01 2013-10-01 false Evaluation of Options....

  14. 48 CFR 552.217-70 - Evaluation of Options.

    Code of Federal Regulations, 2010 CFR

    2010-10-01

    ... period price. When option year pricing is based on a formula (e.g., changes in the Producer Price Index or other common standard); option year pricing is automatically considered when evaluating the base... 48 Federal Acquisition Regulations System 4 2010-10-01 2010-10-01 false Evaluation of Options....

  15. 48 CFR 552.217-70 - Evaluation of Options.

    Code of Federal Regulations, 2012 CFR

    2012-10-01

    ... period price. When option year pricing is based on a formula (e.g., changes in the Producer Price Index or other common standard); option year pricing is automatically considered when evaluating the base... 48 Federal Acquisition Regulations System 4 2012-10-01 2012-10-01 false Evaluation of Options....

  16. 48 CFR 552.217-70 - Evaluation of Options.

    Code of Federal Regulations, 2011 CFR

    2011-10-01

    ... period price. When option year pricing is based on a formula (e.g., changes in the Producer Price Index or other common standard); option year pricing is automatically considered when evaluating the base... 48 Federal Acquisition Regulations System 4 2011-10-01 2011-10-01 false Evaluation of Options....

  17. 48 CFR 552.217-70 - Evaluation of Options.

    Code of Federal Regulations, 2014 CFR

    2014-10-01

    ... period price. When option year pricing is based on a formula (e.g., changes in the Producer Price Index or other common standard); option year pricing is automatically considered when evaluating the base... 48 Federal Acquisition Regulations System 4 2014-10-01 2014-10-01 false Evaluation of Options....

  18. Pricing Public Parks and Recreation Services as a Percent of Per Capita Income: The Creation of a National Pricing Model.

    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…

  19. 12 CFR Appendix H to Part 222 - Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... Model Form H-3 also will comply with the disclosure that may be required under section 609(g) of the... 12 Banks and Banking 3 2011-01-01 2011-01-01 false Model Forms for Risk-Based Pricing and Credit..., App. H Appendix H to Part 222—Model Forms for Risk-Based Pricing and Credit Score Disclosure...

  20. 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.

  1. 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.

  2. Pricing and Fee Management.

    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)

  3. Competitive electricity markets, prices and generator entry and exit

    NASA Astrophysics Data System (ADS)

    Ethier, Robert George

    The electric power industry in the United States is quickly being deregulated and restructured. In the past, new electric generation capacity was added by regulated utilities to meet forecasted demand levels and maintain reserve margins. With competitive wholesale generation, investment will be the responsibility of independent private investors. Electricity prices will assume the coordinating function which has until recently been the responsibility of regulatory agencies. Competitive prices will provide the entry and exit signals for generators in the future. Competitive electricity markets have a distinctive price formation process, and thus require a specialized price model. A mean-reverting price process with stochastic jumps is proposed as an appropriate long-run price process for annual electricity prices. This price process is used to develop an analytic real options model for private investment decisions. The required recursive infinite series solutions have not been widely used for real option models. Entry thresholds and asset values for competitive wholesale electricity markets, and exit decisions for plants with significant retirement costs (i.e. nuclear power plants), are examined. The proposed model results in significantly lower trigger prices for both entry and exit decisions, and higher asset values, when compared with other standard models. The model is used to show that the incentives for retiring a nuclear plant are very sensitive to the treatment of decommissioning costs (e.g. if plant owners do not face full decommissioning costs, retirement decisions may be economically premature.) An econometric model of short-run price behavior is estimated by the method of maximum likelihood using daily electricity prices from markets in the USA and Australia. The model specifies two mean reverting price processes with stochastic Markov switching between the regimes, which allows discontinuous jumps in electricity prices. Econometric tests show that a two

  4. 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...

  5. Price Responsiveness in the AEO2003 NEMS Residential and Commercial Buildings Sector Models

    EIA Publications

    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.

  6. Incentives for new antibiotics: the Options Market for Antibiotics (OMA) model

    PubMed Central

    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

  7. Cost accounting models used for price-setting of health services: an international review.

    PubMed

    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.

  8. 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.

  9. Gold price analysis based on ensemble empirical model decomposition and independent component analysis

    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.

  10. 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.

  11. 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.

  12. A real options approach to clinical faculty salary structure.

    PubMed

    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

  13. 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.

  14. 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

  15. 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.

  16. Day-ahead crude oil price forecasting using a novel morphological component analysis based model.

    PubMed

    Zhu, Qing; He, Kaijian; 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.

  17. Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model

    PubMed Central

    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

  18. Substitution and price elasticity estimates using inter-countrypooled data in a translog cost model

    SciTech Connect

    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.

  19. 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.

  20. ARIMA Model Estimated by Particle Swarm Optimization Algorithm for Consumer Price Index Forecasting

    NASA Astrophysics Data System (ADS)

    Wang, Hongjie; Zhao, Weigang

    This paper presents an ARIMA model which uses particle swarm optimization algorithm (PSO) for model estimation. Because the traditional estimation method is complex and may obtain very bad results, PSO which can be implemented with ease and has a powerful optimizing performance is employed to optimize the coefficients of ARIMA. In recent years, inflation and deflation plague the world moreover the consumer price index (CPI) which is a measure of the average price of consumer goods and services purchased by households is usually observed as an important indicator of the level of inflation, so the forecast of CPI has been focused on by both scientific community and relevant authorities. Furthermore, taking the forecast of CPI as a case, we illustrate the improvement of accuracy and efficiency of the new method and the result shows it is predominant in forecasting.

  1. 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.

  2. Designing sustainable and economically attractive brownfield revitalization options using an integrated assessment model.

    PubMed

    Schädler, S; Morio, M; Bartke, S; Rohr-Zänker, R; Finkel, M

    2011-03-01

    We describe the development of an integrated assessment model which evaluates redevelopment options of large contaminated brownfields and we present the application of the model in a case study. Aiming to support efficient and sustainable revitalization and communication between stakeholders, the presented assessment model integrates three pinnacles of brownfield revitalization: (i) subsurface remediation and site preparation costs, (ii) market-oriented economic appraisal, and (iii) the expected contribution of planned future land use to sustainable community and regional development. For the assessment, focus is set on the early stage of the brownfield redevelopment process, which is characterized by limited data availability and by flexibility in land use planning and development scope. At this stage, revealing the consequences of adjustments and alterations in planning options can foster efficiency in communication between the involved parties and thereby facilitates the brownfield revitalization process. Results from the case-study application indicate that the integrated assessment provides help in the identification of land use options beneficial in both a sustainable and an economical sense. For the study site it is shown on one hand that brownfield redevelopment is not automatically in line with sustainable regional development, and on the other hand it is demonstrated that additional contributions to sustainability are not intrinsically tied to increased costs.

  3. Next Day Price Forecasting in Deregulated Market by Combination of Artificial Neural Network and ARIMA Time Series Models

    NASA Astrophysics Data System (ADS)

    Areekul, Phatchakorn; Senjyu, Tomonobu; Urasaki, Naomitsu; Yona, Atsushi

    Electricity price forecasting is becoming increasingly relevant to power producers and consumers in the new competitive electric power markets, when planning bidding strategies in order to maximize their benefits and utilities, respectively. This paper proposed a method to predict hourly electricity prices for next-day electricity markets by combination methodology of ARIMA and ANN models. The proposed method is examined on the Australian National Electricity Market (NEM), New South Wales regional in year 2006. Comparison of forecasting performance with the proposed ARIMA, ANN and combination (ARIMA-ANN) models are presented. Empirical results indicate that an ARIMA-ANN model can improve the price forecasting accuracy.

  4. Characterizing limit order prices

    NASA Astrophysics Data System (ADS)

    Withanawasam, R. M.; Whigham, P. A.; Crack, Timothy Falcon

    2013-11-01

    A computational model of a limit order book is used to study the effect of different limit order distribution offsets. Reference prices such as same side/contra side best market prices and last traded price are considered in combination with different price offset distributions. We show that when characterizing limit order prices, varying the offset distribution only produces different behavior when the reference price is the contra side best price. Irrespective of the underlying mechanisms used in computing the limit order prices, the shape of the price graph and the behavior of the average order book profile distribution are strikingly similar in all the considered reference prices/offset distributions. This implies that existing averaging methods can cancel variabilities in limit order book shape/attributes and may be misleading.

  5. An investigation of implied volatility during financial crisis: Evidence from Australian index options

    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.

  6. Pricing of path dependent derivatives with discretely monitored underlying assets

    NASA Astrophysics Data System (ADS)

    Choi, Hyomin

    This dissertation presents two different approaches to path dependent option pricing with discrete sampling. Provided the underlying asset of a path dependent derivative contract follows an affine process, we use the forward characteristic method to evaluate its fair price. Our study shows that the valuation method is numerically accessible as long as the contract payoff is a linear combination of log return of its underlying asset price. We compute various examples of such contracts and give contract-tailored formulas that we use in these examples. In the second part, we consider variance options under stochastic volatility model. We analyze the difference between variance option prices with discrete and continuous sampling as a function of N, the number of observations made in the former. We find the series expansion of the difference with respect to 1/N and find its leading term. By adding this leading term to the value of continuously sampled variance option, we obtain a simple and well-understood approximation of discretely sample variance option price.

  7. Price Responsive Demand in New York Wholesale Electricity Market using OpenADR

    SciTech Connect

    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.

  8. Early Prostate Cancer: Hedonic Prices Model of Provider-Patient Interactions and Decisions

    SciTech Connect

    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.

  9. Effects of minimum unit pricing for alcohol on different income and socioeconomic groups: a modelling study

    PubMed Central

    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

  10. Application of artificial neural network models and principal component analysis method in predicting stock prices on Tehran Stock Exchange

    NASA Astrophysics Data System (ADS)

    Zahedi, Javad; Rounaghi, Mohammad Mahdi

    2015-11-01

    Stock price changes are receiving the increasing attention of investors, especially those who have long-term aims. The present study intends to assess the predictability of prices on Tehran Stock Exchange through the application of artificial neural network models and principal component analysis method and using 20 accounting variables. Finally, goodness of fit for principal component analysis has been determined through real values, and the effective factors in Tehran Stock Exchange prices have been accurately predicted and modeled in the form of a new pattern consisting of all variables.

  11. Factors influencing global antiretroviral procurement prices

    PubMed Central

    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

  12. 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)

  13. Mixed integer nonlinear programming model of wireless pricing scheme with QoS attribute of bandwidth and end-to-end delay

    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.

  14. A two-level discount model for coordinating a decentralized supply chain considering stochastic price-sensitive demand

    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.

  15. 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.

  16. Integrated health impact assessment of travel behaviour: model exploration and application to a fuel price increase.

    PubMed

    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

  17. Integrated health impact assessment of travel behaviour: model exploration and application to a fuel price increase.

    PubMed

    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

  18. Options of system integrated environment modelling in the predicated dynamic cyberspace

    SciTech Connect

    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.

  19. 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.

  20. The future flight deck: Modelling dual, single and distributed crewing options.

    PubMed

    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.

  1. The future flight deck: Modelling dual, single and distributed crewing options.

    PubMed

    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

  2. Interacting price model and fluctuation behavior analysis from Lempel-Ziv complexity and multi-scale weighted-permutation entropy

    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.

  3. A Kramers-Moyal Approach to the Analysis of Third-Order Noise with Applications in Option Valuation

    PubMed Central

    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

  4. From default probabilities to credit spreads: credit risk models explain market prices (Keynote Address)

    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.

  5. 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.

  6. Modeling of NOx Destruction Options for INEEL Sodium-Bearing Waste Vitrification

    SciTech Connect

    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.

  7. 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.

  8. Evaluation of Reconnection Options for White Sturgeon in the Snake River Using a Population Viability Model

    SciTech Connect

    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.

  9. Stochastic modeling of economic injury levels with respect to yearly trends in price commodity.

    PubMed

    Damos, Petros

    2014-05-01

    The economic injury level (EIL) concept integrates economics and biology and uses chemical applications in crop protection only when economic loss by pests is anticipated. The EIL is defined by five primary variables: the cost of management tactic per production unit, the price of commodity, the injury units per pest, the damage per unit injury, and the proportionate reduction of injury averted by the application of a tactic. The above variables are related according to the formula EIL = C/VIDK. The observable dynamic alteration of the EIL due to its different parameters is a major characteristic of its concept. In this study, the yearly effect of the economic variables is assessed, and in particular the influence of the parameter commodity value on the shape of the EIL function. In addition, to predict the effects of the economic variables on the EIL level, yearly commodity values were incorporated in the EIL formula and the generated outcomes were further modelled with stochastic linear autoregressive models having different orders. According to the AR(1) model, forecasts for the five-year period of 2010-2015 ranged from 2.33 to 2.41 specimens per sampling unit. These values represent a threshold that is in reasonable limits to justify future control actions. Management actions as related to productivity and price commodity significantly affect costs of crop production and thus define the adoption of IPM and sustainable crop production systems at local and international levels.

  10. Operation of Distributed Generation Under Stochastic Prices

    SciTech Connect

    Siddiqui, Afzal S.; Marnay, Chris

    2005-11-30

    We model the operating decisions of a commercial enterprisethatneeds to satisfy its periodic electricity demand with either on-sitedistributed generation (DG) or purchases from the wholesale market. Whilethe former option involves electricity generation at relatively high andpossibly stochastic costs from a set of capacity-constrained DGtechnologies, the latter implies unlimited open-market transactions atstochastic prices. A stochastic dynamic programme (SDP) is used to solvethe resulting optimisation problem. By solving the SDP with and withoutthe availability of DG units, the implied option values of the DG unitsare obtained.

  11. Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models

    SciTech Connect

    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.

  12. Exploring the WTI crude oil price bubble process using the Markov regime switching model

    NASA Astrophysics Data System (ADS)

    Zhang, Yue-Jun; Wang, Jing

    2015-03-01

    The sharp volatility of West Texas Intermediate (WTI) crude oil price in the past decade triggers us to investigate the price bubbles and their evolving process. Empirical results indicate that the fundamental price of WTI crude oil appears relatively more stable than that of the market-trading price, which verifies the existence of oil price bubbles during the sample period. Besides, by allowing the WTI crude oil price bubble process to switch between two states (regimes) according to a first-order Markov chain, we are able to statistically discriminate upheaval from stable states in the crude oil price bubble process; and in most of time, the stable state dominates the WTI crude oil price bubbles while the upheaval state usually proves short-lived and accompanies unexpected market events.

  13. Modelling mitigation options to reduce diffuse nitrogen water pollution from agriculture.

    PubMed

    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

  14. Modelling mitigation options to reduce diffuse nitrogen water pollution from agriculture.

    PubMed

    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.

  15. 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)

  16. Stochastic water quality: Timing and option value of treatment

    NASA Astrophysics Data System (ADS)

    Conrad, Jon M.; López, Andrés

    2002-05-01

    An option-pricing model is developed to rank investments that might improve water quality. The model presumes that two investment options exist that have the potential to alter the stochastic drift of a pollutant. The investments have capital and operating costs and are irreversible once constructed. A stochastically evolving pollutant induces damage. The model provides a criterion for determining when it is optimal to adopt the investment with the highest option value. Option value, in this model, measures the expected present value of reduced damage, relative to doing nothing. If the investments are mutually exclusive, it is possible to obtain closed-form solutions for the barriers which would trigger investment. If the investments can be sequentially adopted, a methodology is developed to calculate option values for all possible combinations of adoption dates. To illustrate the option-pricing approach, a stylized analysis of investments to protect New York City's water supply is presented. Watershed management dominates filtration and, in the case of mutually exclusive investments, is initiated when the concentration of phosphorus reaches 22.80 μg/L.

  17. Heterogeneity in hedonic modelling of house prices: looking at buyers' household profiles

    NASA Astrophysics Data System (ADS)

    Kestens, Yan; Thériault, Marius; Des Rosiers, François

    2006-03-01

    This paper introduces household-level data into hedonic models in order to measure the heterogeneity of implicit prices regarding household type, age, educational attainment, income, and the previous tenure status of the buyers. Two methods are used for this purpose: a first series of models uses expansion terms, whereas a second series applies Geographically Weighted Regressions. Both methods yield conclusive results, showing that the marginal value given to certain property specifics and location attributes do vary regarding the characteristics of the buyer’s household. Particularly, major findings concern the significant effect of income on the location rent as well as the premium paid by highly-educated households in order to fulfil social homogeneity.

  18. Designing pediatric vaccine formularies and pricing pediatric combination vaccines using operations research models and algorithms.

    PubMed

    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

  19. 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.

  20. Modelling Pasture-based Automatic Milking System Herds: Grazeable Forage Options

    PubMed Central

    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

  1. SimRNAweb: a web server for RNA 3D structure modeling with optional restraints

    PubMed Central

    Magnus, Marcin; Boniecki, Michał J.; Dawson, Wayne; Bujnicki, Janusz M.

    2016-01-01

    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

  2. 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.

  3. Examining Uncertainty in Demand Response Baseline Models and Variability in Automated Response to Dynamic Pricing

    SciTech Connect

    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.

  4. Valuation of exotic options in the framework of Levy processes

    SciTech Connect

    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.

  5. 48 CFR 552.216-70 - Economic Price Adjustment-FSS Multiple Award Schedule Contracts.

    Code of Federal Regulations, 2011 CFR

    2011-10-01

    ... format regarding the Contractor's commercial pricing practice relating to the reissued or modified... price increase. (e) The Government reserves the right to exercise one of the following options:...

  6. A spectral transform dynamical core option within the Community Atmosphere Model (CAM4)

    SciTech Connect

    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.

  7. 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.

  8. A quantum mechanical model for the relationship between stock price and stock ownership

    SciTech Connect

    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.

  9. Measuring the impact of pollution on property prices in Madrid: objective versus subjective pollution indicators in spatial models

    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.

  10. For the last time: stock options are an expense.

    PubMed

    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

  11. For the last time: stock options are an expense.

    PubMed

    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.

  12. Greenhouse gas mitigation options in the forestry sector of The Gambia: Analysis based on COMAP model

    SciTech Connect

    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.

  13. Rehabilitation Options

    MedlinePlus

    ... 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 ...

  14. 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.

  15. 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.

  16. Modeling HIV/AIDS Drug Price Determinants in Brazil: Is Generic Competition a Myth?

    PubMed Central

    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

  17. 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…

  18. The effect of recycling price uncertainty on municipal waste management choices.

    PubMed

    Lavee, Doron; Regev, Uri; Zemel, Amos

    2009-08-01

    This paper analyzes the effect of price uncertainty and irreversible investment on the decision of municipalities to switch from landfill waste disposal to recycling by developing a model to predict recycling adoption behavior and applying it to empirical data. It is shown that uncertainty regarding the price of recycled materials may induce a risk neutral municipality to prefer landfill disposal, even when recycling is less expensive. A model is developed to describe the switching process and estimate its parameters using empirical data from 79 municipalities in Israel. The model is then used to predict municipalities' recycling adoption decisions under various assumptions regarding price uncertainty. The results support the hypothesis that price uncertainty is a major obstacle for recycling. Finally, several options for price stabilization are sketched and it is argued that these policies may be effective in establishing viable recycling markets.

  19. 76 FR 10412 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Proposed...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-02-24

    ... assembling a special portfolio of options. While the price of a single option depends on both the underlying price and volatility, this special portfolio is constructed, in the aggregate, to eliminate the stock price dependence. In theory, this option portfolio would be comprised of an ] infinite number of...

  20. 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.

  1. Expensing options solves nothing.

    PubMed

    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

  2. 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.

  3. 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.

  4. Utility-free heuristic models of two-option choice can mimic predictions of utility-stage models under many conditions

    PubMed Central

    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

  5. Utility-free heuristic models of two-option choice can mimic predictions of utility-stage models under many conditions.

    PubMed

    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.

  6. Some practical turbulence modeling options for Reynolds-averaged full Navier-Stokes calculations of three-dimensional flows

    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.

  7. Some practical turbulence modeling options for Reynolds-averaged full Navier-Stokes calculations of three-dimensional flows

    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.

  8. Impact of energy prices on agricultural and energy markets: an integrated modeling approach

    EPA Science Inventory

    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 ...

  9. Can hydro-economic river basin models simulate water shadow prices under asymmetric access?

    PubMed

    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.

  10. Using the Cancer Risk Management Model to evaluate colorectal cancer screening options for Canada

    PubMed Central

    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

  11. Online Pricing.

    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)

  12. Potential benefits of minimum unit pricing for alcohol versus a ban on below cost selling in England 2014: modelling study

    PubMed Central

    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

  13. 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…

  14. 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...

  15. 26 CFR 1.422-2 - Incentive stock options defined.

    Code of Federal Regulations, 2012 CFR

    2012-04-01

    ... any related corporation on the date of the grant of the January option and the pricing requirements of... 26 Internal Revenue 5 2012-04-01 2011-04-01 true Incentive stock options defined. 1.422-2 Section... (CONTINUED) INCOME TAXES (CONTINUED) Certain Stock Options § 1.422-2 Incentive stock options defined....

  16. 26 CFR 1.422-2 - Incentive stock options defined.

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ... any related corporation on the date of the grant of the January option and the pricing requirements of... 26 Internal Revenue 5 2011-04-01 2011-04-01 false Incentive stock options defined. 1.422-2 Section... (CONTINUED) INCOME TAXES (CONTINUED) Certain Stock Options § 1.422-2 Incentive stock options defined....

  17. Demand response-enabled model predictive HVAC load control in buildings using real-time electricity pricing

    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.

  18. 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.

  19. 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.

  20. A black box optimization approach to parameter estimation in a model for long/short term variations dynamics of commodity prices

    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.

  1. Construction of Discrete Time Shadow Price

    SciTech Connect

    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.

  2. 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.

  3. Price dynamics in political prediction markets

    PubMed Central

    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

  4. User's manual for a parameter identification technique. [with options for model simulation for fixed input forcing functions and identification from wind tunnel and flight measurements

    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.

  5. Modelling population dynamics and response to management options in the poultry red mite Dermanyssus gallinae (Acari: Dermanyssidae).

    PubMed

    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.

  6. Electric retail market options: The customer perspective

    SciTech Connect

    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.

  7. Sensitivity analysis and identification of the best evapotranspiration and runoff options for hydrological modelling in SWAT-2000

    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.

  8. 48 CFR 1415.406-70 - Department of the Interior price negotiation memorandum (PNM).

    Code of Federal Regulations, 2010 CFR

    2010-10-01

    ... Contract Pricing 1415.406-70 Department of the Interior price negotiation memorandum (PNM). (a) Policy. In... modifications such as exercising fixed price options or issuing change orders. The memorandum is required for... FAR 15.308. (5) If cost or pricing data were not required, the cost or price analysis performed...

  9. 48 CFR 1415.406-70 - Department of the Interior price negotiation memorandum (PNM).

    Code of Federal Regulations, 2011 CFR

    2011-10-01

    ... Contract Pricing 1415.406-70 Department of the Interior price negotiation memorandum (PNM). (a) Policy. In... modifications such as exercising fixed price options or issuing change orders. The memorandum is required for... FAR 15.308. (5) If cost or pricing data were not required, the cost or price analysis performed...

  10. Accounting for fuel price risk: Using forward natural gas prices instead of gas price forecasts to compare renewable to natural gas-fired generation

    SciTech Connect

    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

  11. Options Week

    ERIC Educational Resources Information Center

    Bornscheuer, Joan H.

    1974-01-01

    Urges the practice of providing optional assignments within the framework of any given course in order to sustain student interest in foreign language learning. Specific lesson plans are provided. (LG)

  12. The American Foreign Exchange Option in Time-Dependent One-Dimensional Diffusion Model for Exchange Rate

    SciTech Connect

    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.

  13. Advances in nonmarket valuation econometrics: Spatial heterogeneity in hedonic pricing models and preference heterogeneity in stated preference models

    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.

  14. Stock price forecasting for companies listed on Tehran stock exchange using multivariate adaptive regression splines model and semi-parametric splines technique

    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.

  15. Landfill area estimation based on integrated waste disposal options and solid waste forecasting using modified ANFIS model.

    PubMed

    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

  16. Landfill area estimation based on integrated waste disposal options and solid waste forecasting using modified ANFIS model.

    PubMed

    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%.

  17. The Origins of Options

    PubMed Central

    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

  18. Genome Integrity in Aging: Human Syndromes, Mouse Models, and Therapeutic Options.

    PubMed

    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.

  19. Genome Integrity in Aging: Human Syndromes, Mouse Models, and Therapeutic Options.

    PubMed

    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

  20. 42 CFR 137.336 - What is the difference between fixed-price and cost-reimbursement agreements?

    Code of Federal Regulations, 2014 CFR

    2014-10-01

    ... lump sums, unit cost pricing, or a combination thereof; (4) For unit cost pricing, savings may occur if... price project are considered profit, unless, at the option of the Self-Governance Tribe, such...

  1. 42 CFR 137.336 - What is the difference between fixed-price and cost-reimbursement agreements?

    Code of Federal Regulations, 2011 CFR

    2011-10-01

    ... lump sums, unit cost pricing, or a combination thereof; (4) For unit cost pricing, savings may occur if... price project are considered profit, unless, at the option of the Self-Governance Tribe, such...

  2. 42 CFR 137.336 - What is the difference between fixed-price and cost-reimbursement agreements?

    Code of Federal Regulations, 2010 CFR

    2010-10-01

    ... lump sums, unit cost pricing, or a combination thereof; (4) For unit cost pricing, savings may occur if... price project are considered profit, unless, at the option of the Self-Governance Tribe, such...

  3. 42 CFR 137.336 - What is the difference between fixed-price and cost-reimbursement agreements?

    Code of Federal Regulations, 2012 CFR

    2012-10-01

    ... lump sums, unit cost pricing, or a combination thereof; (4) For unit cost pricing, savings may occur if... price project are considered profit, unless, at the option of the Self-Governance Tribe, such...

  4. In Search of Ideal Information Pricing.

    ERIC Educational Resources Information Center

    Hawkins, Donald T.

    1989-01-01

    Reviews some of the models used for pricing online information services and discusses some of the implications of these pricing algorithms. Topics discussed include online versus print pricing; charges for the retrieval process; charges for the retrieved information; telecommunications charges; and the pricing policies of Chemical Abstracts…

  5. Integrated hydrological modeling of the North China Plain: Options for sustainable groundwater use in the alluvial plain of Mt. Taihang

    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.

  6. Options for change in the NHS consultant contract.

    PubMed Central

    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

  7. 75 FR 6750 - Self-Regulatory Organizations; The Options Clearing Corporation; Notice of Filing and Immediate...

    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...

  8. 75 FR 17805 - Self-Regulatory Organizations; the Options Clearing Corporation; Notice of Filing of Proposed...

    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...

  9. Impact of External Price Referencing on Medicine Prices – A Price Comparison Among 14 European Countries

    PubMed Central

    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

  10. Cost-effectiveness of tenofovir gel in urban South Africa: model projections of HIV impact and threshold product prices

    PubMed Central

    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

  11. 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...

  12. Supply chain model with price- and trade credit-sensitive demand under two-level permissible delay in payments

    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.

  13. Bus-based park-and-ride system: a stochastic model on multimodal network with congestion pricing schemes

    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.

  14. Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective

    PubMed Central

    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

  15. Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective.

    PubMed

    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.

  16. Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective.

    PubMed

    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

  17. Spatial competition and price formation

    NASA Astrophysics Data System (ADS)

    Nagel, Kai; Shubik, Martin; Paczuski, Maya; Bak, Per

    2000-12-01

    We look at price formation in a retail setting, that is, companies set prices, and consumers either accept prices or go someplace else. In contrast to most other models in this context, we use a two-dimensional spatial structure for information transmission, that is, consumers can only learn from nearest neighbors. Many aspects of this can be understood in terms of generalized evolutionary dynamics. In consequence, we first look at spatial competition and cluster formation without price. This leads to establishement size distributions, which we compare to reality. After some theoretical considerations, which at least heuristically explain our simulation results, we finally return to price formation, where we demonstrate that our simple model with nearly no organized planning or rationality on the part of any of the agents indeed leads to an economically plausible price.

  18. 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).

  19. The bleomycin animal model: a useful tool to investigate treatment options for idiopathic pulmonary fibrosis?

    PubMed Central

    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

  20. Evaluating Domestic Hot Water Distribution System Options with Validated Analysis Models

    SciTech Connect

    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.

  1. A maturity model to deliver a national shared medications system, options, practice, and pitfalls.

    PubMed

    Bainbridge, Michael; Pearce, Christopher; Taggart, Richard

    2013-01-01

    In July 2012 Australia launched the Personally Controlled electronic Health Record (PCEHR). This structured record allows health related information to be shared between providers as well as between providers and consumers. The next big challenge in delivering value for consumers is to use the medicines information distributed throughout the record in a way that allows better medications management at all levels. This poster points to the design and usability challenges being dealt with in that process during a national roll out and proposes a maturity model to accelerate the delivery of shared medication records. It is suggested that this model will have relevance in other jurisdictions. PMID:23920844

  2. A maturity model to deliver a national shared medications system, options, practice, and pitfalls.

    PubMed

    Bainbridge, Michael; Pearce, Christopher; Taggart, Richard

    2013-01-01

    In July 2012 Australia launched the Personally Controlled electronic Health Record (PCEHR). This structured record allows health related information to be shared between providers as well as between providers and consumers. The next big challenge in delivering value for consumers is to use the medicines information distributed throughout the record in a way that allows better medications management at all levels. This poster points to the design and usability challenges being dealt with in that process during a national roll out and proposes a maturity model to accelerate the delivery of shared medication records. It is suggested that this model will have relevance in other jurisdictions.

  3. 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.

  4. A Mathematical Model that Simulates Control Options for African Swine Fever Virus (ASFV)

    PubMed Central

    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

  5. A Mathematical Model that Simulates Control Options for African Swine Fever Virus (ASFV).

    PubMed

    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

  6. Perspectives on econometric modelling to inform policy: a UK qualitative case study of minimum unit pricing of alcohol

    PubMed Central

    Bond, Lyndal; Hilton, Shona

    2014-01-01

    Background: Novel policy interventions may lack evaluation-based evidence. Considerations to introduce minimum unit pricing (MUP) of alcohol in the UK were informed by econometric modelling (the ‘Sheffield model’). We aim to investigate policy stakeholders’ views of the utility of modelling studies for public health policy. Methods: In-depth qualitative interviews with 36 individuals involved in MUP policy debates (purposively sampled to include civil servants, politicians, academics, advocates and industry-related actors) were conducted and thematically analysed. Results: Interviewees felt familiar with modelling studies and often displayed detailed understandings of the Sheffield model. Despite this, many were uneasy about the extent to which the Sheffield model could be relied on for informing policymaking and preferred traditional evaluations. A tension was identified between this preference for post hoc evaluations and a desire for evidence derived from local data, with modelling seen to offer high external validity. MUP critics expressed concern that the Sheffield model did not adequately capture the ‘real life’ world of the alcohol market, which was conceptualized as a complex and, to some extent, inherently unpredictable system. Communication of modelling results was considered intrinsically difficult but presenting an appropriate picture of the uncertainties inherent in modelling was viewed as desirable. There was general enthusiasm for increased use of econometric modelling to inform future policymaking but an appreciation that such evidence should only form one input into the process. Conclusion: Modelling studies are valued by policymakers as they provide contextually relevant evidence for novel policies, but tensions exist with views of traditional evaluation-based evidence. PMID:24367068

  7. Free-roaming dog populations: a cost-benefit model for different management options, applied to Abruzzo, Italy.

    PubMed

    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

  8. Free-roaming dog populations: a cost-benefit model for different management options, applied to Abruzzo, Italy.

    PubMed

    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

  9. Process Options Description for Vitrification Flowsheet Model of INEEL Sodium Bearing Waste

    SciTech Connect

    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.

  10. Mathematical Modelling of a Brain Tumour Initiation and Early Development: A Coupled Model of Glioblastoma Growth, Pre-Existing Vessel Co-Option, Angiogenesis and Blood Perfusion.

    PubMed

    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.

  11. Mathematical Modelling of a Brain Tumour Initiation and Early Development: A Coupled Model of Glioblastoma Growth, Pre-Existing Vessel Co-Option, Angiogenesis and Blood Perfusion

    PubMed Central

    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

  12. Mathematical Modelling of a Brain Tumour Initiation and Early Development: A Coupled Model of Glioblastoma Growth, Pre-Existing Vessel Co-Option, Angiogenesis and Blood Perfusion.

    PubMed

    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

  13. 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.

  14. 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.

  15. Mathematical modeling and pharmaceutical pricing: analyses used to inform in-licensing and developmental go/No-Go decisions.

    PubMed

    Vernon, John A; Hughen, W Keener; Johnson, Scott J

    2005-05-01

    In the face of significant real healthcare cost inflation, pressured budgets, and ongoing launches of myriad technology of uncertain value, payers have formalized new valuation techniques that represent a barrier to entry for drugs. Cost-effectiveness analysis predominates among these methods, which involves differencing a new technological intervention's marginal costs and benefits with a comparator's, and comparing the resulting ratio to a payer's willingness-to-pay threshold. In this paper we describe how firms are able to model the feasible range of future product prices when making in-licensing and developmental Go/No-Go decisions by considering payers' use of the cost-effectiveness method. We illustrate this analytic method with a simple deterministic example and then incorporate stochastic assumptions using both analytic and simulation methods. Using this strategic approach, firms may reduce product development and in-licensing risk. PMID:15952613

  16. Evaluating Domestic Hot Water Distribution System Options With Validated Analysis Models

    SciTech Connect

    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.

  17. 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)

  18. 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.

  19. Natural gas and CO2 price variation: impact on the relative cost-efficiency of LNG and pipelines

    PubMed Central

    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

  20. Natural gas and CO2 price variation: impact on the relative cost-efficiency of LNG and pipelines.

    PubMed

    Ulvestad, Marte; Overland, Indra

    2012-06-01

    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.

  1. Natural gas and CO2 price variation: impact on the relative cost-efficiency of LNG and pipelines.

    PubMed

    Ulvestad, Marte; Overland, Indra

    2012-06-01

    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

  2. Optimal transfer, ordering and payment policies for joint supplier-buyer inventory model with price-sensitive trapezoidal demand and net credit

    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.

  3. The generalized STAR(1,1) modeling with time correlated errors to red-chili weekly prices of some traditional markets in Bandung, West Java

    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.

  4. Pricing a raindrop in a process-based model: general methodology and a case study of the Upper-Zambezi

    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.

  5. Accounting for water management issues within hydrological simulation: Alternative modelling options and a network optimization approach

    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

  6. 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.

  7. Renewable Power Options for Electrical Generation on Kaua'i: Economics and Performance Modeling

    SciTech Connect

    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.

  8. A simple simulation model as a tool to assess alternative health care provider payment reform options in Vietnam.

    PubMed

    Cashin, Cheryl; Phuong, Nguyen Khanh; Shain, Ryan; Oanh, Tran Thi Mai; Thuy, Nguyen Thi

    2015-01-01

    Vietnam is currently considering a revision of its 2008 Health Insurance Law, including the regulation of provider payment methods. This study uses a simple spreadsheet-based, micro-simulation model to analyse the potential impacts of different provider payment reform scenarios on resource allocation across health care providers in three provinces in Vietnam, as well as on the total expenditure of the provincial branches of the public health insurance agency (Provincial Social Security [PSS]). The results show that currently more than 50% of PSS spending is concentrated at the provincial level with less than half at the district level. There is also a high degree of financial risk on district hospitals with the current fund-holding arrangement. Results of the simulation model show that several alternative scenarios for provider payment reform could improve the current payment system by reducing the high financial risk currently borne by district hospitals without dramatically shifting the current level and distribution of PSS expenditure. The results of the simulation analysis provided an empirical basis for health policy-makers in Vietnam to assess different provider payment reform options and make decisions about new models to support health system objectives.

  9. Process Options Description for Vitrification Flowsheet Model of INEEL Sodium Bearing Waste

    SciTech Connect

    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.

  10. Model-Based Analysis of Electric Drive Options for Medium-Duty Parcel Delivery Vehicles: Preprint

    SciTech Connect

    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.

  11. 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…

  12. 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.

  13. Stores Healthy Options Project in Remote Indigenous Communities (SHOP@RIC): a protocol of a randomised trial promoting healthy food and beverage purchases through price discounts and in-store nutrition education

    PubMed Central

    2013-01-01

    Background Indigenous Australians suffer a disproportionate burden of preventable chronic disease compared to their non-Indigenous counterparts – much of it diet-related. Increasing fruit and vegetable intakes and reducing sugar-sweetened soft-drink consumption can reduce the risk of preventable chronic disease. There is evidence from some general population studies that subsidising healthier foods can modify dietary behaviour. There is little such evidence relating specifically to socio-economically disadvantaged populations, even though dietary behaviour in such populations is arguably more likely to be susceptible to such interventions. This study aims to assess the impact and cost-effectiveness of a price discount intervention with or without an in-store nutrition education intervention on purchases of fruit, vegetables, water and diet soft-drinks among remote Indigenous communities. Methods/Design We will utilise a randomised multiple baseline (stepped wedge) design involving 20 communities in remote Indigenous Australia. The study will be conducted in partnership with two store associations and twenty Indigenous store boards. Communities will be randomised to either i) a 20% price discount on fruit, vegetables, water and diet soft-drinks; or ii) a combined price discount and in-store nutrition education strategy. These interventions will be initiated, at one of five possible time-points, spaced two-months apart. Weekly point-of-sale data will be collected from each community store before, during, and for six months after the six-month intervention period to measure impact on purchasing of discounted food and drinks. Data on physical, social and economic factors influencing weekly store sales will be collected in order to identify important covariates. Intervention fidelity and mediators of behaviour change will also be assessed. Discussion This study will provide original evidence on the effectiveness and cost-effectiveness of price discounts with or

  14. Strategy as a portfolio of real options.

    PubMed

    Luehrman, T A

    1998-01-01

    In financial terms, a business strategy is much more like a series of options than like a single projected cash flow. Executing a strategy almost always involves making a sequence of major decisions. Some actions are taken immediately while others are deliberately deferred so that managers can optimize their choices as circumstances evolve. While executives readily grasp the analogy between strategy and real options, until recently the mechanics of option pricing was so complex that few companies found it practical to use when formulating strategy. But advances in both computing power and our understanding of option pricing over the last 20 years now make it feasible to apply real-options thinking to strategic decision making. To analyze a strategy as a portfolio of related real options, this article exploits a framework presented by the author in "Investment Opportunities as Real Options: Getting Started on the Numbers" (HBR July-August 1998). That article explained how to get from discounted-cash-flow value to option value for a typical project; in other words, it was about reaching a number. This article extends that framework, exploring how, once you've worked out the numbers, you can use option pricing to improve decision making about the sequence and timing of a portfolio of strategic investments. Timothy Luehrman shows executives how to plot their strategies in two-dimensional "option space," giving them a way to "draw" a strategy in terms that are neither wholly strategic nor wholly financial, but some of both. Such pictures inject financial discipline and new insight into how a company's future opportunities can be actively cultivated and harvested.

  15. Modeling Measles Transmission in the North American Amish and Options for Outbreak Response.

    PubMed

    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.

  16. Quantifying Policy Options for Reducing Future Coronary Heart Disease Mortality in England: A Modelling Study

    PubMed Central

    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

  17. Representation of vegetation effects on the snow-covered albedo in the Noah land surface model with multiple physics options

    NASA Astrophysics Data System (ADS)

    Park, S.; Park, S. K.

    2015-04-01

    Snow albedo plays a critical role in calculating the energy budget, but parameterization of the snow surface albedo is still under great uncertainty. It varies with snow grain size, snow cover thickness, snow age, forest shading factor and other variables. Snow albedo of forest is typically lower than that of short vegetation; thus snow albedo is dependent on the spatial distributions of characteristic land cover and on the canopy density and structure. In the Noah land surface model with multiple physics options (Noah-MP), almost all vegetation types in East Asia during winter have the minimum values of leaf area index (LAI) and stem area index (SAI), which are too low and do not consider the vegetation types. Because LAI and SAI are represented in terms of photosynthetic activeness, the vegetation effect rarely exerts on the surface albedo in winter in East Asia with only these parameters. Thus, we investigated the vegetation effects on the snow-covered albedo from observations and evaluated the model improvement by considering such effect. We found that calculation of albedo without proper reflection of the vegetation effect is mainly responsible for the large positive bias in winter. Therefore, we developed new parameters, called leaf index (LI) and stem index (SI), which properly manage the effect of vegetation structure on the winter albedo. As a result, the Noah-MP's performance in albedo has been significantly improved - RMSE is reduced by approximately 73%.

  18. Three essays on agricultural price volatility and the linkages between agricultural and energy markets

    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

  19. Decision-making for ecosystem-based management: evaluating options for a krill fishery with an ecosystem dynamics model.

    PubMed

    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

  20. 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.

  1. 78 FR 29422 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-05-20

    ... those expenditures. \\4\\ See The NASDAQ Stock Market, LLC Options Market (``NOM'') Options Pricing... COMMISSION Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...\\ notice is hereby given that, on May 1, 2013, Chicago Board Options Exchange, Incorporated (the...

  2. 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.

  3. 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.

  4. Modelling effects of geoengineering options in response to climate change and global warming: implications for coral reefs.

    PubMed

    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.

  5. Modelling effects of geoengineering options in response to climate change and global warming: implications for coral reefs.

    PubMed

    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

  6. Mechanisms from models--actual effects from real life: the zero-calorie drink-break option.

    PubMed

    Booth, D A

    1988-01-01

    Animal and human laboratory models show that the suppression of appetite by a modest amount of readily assimilable energy, such as a caloric sweetener, is not likely to last longer than an hour. The transience of their satiating effect constitutes a mechanism whereby the sugars, starch, alcohol and fats in drinks and the snackfoods eaten with them could add to energy intake which is subsequently uncompensated and so contributes to weight gain. Conversely, if those in the habit of consuming such energy-containing drinks and accompaniments avoided such items or replaced them by low-calorie substitutes, this might help in weight reduction and even perhaps in prevention of obesity. The effectiveness of this "zero-calorie drink-break option" can be tested by correlating separately reported real-life eating habits and weight changes across people whose circumstances are similar. The existing field data indicate that the fatter a person is the more likely they are to use the conventional undifferentiated sugar-substitution strategies and also that these usually do not help weight reduction. PMID:3056269

  7. Coinsurance effects on dental prices.

    PubMed

    Grembowski, D; Conrad, D A

    1986-01-01

    For many Americans the cost of dental services represents a barrier to receiving regular dental care and maintaining proper oral health. The recent growth of the dental insurance industry, however, may partly offset this price barrier among insureds. Our purpose is to examine the relationship between coinsurance and dental prices for 16 dental services among a sample of Pennsylvania Blue Shield (PBS) adult insureds. The dependent price measure is the annual average gross price paid for 16 specific preventive, restorative, periodontic, endodontic, prosthodontic, and surgical dental services. Independent variables in the price model include the insured's age, education, coinsurance rates, time costs, market area, non-wage income, oral health status, area dentist-population ratio and usual source of care. Data sources are 1980 PBS claims and coinsurance rate data and a mail survey of sampled insureds. OLS regression analysis reveals that the model's independent variables explain little dental price variation. No variable is consistently significant across services, but market area, coinsurance rates, and time costs alternately dominate across equations. These results suggest that, among adult insureds, coinsurance and time costs influence dental fees in a minority of dental services. Insurance reduces the patient's sensitivity to money price, and non-price factors correspondingly seem to become more important in patient search.

  8. 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…

  9. 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.

  10. 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.

  11. Invariance in the recurrence of large returns and the validation of models of price dynamics.

    PubMed

    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.

  12. 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…

  13. Solar PV Manufacturing Cost Model Group: Installed Solar PV System Prices (Presentation)

    SciTech Connect

    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.

  14. 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.

  15. Operational options for green ships

    NASA Astrophysics Data System (ADS)

    Sherbaz, Salma; Duan, Wenyang

    2012-09-01

    Environmental issues and rising fuel prices necessitate better energy-efficiency in all sectors. The shipping industry is one of the major stakeholders, responsible for 3% of global CO2 emissions, 14%-15% of global NO X emissions, and 16% of global SO X emissions. In addition, continuously rising fuel prices are also an incentive to focus on new ways for better energy-effectiveness. The green ship concept requires exploring and implementing technology on ships to increase energy-efficiency and reduce emissions. Ship operation is an important topic with large potential to increase cost-and-energy-effectiveness. This paper provided a comprehensive review of basic concepts, principles, and potential of operational options for green ships. The key challenges pertaining to ship crew i.e. academic qualifications prior to induction, in-service training and motivation were discussed. The author also deliberated on remedies to these challenges.

  16. Impact of energy prices and cellulosic biomass supply on agriculture, energy, and the environment: An integrated modeling approach

    EPA Science Inventory

    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 ...

  17. 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.

  18. Sample selection and spatial models of housing price indexes, and, A disequilibrium analysis of the U.S. gasoline market using panel data

    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

  19. Nonrenewable resource extraction under discontinuous price policy

    SciTech Connect

    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.

  20. Price controls and international petroleum product prices

    SciTech Connect

    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.

  1. Systems, not pills: The options market for antibiotics seeks to rejuvenate the antibiotic pipeline.

    PubMed

    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

  2. Systems, not pills: The options market for antibiotics seeks to rejuvenate the antibiotic pipeline.

    PubMed

    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.

  3. 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.

  4. Do healthier foods and diet patterns cost more than less healthy options? A systematic review and meta-analysis

    PubMed Central

    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

  5. Hedonic price models with omitted variables and measurement errors: a constrained autoregression-structural equation modeling approach with application to urban Indonesia

    NASA Astrophysics Data System (ADS)

    Suparman, Yusep; Folmer, Henk; Oud, Johan H. L.

    2013-04-01

    Omitted variables and measurement errors in explanatory variables frequently occur in hedonic price models. Ignoring these problems leads to biased estimators. In this paper, we develop a constrained autoregression-structural equation model (ASEM) to handle both types of problems. Standard panel data models to handle omitted variables bias are based on the assumption that the omitted variables are time-invariant. ASEM allows handling of both time-varying and time-invariant omitted variables by constrained autoregression. In the case of measurement error, standard approaches require additional external information which is usually difficult to obtain. ASEM exploits the fact that panel data are repeatedly measured which allows decomposing the variance of a variable into the true variance and the variance due to measurement error. We apply ASEM to estimate a hedonic housing model for urban Indonesia. To get insight into the consequences of measurement error and omitted variables, we compare the ASEM estimates with the outcomes of (1) a standard SEM, which does not account for omitted variables, (2) a constrained autoregression model, which does not account for measurement error, and (3) a fixed effects hedonic model, which ignores measurement error and time-varying omitted variables. The differences between the ASEM estimates and the outcomes of the three alternative approaches are substantial.

  6. Hedonic price models with omitted variables and measurement errors: a constrained autoregression-structural equation modeling approach with application to urban Indonesia

    NASA Astrophysics Data System (ADS)

    Suparman, Yusep; Folmer, Henk; Oud, Johan H. L.

    2014-01-01

    Omitted variables and measurement errors in explanatory variables frequently occur in hedonic price models. Ignoring these problems leads to biased estimators. In this paper, we develop a constrained autoregression-structural equation model (ASEM) to handle both types of problems. Standard panel data models to handle omitted variables bias are based on the assumption that the omitted variables are time-invariant. ASEM allows handling of both time-varying and time-invariant omitted variables by constrained autoregression. In the case of measurement error, standard approaches require additional external information which is usually difficult to obtain. ASEM exploits the fact that panel data are repeatedly measured which allows decomposing the variance of a variable into the true variance and the variance due to measurement error. We apply ASEM to estimate a hedonic housing model for urban Indonesia. To get insight into the consequences of measurement error and omitted variables, we compare the ASEM estimates with the outcomes of (1) a standard SEM, which does not account for omitted variables, (2) a constrained autoregression model, which does not account for measurement error, and (3) a fixed effects hedonic model, which ignores measurement error and time-varying omitted variables. The differences between the ASEM estimates and the outcomes of the three alternative approaches are substantial.

  7. 76 FR 2158 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-01-12

    ... stocks. The text of the rule proposal is available on the Exchange's Web site ( http://www.cboe.org/legal... greater where the strike price is more than $200 in up to five option classes on individual stocks (``$5... where the strike price is more than $200 in up to five option classes on individual stocks. The...

  8. 75 FR 65687 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2010-10-26

    ... security to at or below $5.00; and (iv) extend the number of options classes overlying 20 individual stocks... opportunities and strategies to minimize losses associated with owning a stock declining in price. The Exchange... strike prices to options classes overlying no more than 20 individual stocks as specifically...

  9. 78 FR 28265 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-05-14

    ... notice of its intent to file the proposed rule change at least five business days prior to the date of... approving, among other things, the option to auto-match up to a designated limit price). \\10\\ See BOX Rule... auto-match feature with the option to auto-match up to a designated limit price). \\11\\ See ISE Rule...

  10. 75 FR 70060 - Self-Regulatory Organizations; The Options Clearing Corporation; Order Granting Approval of a...

    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...

  11. 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…

  12. 5 CFR 591.213 - What prices does OPM collect?

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... 5 Administrative Personnel 1 2011-01-01 2011-01-01 false What prices does OPM collect? 591.213 Section 591.213 Administrative Personnel OFFICE OF PERSONNEL MANAGEMENT CIVIL SERVICE REGULATIONS...'s suggested retail price (including options), destination charges, additional shipping...

  13. 48 CFR 15.403-2 - Other circumstances where certified cost or pricing data are not required.

    Code of Federal Regulations, 2010 CFR

    2010-10-01

    ... certified cost or pricing data are not required. 15.403-2 Section 15.403-2 Federal Acquisition Regulations... Contract Pricing 15.403-2 Other circumstances where certified cost or pricing data are not required. (a) The exercise of an option at the price established at contract award or initial negotiation does...

  14. 48 CFR 15.403-2 - Other circumstances where certified cost or pricing data are not required.

    Code of Federal Regulations, 2012 CFR

    2012-10-01

    ... certified cost or pricing data are not required. 15.403-2 Section 15.403-2 Federal Acquisition Regulations... Contract Pricing 15.403-2 Other circumstances where certified cost or pricing data are not required. (a) The exercise of an option at the price established at contract award or initial negotiation does...

  15. 48 CFR 15.403-2 - Other circumstances where certified cost or pricing data are not required.

    Code of Federal Regulations, 2014 CFR

    2014-10-01

    ... certified cost or pricing data are not required. 15.403-2 Section 15.403-2 Federal Acquisition Regulations... Contract Pricing 15.403-2 Other circumstances where certified cost or pricing data are not required. (a) The exercise of an option at the price established at contract award or initial negotiation does...

  16. 48 CFR 15.403-2 - Other circumstances where certified cost or pricing data are not required.

    Code of Federal Regulations, 2013 CFR

    2013-10-01

    ... certified cost or pricing data are not required. 15.403-2 Section 15.403-2 Federal Acquisition Regulations... Contract Pricing 15.403-2 Other circumstances where certified cost or pricing data are not required. (a) The exercise of an option at the price established at contract award or initial negotiation does...

  17. 48 CFR 15.403-2 - Other circumstances where certified cost or pricing data are not required.

    Code of Federal Regulations, 2011 CFR

    2011-10-01

    ... certified cost or pricing data are not required. 15.403-2 Section 15.403-2 Federal Acquisition Regulations... Contract Pricing 15.403-2 Other circumstances where certified cost or pricing data are not required. (a) The exercise of an option at the price established at contract award or initial negotiation does...

  18. Imaging of Angiotropism/Vascular Co-Option in a Murine Model of Brain Melanoma: Implications for Melanoma Progression along Extravascular Pathways

    PubMed Central

    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

  19. [Drug prices: how they are established and existing price control systems].

    PubMed

    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.

  20. Regional-scale yield simulations using crop and climate models: assessing uncertainties, sensitivity to temperature and adaptation options

    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.

  1. Customer Strategies for Responding to Day-Ahead Market HourlyElectricity Pricing

    SciTech Connect

    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

  2. Risk management with substitution options: Valuing flexibility in small-scale energy systems

    NASA Astrophysics Data System (ADS)

    Knapp, Karl Eric

    Several features of small-scale energy systems make them more easily adapted to a changing operating environment than large centralized designs. This flexibility is often manifested as the ability to substitute inputs. This research explores the value of this substitution flexibility and the marginal value of becoming a "little more flexible" in the context of real project investment in developing countries. The elasticity of substitution is proposed as a stylized measure of flexibility and a choice variable. A flexible alternative (elasticity > 0) can be thought of as holding a fixed-proportions "nflexible" asset plus a sequence of exchange options---the option to move to another feasible "recipe" each period. Substitutability derives value from following a contour of anticipated variations and from responding to new information. Substitutability value, a "cost savings option", increases with elasticity and price risk. However, the required premium to incrementally increase flexibility can in some cases decrease with an increase in risk. Variance is not always a measure of risk. Tools from stochastic dominance are newly applied to real options with convex payoffs to correct some misperceptions and clarify many common modeling situations that meet the criteria for increased variance to imply increased risk. The behavior of the cost savings option is explored subject to a stochastic input price process. At the point where costs are identical for all alternatives, the stochastic process for cost savings becomes deterministic, with savings directly proportional to elasticity of substitution and price variance. The option is also formulated as a derivative security via dynamic programming. The partial differential equation is solved for the special case of Cobb-Douglas (elasticity = 1) (also shown are linear (infinite elasticity), Leontief (elasticity = 0)). Risk aversion is insufficient to prefer a more flexible alternative with the same expected value. Intertemporal

  3. Managing price, gaining profit.

    PubMed

    Marn, M V; Rosiello, R L

    1992-01-01

    The fastest and most effective way for a company to realize maximum profit is to get its pricing right. The right price can boost profit faster than increasing volume will; the wrong price can shrink it just as quickly. Yet many otherwise tough-minded managers miss out on significant profits because they shy away from pricing decisions for fear that they will alienate their customers. Worse, if management isn't controlling its pricing policies, there's a good chance that the company's clients are manipulating them to their own advantage. McKinsey & Company's Michael Marn and Robert Rosiello show managers how to gain control of the pricing puzzle and capture untapped profit potential by using two basic concepts: the pocket price waterfall and the pocket price band. The pocket price waterfall reveals how price erodes between a company's invoice figure and the actual amount paid by the customer--the transaction price. It tracks the volume purchase discounts, early payment bonuses, and frequent customer incentives that squeeze a company's profits. The pocket price band plots the range of pocket prices over which any given unit volume of a single product sells. Wide price bands are commonplace: some manufacturers' transaction prices for a given product range 60%; one fastener supplier's price band ranged up to 500%. Managers who study their pocket price waterfalls and bands can identify unnecessary discounting at the transaction level, low-performance accounts, and misplaced marketing efforts. The problems, once identified, are typically easy and inexpensive to remedy. PMID:10121318

  4. Managing price, gaining profit.

    PubMed

    Marn, M V; Rosiello, R L

    1992-01-01

    The fastest and most effective way for a company to realize maximum profit is to get its pricing right. The right price can boost profit faster than increasing volume will; the wrong price can shrink it just as quickly. Yet many otherwise tough-minded managers miss out on significant profits because they shy away from pricing decisions for fear that they will alienate their customers. Worse, if management isn't controlling its pricing policies, there's a good chance that the company's clients are manipulating them to their own advantage. McKinsey & Company's Michael Marn and Robert Rosiello show managers how to gain control of the pricing puzzle and capture untapped profit potential by using two basic concepts: the pocket price waterfall and the pocket price band. The pocket price waterfall reveals how price erodes between a company's invoice figure and the actual amount paid by the customer--the transaction price. It tracks the volume purchase discounts, early payment bonuses, and frequent customer incentives that squeeze a company's profits. The pocket price band plots the range of pocket prices over which any given unit volume of a single product sells. Wide price bands are commonplace: some manufacturers' transaction prices for a given product range 60%; one fastener supplier's price band ranged up to 500%. Managers who study their pocket price waterfalls and bands can identify unnecessary discounting at the transaction level, low-performance accounts, and misplaced marketing efforts. The problems, once identified, are typically easy and inexpensive to remedy.

  5. Option Fixation: A Cognitive Contributor to Overconfidence

    ERIC Educational Resources Information Center

    Sieck, Winston R.; Merkle, Edgar C.; Van Zandt, Trisha

    2007-01-01

    The ASC model of choice and confidence in general knowledge proposes that respondents first Assess the familiarity of presented options, and then use the high-familiarity option as a retrieval cue to Search memory for the purposes of Constructing an explanation about why that high-familiarity option is true. The ASC process implies that…

  6. Open Access versus Traditional Journal Pricing: Using a Simple "Platform Market" Model to Understand Which Will Win (and Which Should)

    ERIC Educational Resources Information Center

    McCabe, Mark J.; Snyder, Christopher M.; Fagin, Anna

    2013-01-01

    Economists have built a theory to understand markets in which, rather than selling directly to buyers, suppliers sell through a platform, which controls prices on both sides. The theory has been applied to understand markets ranging from telephony, to credit cards, to media. In this paper, we apply the theory to the market for scholarly journals,…

  7. Supply chain management and economic valuation of real options in the natural gas and liquefied natural gas industry

    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

  8. 26 CFR 1.1273-2 - Determination of issue price and issue date.

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ... quotations (including rates, yields, or other pricing information) of one or more identified brokers, dealers, or traders or actual prices (including rates, yields, or other pricing information) of recent sales... an option to convert the instrument into stock (or another debt instrument) of either the issuer or...

  9. Appliance Efficiency Standards and Price Discrimination

    SciTech Connect

    Spurlock, Cecily Anna

    2013-05-08

    I explore the effects of two simultaneous changes in minimum energy efficiency and ENERGY STAR standards for clothes washers. Adapting the Mussa and Rosen (1978) and Ronnen (1991) second-degree price discrimination model, I demonstrate that clothes washer prices and menus adjusted to the new standards in patterns consistent with a market in which firms had been price discriminating. In particular, I show evidence of discontinuous price drops at the time the standards were imposed, driven largely by mid-low efficiency segments of the market. The price discrimination model predicts this result. On the other hand, in a perfectly competition market, prices should increase for these market segments. Additionally, new models proliferated in the highest efficiency market segment following the standard changes. Finally, I show that firms appeared to use different adaptation strategies at the two instances of the standards changing.

  10. [Toward a conditional price for medicine?].

    PubMed

    Baseilhac, E

    2013-09-01

    For the first time, and as an exceptional option, the 2012 LEEM-CEPS framework agreement introduces the notion of conditional prices in conventional practice. The contractualization of drug price according to changes in its value that could occur in "real world" enables the Payer and the Company to settle, in a predictable manner, the "bet" represented by first registration price setting. Its systematization is based on the ability to standardize the implementation and assessment of observational studies, whereas the analysis and sharing of the risk of value changes (depreciation, appreciation) are structuring elements of the contractualization. Ethical from both the payer's and patient's point of view, drug price conditionality on its value is impeded by compliance with legal and economic constraints for the company, that should be taken into account by legalising this latter's ability to influence it through observance or therapeutic education and by guaranteeing a sufficiently long period of revenues for the company. PMID:24075703

  11. Distance to Store, Food Prices, and Obesity in Urban Food Deserts

    PubMed Central

    Ghosh-Dastidar, Bonnie; Cohen, Deborah; Hunter, Gerald; Zenk, Shannon N.; Huang, Christina; Beckman, Robin; Dubowitz, Tamara

    2014-01-01

    Background Lack of access to healthy foods may explain why residents of low-income neighborhoods and African Americans in the U.S. have high rates of obesity. The findings on where people shop and how that may influence health are mixed. However, multiple policy initiatives are underway to increase access in communities that currently lack healthy options. Few studies have simultaneously measured obesity, distance, and prices of the store used for primary food shopping. Purpose To examine the relationship among distance to store, food prices, and obesity. Methods The Pittsburgh Hill/Homewood Research on Eating, Shopping, and Health study conducted baseline interviews with 1,372 households between May and December 2011 in two low-income, majority African American neighborhoods without a supermarket. Audits of 16 stores where participants reported doing their major food shopping were conducted. Data were analyzed between February 2012 and February 2013. Results Distance to store and prices were positively associated with obesity (p<0.05). When distance to store and food prices were jointly modeled, only prices remained significant (p<0.01), with higher prices predicting a lower likelihood of obesity. Although low- and high-price stores did not differ in availability, they significantly differed in their display and marketing of junk foods relative to healthy foods. Conclusions Placing supermarkets in food deserts to improve access may not be as important as simultaneously offering better prices for healthy foods relative to junk foods, actively marketing healthy foods, and enabling consumers to resist the influence of junk food marketing. PMID:25217097

  12. Milk: the new white gold? Milk production options for smallholder farmers in Southern Mali.

    PubMed

    de Ridder, N; Sanogo, O M; Rufino, M C; van Keulen, H; Giller, K E

    2015-07-01

    Until the turn of the century, farmers in West Africa considered cotton to be the 'white gold' for their livelihoods. Large fluctuations in cotton prices have led farmers to innovate into other business including dairy. Yet the productivity of cows fed traditional diets is very poor, especially during the long dry season. This study combines earlier published results of farmer participatory experiments with simulation modelling to evaluate the lifetime productivity of cows under varying feeding strategies and the resulting economic performance at farm level. We compared the profitability of cotton production to the innovation of dairy. The results show that milk production of the West African Méré breed could be expanded if cows are supplemented and kept stall-fed during the dry season. This option seems to be profitable for better-off farmers, but whether dairy will replace (some of) the role of cotton as the white gold for these smallholder farmers will depend on the cross price elasticity of cotton and milk. Farmers may (partly) replace cotton production for fodder production to produce milk if the price of cotton remains poor (below US$0.35/kg) and the milk price relatively strong (higher than US$0.38/kg). Price ratios need to remain stable over several seasons given the investments required for a change in production strategy. Furthermore, farmers will only seize the opportunity to engage in dairy if marketing infrastructure and milk markets are further developed.

  13. A fuzzy multi-objective model for capacity allocation and pricing policy of provider in data communication service with different QoS levels

    NASA Astrophysics Data System (ADS)

    Pan, Wei; Wang, Xianjia; Zhong, Yong-guang; Yu, Lean; Jie, Cao; Ran, Lun; Qiao, Han; Wang, Shouyang; Xu, Xianhao

    2012-06-01

    Data communication service has an important influence on e-commerce. The key challenge for the users is, ultimately, to select a suitable provider. However, in this article, we do not focus on this aspect but the viewpoint and decision-making of providers for order allocation and pricing policy when orders exceed service capacity. It is a multiple criteria decision-making problem such as profit and cancellation ratio. Meanwhile, we know realistic situations in which much of the input information is uncertain. Thus, it becomes very complex in a real-life environment. In this situation, fuzzy sets theory is the best tool for solving this problem. Our fuzzy model is formulated in such a way as to simultaneously consider the imprecision of information, price sensitive demand, stochastic variables, cancellation fee and the general membership function. For solving the problem, a new fuzzy programming is developed. Finally, a numerical example is presented to illustrate the proposed method. The results show that it is effective for determining the suitable order set and pricing policy of provider in data communication service with different quality of service (QoS) levels.

  14. Land-use transition for bioenergy and climate stabilization: model comparison of drivers, impacts and interactions with other land use based mitigation options

    SciTech Connect

    Popp, Alexander; Rose, Steven K.; Calvin, Katherine V.; Van Vuuren, Detlef; Dietrich, Jan P.; Wise, Marshall A.; Stehfest, Eike; Humpenoder, Florian; Kyle, G. Page; Van Vliet, Jasper; Bauer, Nico; Lotze-Campen, Hermann; Klein, David; Kriegler, Elmar

    2014-04-01

    This study is a model comparison assessing the drivers and impacts of bioenergy production on the global land system and the interaction with other land use based mitigation options in the context of the EMF 27 project. We compare and evaluate results from three integrated assessment models (GCAM, IMAGE, and ReMIND/MAgPIE). All three models project that dedicated bioenergy crops and biomass residues are a potentially important and cost-effective component of the energy system. But bioenergy deployment levels and feedstock composition vary notably across models as do the implications for land-use and greenhouse gas emissions and the interaction with other land use based mitigation measures. Despite numerous model differences, we identify a few that are likely contributing to differences in land-use and emissions attributable to energy crop deployment.

  15. 17 CFR 33.4 - Designation as a contract market for the trading of commodity options.

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ... Register citations affecting § 33.4, see the List of CFR Sections Affected, which appears in the Finding... the option contract provide for a deliverable supply which is not conducive to price manipulation or... the exercise of the commodity option and the method by which the option may be exercised; (3)...

  16. 78 FR 67421 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-11-12

    ...: http://www.nasdaqtrader.com/Micro.aspx?id=OptionsPricing In Section I.A., Auction Transaction Tiered... COMMISSION Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...\\ notice is hereby given that on October 31, 2013, BOX Options Exchange LLC (the ``Exchange'') filed...

  17. 78 FR 1907 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-01-09

    ... at: http://www.nasdaqtrader.com/Micro.aspx?id=OptionsPricing . ] Also, the Exchange proposes to... COMMISSION Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate... thereunder,\\2\\ notice is hereby given that on December 26, 2012, BOX Options Exchange LLC (the...

  18. 77 FR 61808 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2012-10-11

    ... Removing Liquidity on the ISE Fee Schedule and NASDAQ Options Pricing as of September 2012. Moreover, the... COMMISSION Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate... Rule 19b-4 thereunder,\\2\\ notice is hereby given that on September 25, 2012, BOX Options Exchange...

  19. Air-displacement plethysmography pediatric option in 2-6 years old using the four-compartment model as a criterion method.

    PubMed

    Fields, David A; Allison, David B

    2012-08-01

    The objective of this study was to determine the accuracy, precision, bias, and reliability of percent fat (%fat) determined by air-displacement plethysmography (ADP) with the pediatric option against the four-compartment model in 31 children (4.1 ± 1.2 years, 103.3 ± 10.2 cm, 17.5 ± 3.4 kg). %Fat was determined by (BOD POD Body Composition System; COSMED USA, Concord, CA) with the pediatric option. Total body water (TBW) was determined by isotope dilution ((2)H(2)O; 0.2 g/kg) while bone mineral was determined by dual-energy X-ray absorptiometry (DXA) (Lunar iDXA v13.31; GE, Fairfield, CT and analyzed using enCore 2010 software). The four-compartment model by Lohman was used as the criterion measure of %fat. The regression for %fat by ADP vs. %fat by the four-compartment model did not deviate from the line of identity where: y = 0.849(x) + 4.291. ADP explained 75.2% of the variance in %fat by the four-compartment model while the standard error of the estimate (SEE) was 2.09 %fat. The Bland-Altman analysis showed %fat by ADP did not exhibit any bias across the range of fatness (r = 0.04; P = 0.81). The reliability of ADP was assessed by the coefficient of variation (CV), within-subject SD, and Cronbach's α. The CV was 3.5%, within-subject SD was 0.9%, and Cronbach's α was 0.95. In conclusion, ADP with the pediatric option is accurate, precise, reliable, and without bias in estimating %fat in children 2-6 years old.

  20. Effect of price expectations on drilling activity

    SciTech Connect

    Schmidt, R.H.

    1984-11-01

    The decision to drill depends partly on expectations about the future path of prices which are formed through historical experience. The estimates indicate that as long as nominal crude oil prices remain at the official price of $29 per barrel for Saudi light, there will be a slight but steady decline in the average level of the drilling rig count. A theoretical model to test this confirms that continued downward pressure on oil prices, caused by the glut in the world oil market, is expected to keep prices from rising in 1985. The results suggest that steady or falling oil prices can decrease the rig count through the expectations factor. Two appendices describe the theoretical model and test the results with a proxy variable. 17 references, 4 figures.

  1. An overview of alternative fossil fuel price and carbon regulation scenarios

    SciTech Connect

    Wiser, Ryan; Bolinger, Mark

    2004-10-01

    The benefits of the Department of Energy's research and development (R&D) efforts have historically been estimated under business-as-usual market and policy conditions. In recognition of the insurance value of R&D, however, the Office of Energy Efficiency and Renewable Energy (EERE) and the Office of Fossil Energy (FE) have been exploring options for evaluating the benefits of their R&D programs under an array of alternative futures. More specifically, an FE-EERE Scenarios Working Group (the Working Group) has proposed to EERE and FE staff the application of an initial set of three scenarios for use in the Working Group's upcoming analyses: (1) a Reference Case Scenario, (2) a High Fuel Price Scenario, which includes heightened natural gas and oil prices, and (3) a Carbon Cap-and-Trade Scenario. The immediate goal is to use these scenarios to conduct a pilot analysis of the benefits of EERE and FE R&D efforts. In this report, the two alternative scenarios being considered by EERE and FE staff--carbon cap-and-trade and high fuel prices--are compared to other scenarios used by energy analysts and utility planners. The report also briefly evaluates the past accuracy of fossil fuel price forecasts. We find that the natural gas prices through 2025 proposed in the FE-EERE Scenarios Working Group's High Fuel Price Scenario appear to be reasonable based on current natural gas prices and other externally generated gas price forecasts and scenarios. If anything, an even more extreme gas price scenario might be considered. The price escalation from 2025 to 2050 within the proposed High Fuel Price Scenario is harder to evaluate, primarily because few existing forecasts or scenarios extend beyond 2025, but, at first blush, it also appears reasonable. Similarly, we find that the oil prices originally proposed by the Working Group in the High Fuel Price Scenario appear to be reasonable, if not conservative, based on: (1) the current forward market for oil, (2) current oil prices

  2. Hedonic analysis of the price of UHT-treated milk in Italy.

    PubMed

    Bimbo, Francesco; Bonanno, Alessandro; Liu, Xuan; Viscecchia, Rosaria

    2016-02-01

    The Italian market for UHT milk has been growing thanks to both consumers' interest in products with an extended shelf life and to the lower prices of these products compared with refrigerated, pasteurized milk. However, because the lower prices of UHT milk can hinder producers' margins, manufacturers have introduced new versions of UHT milk products such as lactose-free options, vitamin-enriched products, and milk for infants, with the goal of differentiating their products, escaping the price competition, and gaining higher margins. In this paper, we estimated the contribution of different attributes to UHT milk prices in Italy by using a database of Italian UHT milk sales and a hedonic price model. In our analysis, we considered 2 UHT milk market segments: products for infants and those for the general population. We found premiums varied with the milk's attributes as well as between the segments analyzed: n-3 fatty acids, organic, and added calcium were the most valuable product features in the general population segment, whereas in the infant segment fiber, glass packaging, and the targeting of newborns delivered the highest premiums. Finally, we present recommendations for UHT milk manufacturers.

  3. Hedonic analysis of the price of UHT-treated milk in Italy.

    PubMed

    Bimbo, Francesco; Bonanno, Alessandro; Liu, Xuan; Viscecchia, Rosaria

    2016-02-01

    The Italian market for UHT milk has been growing thanks to both consumers' interest in products with an extended shelf life and to the lower prices of these products compared with refrigerated, pasteurized milk. However, because the lower prices of UHT milk can hinder producers' margins, manufacturers have introduced new versions of UHT milk products such as lactose-free options, vitamin-enriched products, and milk for infants, with the goal of differentiating their products, escaping the price competition, and gaining higher margins. In this paper, we estimated the contribution of different attributes to UHT milk prices in Italy by using a database of Italian UHT milk sales and a hedonic price model. In our analysis, we considered 2 UHT milk market segments: products for infants and those for the general population. We found premiums varied with the milk's attributes as well as between the segments analyzed: n-3 fatty acids, organic, and added calcium were the most valuable product features in the general population segment, whereas in the infant segment fiber, glass packaging, and the targeting of newborns delivered the highest premiums. Finally, we present recommendations for UHT milk manufacturers. PMID:26627864

  4. Priced Out?

    ERIC Educational Resources Information Center

    Jones-White, Daniel R.; Radcliffe, Peter M.; Lorenz, Linda M.; Soria, Krista M.

    2014-01-01

    While the literature on postsecondary student success identifies important academic and social factors associated with student outcomes, one question that persists concerns the influence of financial aid. We use the National Student Clearinghouse's StudentTracker service to develop a more complete model of student success that accommodates…

  5. 26 CFR 1.1234-2 - Special rule for grantors of straddles applicable to certain options granted on or before...

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    .... Section 1234(c)(1) provides a special rule applicable in the case of gain on the lapse of an option... sell (i.e., a put) the same quantity of a security at the same price during the same period of time. (2... to the quantity of the security, price, and period of time), then each of the options contained...

  6. Higher Education Prices and Price Indexes.

    ERIC Educational Resources Information Center

    Halstead, D. Kent

    The purpose of this study and its succeeding editions is to report higher education price information on a continuing basis until a more formal effort in this direction is initiated by the federal government or by interested private organizations. Consideration is given to the uses and limitations of price indexes, expenditure grouping for pricing…

  7. Breast Cancer: Treatment Options

    MedlinePlus

    ... Cancer - Treatment Options Request Permissions Print to PDF Breast Cancer - Treatment Options Approved by the Cancer.Net Editorial ... recommendations for ovarian ablation . Hormonal therapy for metastatic breast cancer Hormonal therapies are also commonly used to treat ...

  8. Test data sets for calibration of stochastic and fractional stochastic volatility models.

    PubMed

    Pospíšil, Jan; Sobotka, Tomáš

    2016-09-01

    Data for calibration and out-of-sample error testing of option pricing models are provided alongside data obtained from optimization procedures in "On calibration of stochastic and fractional stochastic volatility models" [1]. Firstly we describe testing data sets, further calibration data obtained from combined optimizers is visually depicted - interactive 3d bar plots are provided. The data is suitable for a further comparison of other optimization routines and also to benchmark different pricing models.

  9. Finite horizon EOQ model for non-instantaneous deteriorating items with price and advertisement dependent demand and partial backlogging under inflation

    NASA Astrophysics Data System (ADS)

    Palanivel, M.; Uthayakumar, R.

    2015-07-01

    This paper deals with an economic order quantity (EOQ) model for non-instantaneous deteriorating items with price and advertisement dependent demand pattern under the effect of inflation and time value of money over a finite planning horizon. In this model, shortages are allowed and partially backlogged. The backlogging rate is dependent on the waiting time for the next replenishment. This paper aids the retailer in minimising the total inventory cost by finding the optimal interval and the optimal order quantity. An algorithm is designed to find the optimum solution of the proposed model. Numerical examples are given to demonstrate the results. Also, the effect of changes in the different parameters on the optimal total cost is graphically presented and the implications are discussed in detail.

  10. Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level

    NASA Astrophysics Data System (ADS)

    Huang, Shupei; An, Haizhong; Gao, Xiangyun; Huang, Xuan

    2015-09-01

    The aim of this research is to investigate the multiscale dynamic linkages between crude oil price and the stock market in China at the sector level. First, the Haar à trous wavelet transform is implemented to extract multiscale information from the original time series. Furthermore, we incorporate the vector autoregression model to estimate the dynamic relationship pairing the Brent oil price and each sector stock index at each scale. There is a strong evidence showing that there are bidirectional Granger causality relationships between most of the sector stock indices and the crude oil price in the short, medium and long terms, except for those in the health, utility and consumption sectors. In fact, the impacts of the crude oil price shocks vary for different sectors over different time horizons. More precisely, the energy, information, material and telecommunication sector stock indices respond to crude oil price shocks negatively in the short run and positively in the medium and long runs, terms whereas the finance sector responds positively over all three time horizons. Moreover, the Brent oil price shocks have a stronger influence on the stock indices of sectors other than the health, optional and utility sectors in the medium and long terms than in the short term. The results obtained suggest implication of this paper as that the investment and policymaking decisions made during different time horizons should be based on the information gathered from each corresponding time scale.

  11. Simulating Price-Taking

    ERIC Educational Resources Information Center

    Engelhardt, Lucas M.

    2015-01-01

    In this article, the author presents a price-takers' market simulation geared toward principles-level students. This simulation demonstrates that price-taking behavior is a natural result of the conditions that create perfect competition. In trials, there is a significant degree of price convergence in just three or four rounds. Students find this…

  12. Price Estimation Guidelines

    NASA Technical Reports Server (NTRS)

    Chamberlain, R. G.; Aster, R. W.; Firnett, P. J.; Miller, M. A.

    1985-01-01

    Improved Price Estimation Guidelines, IPEG4, program provides comparatively simple, yet relatively accurate estimate of price of manufactured product. IPEG4 processes user supplied input data to determine estimate of price per unit of production. Input data include equipment cost, space required, labor cost, materials and supplies cost, utility expenses, and production volume on industry wide or process wide basis.

  13. The Frozen Price Game

    ERIC Educational Resources Information Center

    Alden, Lori

    2003-01-01

    In this article, the author discusses the educational frozen price game she developed to teach the basic economic principle of price allocation. In addition to demonstrating the advantages of price allocation, the game also illustrates such concepts as opportunity costs, cost benefit comparisons, and the trade-off between efficiency and equity.…

  14. The costs and benefits of reconstruction options in Nepal using the CEDIM FDA modelled and empirical analysis following the 2015 earthquake

    NASA Astrophysics Data System (ADS)

    Daniell, James; Schaefer, Andreas; Wenzel, Friedemann; Khazai, Bijan; Girard, Trevor; Kunz-Plapp, Tina; Kunz, Michael; Muehr, Bernhard

    2016-04-01

    Over the days following the 2015 Nepal earthquake, rapid loss estimates of deaths and the economic loss and reconstruction cost were undertaken by our research group in conjunction with the World Bank. This modelling relied on historic losses from other Nepal earthquakes as well as detailed socioeconomic data and earthquake loss information via CATDAT. The modelled results were very close to the final death toll and reconstruction cost for the 2015 earthquake of around 9000 deaths and a direct building loss of ca. 3 billion (a). A description of the process undertaken to produce these loss estimates is described and the potential for use in analysing reconstruction costs from future Nepal earthquakes in rapid time post-event. The reconstruction cost and death toll model is then used as the base model for the examination of the effect of spending money on earthquake retrofitting of buildings versus complete reconstruction of buildings. This is undertaken future events using empirical statistics from past events along with further analytical modelling. The effects of investment vs. the time of a future event is also explored. Preliminary low-cost options (b) along the line of other country studies for retrofitting (ca. 100) are examined versus the option of different building typologies in Nepal as well as investment in various sectors of construction. The effect of public vs. private capital expenditure post-earthquake is also explored as part of this analysis, as well as spending on other components outside of earthquakes. a) http://www.scientificamerican.com/article/experts-calculate-new-loss-predictions-for-nepal-quake/ b) http://www.aees.org.au/wp-content/uploads/2015/06/23-Daniell.pdf

  15. Non-parametric extraction of implied asset price distributions

    NASA Astrophysics Data System (ADS)

    Healy, Jerome V.; Dixon, Maurice; Read, Brian J.; Cai, Fang Fang

    2007-08-01

    We present a fully non-parametric method for extracting risk neutral densities (RNDs) from observed option prices. The aim is to obtain a continuous, smooth, monotonic, and convex pricing function that is twice differentiable. Thus, irregularities such as negative probabilities that afflict many existing RND estimation techniques are reduced. Our method employs neural networks to obtain a smoothed pricing function, and a central finite difference approximation to the second derivative to extract the required gradients. This novel technique was successfully applied to a large set of FTSE 100 daily European exercise (ESX) put options data and as an Ansatz to the corresponding set of American exercise (SEI) put options. The results of paired t-tests showed significant differences between RNDs extracted from ESX and SEI option data, reflecting the distorting impact of early exercise possibility for the latter. In particular, the results for skewness and kurtosis suggested different shapes for the RNDs implied by the two types of put options. However, both ESX and SEI data gave an unbiased estimate of the realised FTSE 100 closing prices on the options’ expiration date. We confirmed that estimates of volatility from the RNDs of both types of option were biased estimates of the realised volatility at expiration, but less so than the LIFFE tabulated at-the-money implied volatility.

  16. TANK SPACE OPTIONS REPORT

    SciTech Connect

    WILLIS WL; AHRENDT MR

    2009-08-11

    Since this report was originally issued in 2001, several options proposed for increasing double-shell tank (DST) storage space were implemented or are in the process of implementation. Changes to the single-shell tank (SST) waste retrieval schedule, completion of DST space saving options, and the DST space saving options in progress have delayed the projected shortfall of DST storage space from the 2007-2011 to the 2018-2025 timeframe (ORP-11242, River Protection Project System Plan). This report reevaluates options from Rev. 0 and includes evaluations of new options for alleviating projected restrictions on SST waste retrieval beginning in 2018 because of the lack of DST storage space.

  17. Open Automated Demand Response Dynamic Pricing Technologies and Demonstration

    SciTech Connect

    Ghatikar, Girish; Mathieu, Johanna L.; Piette, Mary Ann; Koch, Ed; Hennage, Dan

    2010-08-02

    This study examines the use of OpenADR communications specification, related data models, technologies, and strategies to send dynamic prices (e.g., real time prices and peak prices) and Time of Use (TOU) rates to commercial and industrial electricity customers. OpenADR v1.0 is a Web services-based flexible, open information model that has been used in California utilities' commercial automated demand response programs since 2007. We find that data models can be used to send real time prices. These same data models can also be used to support peak pricing and TOU rates. We present a data model that can accommodate all three types of rates. For demonstration purposes, the data models were generated from California Independent System Operator's real-time wholesale market prices, and a California utility's dynamic prices and TOU rates. Customers can respond to dynamic prices by either using the actual prices, or prices can be mapped into"operation modes," which can act as inputs to control systems. We present several different methods for mapping actual prices. Some of these methods were implemented in demonstration projects. The study results demonstrate show that OpenADR allows interoperability with existing/future systems/technologies and can be used within related dynamic pricing activities within Smart Grid.

  18. Airport Pricing Strategies

    NASA Technical Reports Server (NTRS)

    Pels, Eric; Verhoef, Erik T.

    2003-01-01

    Conventional economic wisdom suggests that congestion pricing would be an appropriate response to cope with the growing congestion levels currently experienced at many airports. Several characteristics of aviation markets, however, may make naive congestion prices equal to the value of marginal travel delays a non-optimal response. This paper has developed a model of airport pricing that captures a number of these features. The model in particular reflects that airlines typically have market power and are engaged in oligopolistic competition at different sub-markets; that part of external travel delays that aircraft impose are internal to an operator and hence should not be accounted for in congestion tolls. We presented an analytical treatment for a simple bi-nodal symmetric network, which through the use of 'hyper-networks' would be readily applicable to dynamic problems (in discrete time) such as peak - off-peak differences, and some numerical exercises for the same symmetric network, which was only designed to illustrate the possible comparative static impacts of tolling, in addition to marginal equilibrium conditions as could be derived for the general model specification. Some main conclusions are that second-best optimal tolls are typically lower than what would be suggested by congestion costs alone and may even be negative, and that the toll as derived by Brueckner (2002) may not lead to an increase in total welfare. While Brueckner (2002) has made clear that congestion tolls on airports may be smaller than expected when congestion costs among aircraft are internal for a firm, our analysis adds to this that a further downward adjustment may be in order due to market power. The presence of market power (which causes prices to exceed marginal costs) may cause the pure congestion toll to be suboptimal, because the resulting decrease in demand is too high (the pure congestion tall does not take into account the decrease in consumer surplus). The various

  19. Reference Pricing with Endogenous or Exogenous Payment Limits: Impacts on Insurer and Consumer Spending.

    PubMed

    Brown, Timothy T; Robinson, James C

    2016-06-01

    Reference pricing (RP) theories predict different outcomes when reference prices are fixed (exogenous) versus being a function of market prices (MPs) (endogenous). Exogenous RP results in MPs at both high-price and low-price firms converging towards the reference price from above and below, respectively. Endogenous RP results in MPs at both high-price and low-price firms decreasing, with low-price firms acting strategically to decrease the reference price in order to gain market share. We extend these models to a hospital context focusing on insurer and consumer payments. Under exogenous RP, insurer and consumer payments to low-price hospitals increase, and insurer payments to high-price hospitals decrease, but predictions regarding consumer payments are ambiguous for high-price hospitals. Under endogenous RP, insurer payments to high-price and low-price hospitals decrease, and consumer payments to low-price hospitals decrease, but predictions regarding consumer payments are ambiguous for high-price hospitals. We test these predictions with difference-in-differences specifications using 2008-2013 data on patients undergoing joint replacement. For 2 years following RP implementation, insurer payments to high-price and low-price hospitals moved downward, consistent with endogenous RP. However, when the reference price was not reset to account for changes in MPs, insurer payments to low-price hospitals reverted to pre-implementation levels, consistent with exogenous RP. Copyright © 2015 John Wiley & Sons, Ltd.

  20. Calculating proper transfer prices

    SciTech Connect

    Dorkey, F.C. ); Jarrell, G.A. )

    1991-01-01

    This article deals with developing a proper transfer pricing method. Decentralization is as American as baseball. While managers laud the widespread benefits of both decentralization and baseball, they often greet the term transfer price policy with a yawn. Since transfer prices are as critical to the success of decentralized firms as good pitchers are to baseball teams, this is quite a mistake on the part of our managers. A transfer price is the price charged to one division for a product or service that another division produced or provided. In many, perhaps most, decentralized organizations, the transfer pricing policies actually used are grossly inefficient and sacrifice the potential advantages of decentralization. Experience shows that far too many companies have transfer pricing policies that cost them significantly in foregone growth and profits.

  1. Increased crop failure due to climate change: assessing adaptation options using models and socio-economic data for wheat in China

    NASA Astrophysics Data System (ADS)

    Challinor, Andrew J.; Simelton, Elisabeth S.; Fraser, Evan D. G.; Hemming, Debbie; Collins, Mathew

    2010-07-01

    Tools for projecting crop productivity under a range of conditions, and assessing adaptation options, are an important part of the endeavour to prioritize investment in adaptation. We present ensemble projections of crop productivity that account for biophysical processes, inherent uncertainty and adaptation, using spring wheat in Northeast China as a case study. A parallel 'vulnerability index' approach uses quantitative socio-economic data to account for autonomous farmer adaptation. The simulations show crop failure rates increasing under climate change, due to increasing extremes of both heat and water stress. Crop failure rates increase with mean temperature, with increases in maximum failure rates being greater than those in median failure rates. The results suggest that significant adaptation is possible through either socio-economic measures such as greater investment, or biophysical measures such as drought or heat tolerance in crops. The results also show that adaptation becomes increasingly necessitated as mean temperature and the associated number of extremes rise. The results, and the limitations of this study, also suggest directions for research for linking climate and crop models, socio-economic analyses and crop variety trial data in order to prioritize options such as capacity building, plant breeding and biotechnology.

  2. Energy metabolic disorder is a major risk factor in severe influenza virus infection: Proposals for new therapeutic options based on animal model experiments.

    PubMed

    Kido, Hiroshi; Indalao, Irene L; Kim, Hyejin; Kimoto, Takashi; Sakai, Satoko; Takahashi, Etsuhisa

    2016-09-01

    Severe influenza is characterized by cytokine storm and multiorgan failure. Influenza patients with underlying diseases show a rapid progression in disease severity. The major mechanism that underlies multiorgan failure during the progressive stage of infection, particularly in patients with underlying risk factors, is mitochondrial energy crisis. The relationship between the factors that determine infection severity, such as influenza virus, cytokines, cellular trypsin as a hemagglutinin processing protease for viral multiplication, accumulation of metabolic intermediates and ATP crisis in mitochondria, is termed the "influenza virus-cytokine-trypsin" cycle. This occurs during the initial stages of infection, and is interconnected with the "metabolic disorders-cytokine" cycle in the middle to late phase of infection. Experiments using animal models have highlighted the complex relationship between these two cycles. New treatment options have been proposed that target the ATP crisis and multiorgan failure during the late phase of infection, rather than antiviral treatments with neuraminidase inhibitors that work during the initial phase. These options are (i) restoration of glucose oxidation in mitochondria by diisopropylamine dichloroacetate, which inhibits infection-induced pyruvate dehydrogenase kinase 4 activity, and (ii) restoration of long-chain fatty acid oxidation in mitochondria by l-carnitine and bezafibrate, an agonist of peroxisome proliferation-activated receptors-β/δ, which transcriptionally upregulates carnitine palmitoyltransferase II. The latter is particularly effective in patients with influenza-associated encephalopathy who have thermolabile and short half-life compound variants of carnitine palmitoyltransferase II. PMID:27566378

  3. Real options valuation and optimization of energy assets

    NASA Astrophysics Data System (ADS)

    Thompson, Matthew

    In this thesis we present algorithms for the valuation and optimal operation of natural gas storage facilities, hydro-electric power plants and thermal power generators in competitive markets. Real options theory is used to derive nonlinear partial-integro-differential equations (PIDEs) for the valuation and optimal operating strategies of all types of facilities. The equations are designed to incorporate a wide class of spot price models that can exhibit the same time-dependent, mean-reverting dynamics and price spikes as those observed in most energy markets. Particular attention is paid to the operational characteristics of real energy assets. For natural gas storage facilities these characteristics include: working gas capacities, variable deliverability and injection rates and cycling limitations. For thermal power plants relevant operational characteristics include variable start-up times and costs, control response time lags, minimum generating levels, nonlinear output functions, structural limitations on ramp rates, and minimum up/down time restrictions. For hydro-electric units, head effects and environmental constraints are addressed. We illustrate the models with numerical examples of a gas storage facility, a hydro-electric pump storage facility and a thermal power plant. This PIDE framework is the first in the literature to achieve second order accuracy in characterizing the operating states of hydro-electric and hydro-thermal power plants. The continuous state space representation derived in this thesis can therefore achieve far greater realism in terms of operating state specification than any other method in the literature to date. This thesis is also the first and only to allow for any continuous time jump diffusion processes in order to account for price spikes.

  4. Assessing the impact of global price interdependencies.

    PubMed

    Richter, Anke

    2008-01-01

    Documented launch delays and the ensuing debate over their underlying causes have focused on assessment from the individual country's perspective. Seen in a larger game theoretical framework this may cause problems, because although the countries see an individual game, the pharmaceutical firm sees a repeated linked game. The links are due to external reference pricing and parallel trade. Behaviours that are optimal in the single, individual game (for either the country or the pharmaceutical firm) may no longer be optimal when considering the global repeated game. A theoretical mixed integer linear model of the firm's launch and pricing decisions is presented along with examples wherein international price dependencies most likely played a role. This model can help countries understand the implication of their external reference pricing policies on the global repeated pricing game. Understanding the behaviour of the pharmaceutical firm in this global context aids countries in designing policies to maximize the welfare of their citizens.

  5. Exploring Higher Education Financing Options

    ERIC Educational Resources Information Center

    Nkrumah-Young, Kofi K.; Powell, Philip

    2011-01-01

    Higher education can be financed privately, financed by governments, or shared. Given that the benefits of education accrue to the individual and the state, many governments opt for shared financing. This article examines the underpinnings of different options for financing higher education and develops a model to compare conditions to choices and…

  6. Cost Analysis and its Use in Simulation of Policy Options: The Papua New Guinea Education Finance Model.

    ERIC Educational Resources Information Center

    Webster, Thomas

    1997-01-01

    Describes the structure and operations of a computer simulation model used in Papua New Guinea, developed with technical assistance from UNESCO. Notes that model establishes baseline data on student enrollments, teacher posts, and costs of education, and can be used to simulate policies under consideration and provide output on student flows,…

  7. Stock and option portfolio using fuzzy logic approach

    NASA Astrophysics Data System (ADS)

    Sumarti, Novriana; Wahyudi, Nanang

    2014-03-01

    Fuzzy Logic in decision-making process has been widely implemented in various problems in industries. It is the theory of imprecision and uncertainty that was not based on probability theory. Fuzzy Logic adds values of degree between absolute true and absolute false. It starts with and builds on a set of human language rules supplied by the user. The fuzzy systems convert these rules to their mathematical equivalents. This could simplify the job of the system designer and the computer, and results in much more accurate representations of the way systems behave in the real world. In this paper we examine the decision making process of stock and option trading by the usage of MACD (Moving Average Convergence Divergence) technical analysis and Option Pricing with Fuzzy Logic approach. MACD technical analysis is for the prediction of the trends of underlying stock prices, such as bearish (going downward), bullish (going upward), and sideways. By using Fuzzy C-Means technique and Mamdani Fuzzy Inference System, we define the decision output where the value of MACD is high then decision is "Strong Sell", and the value of MACD is Low then the decision is "Strong Buy". We also implement the fuzzification of the Black-Scholes option-pricing formula. The stock and options methods are implemented on a portfolio of one stock and its options. Even though the values of input data, such as interest rates, stock price and its volatility, cannot be obtain accurately, these fuzzy methods can give a belief degree of the calculated the Black-Scholes formula so we can make the decision on option trading. The results show the good capability of the methods in the prediction of stock price trends. The performance of the simulated portfolio for a particular period of time also shows good return.

  8. Unit Price Scaling Trends for Chemical Products

    SciTech Connect

    Qi, Wei; Sathre, Roger; William R. Morrow, III; Shehabi, Arman

    2015-08-01

    To facilitate early-stage life-cycle techno-economic modeling of emerging technologies, here we identify scaling relations between unit price and sales quantity for a variety of chemical products of three categories - metal salts, organic compounds, and solvents. We collect price quotations for lab-scale and bulk purchases of chemicals from both U.S. and Chinese suppliers. We apply a log-log linear regression model to estimate the price discount effect. Using the median discount factor of each category, one can infer bulk prices of products for which only lab-scale prices are available. We conduct out-of-sample tests showing that most of the price proxies deviate from their actual reference prices by a factor less than ten. We also apply the bootstrap method to determine if a sample median discount factor should be accepted for price approximation. We find that appropriate discount factors for metal salts and for solvents are both -0.56, while that for organic compounds is -0.67 and is less representative due to greater extent of product heterogeneity within this category.

  9. The Minimum Wage, Restaurant Prices, and Labor Market Structure

    ERIC Educational Resources Information Center

    Aaronson, Daniel; French, Eric; MacDonald, James

    2008-01-01

    Using store-level and aggregated Consumer Price Index data, we show that restaurant prices rise in response to minimum wage increases under several sources of identifying variation. We introduce a general model of employment determination that implies minimum wage hikes cause prices to rise in competitive labor markets but potentially fall in…

  10. Traders' strategy with price feedbacks in financial market

    NASA Astrophysics Data System (ADS)

    Mizuno, Takayuki; Nakano, Tohur; Takayasu, Misako; Takayasu, Hideki

    2004-12-01

    We introduce an autoregressive-type model of prices in the financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible for the slow diffusion in short times, apparent trends and power law distribution of price changes.

  11. Limit Pricing with Incomplete Information: Answers to Frequently Asked Questions

    ERIC Educational Resources Information Center

    Sorenson, Timothy L.

    2004-01-01

    Strategic pricing is an important and exciting topic in industrial organization and the economics of strategy. A wide range of texts use what has become a standard version of the Milgrom and Roberts (1982a) limit-pricing model to convey the essential ideas of strategic pricing under incomplete information. In addition to providing a formal, but…

  12. Operation Valuation: Teaching Pricing Concepts in an Experiential Environment

    ERIC Educational Resources Information Center

    Mills, Adam J.; Treen, Emily

    2016-01-01

    Although marketing education has seen a dramatic shift toward hands-on, experiential learning in recent years, the teaching of pricing has fallen behind complementary elements of the marketing mix in pedagogical execution. Although the teaching of pricing has shifted focus from economic-based models to value-based pricing in theory, available…

  13. Documentation of a restart option for the U.S. Geological Survey coupled Groundwater and Surface-Water Flow (GSFLOW) model

    USGS Publications Warehouse

    Regan, Robert S.; Niswonger, Richard G.; Markstrom, Steven L.; Barlow, Paul M.

    2015-10-02

    The spin-up simulation should be run for a sufficient length of time necessary to establish antecedent conditions throughout a model domain. Each GSFLOW application can require different lengths of time to account for the hydrologic stresses to propagate through a coupled groundwater and surface-water system. Typically, groundwater hydrologic processes require many years to come into equilibrium with dynamic climate and other forcing (or stress) data, such as precipitation and well pumping, whereas runoff-dominated surface-water processes respond relatively quickly. Use of a spin-up simulation can substantially reduce execution-time requirements for applications where the time period of interest is small compared to the time for hydrologic memory; thus, use of the restart option can be an efficient strategy for forecast and calibration simulations that require multiple simulations starting from the same day.

  14. Prediction of future asset prices

    NASA Astrophysics Data System (ADS)

    Seong, Ng Yew; Hin, Pooi Ah; Ching, Soo Huei

    2014-12-01

    This paper attempts to incorporate trading volumes as an additional predictor for predicting asset prices. Denoting r(t) as the vector consisting of the time-t values of the trading volume and price of a given asset, we model the time-(t+1) asset price to be dependent on the present and l-1 past values r(t), r(t-1), ....., r(t-1+1) via a conditional distribution which is derived from a (2l+1)-dimensional power-normal distribution. A prediction interval based on the 100(α/2)% and 100(1-α/2)% points of the conditional distribution is then obtained. By examining the average lengths of the prediction intervals found by using the composite indices of the Malaysia stock market for the period 2008 to 2013, we found that the value 2 appears to be a good choice for l. With the omission of the trading volume in the vector r(t), the corresponding prediction interval exhibits a slightly longer average length, showing that it might be desirable to keep trading volume as a predictor. From the above conditional distribution, the probability that the time-(t+1) asset price will be larger than the time-t asset price is next computed. When the probability differs from 0 (or 1) by less than 0.03, the observed time-(t+1) increase in price tends to be negative (or positive). Thus the above probability has a good potential of being used as a market indicator in technical analysis.

  15. Trade-offs between pasture production and farmland bird conservation: exploration of options using a dynamic farm model.

    PubMed

    Sabatier, R; Teillard, F; Rossing, W A H; Doyen, L; Tichit, M

    2015-05-01

    In European grassland landscapes, grazing and mowing play a key role for the maintenance of high-quality habitats that host important bird populations. As grasslands are also key resources for cattle feeding, there is a need to develop management strategies that achieve the double objective of production and biodiversity conservation. The objective of this study was to use a modelling approach to generate recognisable patterns of bird dynamics in farms composed of different land use proportions, and to compare their production and ecological dimensions. We developed a dynamic model, which linked grassland management to bird population dynamics at the field and farm levels. The model was parameterised for two types of suckling farms corresponding to contrasting levels of grassland intensification and for two bird species of high conservation value. A viability algorithm was used to define and assess viable management strategies for production and ecological performance so as to draw the shape of the relationship between both types of performances for the two types of farms. Our results indicated that, at the farm level, there was a farming system effect with a negative and non-linear relationship linking performance. Improving bird population maintenance was less costly in extensive farms compared with intensive farms. At the field level, the model predicted the timing and intensity of land use, maximising either production or ecological performance. The results suggested that multi-objective grassland management would benefit from public policies that consider levels of organisation higher than the field level, such as the farm or the landscape.

  16. What's Happened to the Price of College? Quality-Adjusted Net Price Indexes for Four Year Colleges

    ERIC Educational Resources Information Center

    Schwartz, Amy Ellen; Scafidi, Benjamin

    2004-01-01

    Hedonic models of the price of college to construct quality-adjusted net price indexes for U.S. four-year colleges were estimated. A 22 percent decline in the estimated price index is reported by adjusting for financial aid, while quality adjusting results lead to a smaller decline, for academic years 1990-91 to 1994-95.

  17. STS pricing policy

    NASA Technical Reports Server (NTRS)

    Lee, C. M.; Stone, B.

    1982-01-01

    In 1977 NASA published Shuttle Reimbursement Policies for Civil U.S. Government, DOD and Commercial and Foreign Users. These policies were based on the principle of total cost recovery over a period of time with a fixed flat price for initial period to time to enhance transition. This fixed period was to be followed with annual adjustments thereafter, NASA is establishing a new price for 1986 and beyond. In order to recover costs, that price must be higher than the initial fixed price through FY 1985. NASA intends to remain competitive. Competitive posture includes not only price, but other factors such as assured launch, reliability, and unique services. NASA's pricing policy considers all these factors.

  18. 48 CFR 22.404-12 - Labor standards for contracts containing construction requirements and option provisions that...

    Code of Federal Regulations, 2013 CFR

    2013-10-01

    ... 1.1). At option exercise, the contracting officer incorporates the pricing data from the latest... contracts containing construction requirements and option provisions that extend the term of the contract... option provisions that extend the term of the contract. (a) Each time the contracting officer...

  19. 48 CFR 22.404-12 - Labor standards for contracts containing construction requirements and option provisions that...

    Code of Federal Regulations, 2014 CFR

    2014-10-01

    ... 1.1). At option exercise, the contracting officer incorporates the pricing data from the latest... contracts containing construction requirements and option provisions that extend the term of the contract... option provisions that extend the term of the contract. (a) Each time the contracting officer...

  20. 78 FR 29420 - Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-05-20

    ... rebate amounts do. \\7\\ See current C2 Fees Schedule, Section 1, and NOM Chapter XV (Options Pricing... COMMISSION Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing and Immediate... given that on May 01, 2013, C2 Options Exchange, Incorporated (the ``Exchange'' or ``C2'') filed...

  1. 48 CFR 22.404-12 - Labor standards for contracts containing construction requirements and option provisions that...

    Code of Federal Regulations, 2010 CFR

    2010-10-01

    ... 1.1). At option exercise, the contracting officer incorporates the pricing data from the latest... contracts containing construction requirements and option provisions that extend the term of the contract... option provisions that extend the term of the contract. (a) Each time the contracting officer...

  2. Coal-Mine Liquidation as a Strategic Managerial Decision: a Decision-Making Model Based on the Options Approach / Likwidacja Kopalni Jako Strategiczna Decyzja Menedżerska: Model Decyzyjny Z Wykorzystaniem Podejścia Opcyjnego

    NASA Astrophysics Data System (ADS)

    Jewartowski, Tomasz; Mizerka, Jacek; Mróz, Cezary

    2015-09-01

    The aim of this paper is to determine the optimal time of coal mine liquidation given the necessity of bearing the costs of post-mining reclamation. In order to consider the volatility of parameters important for making a liquidation decision and the entrepreneur's flexibility in the decision-making process, the real options approach was applied. Mine liquidation, which is inextricably linked to post-mining reclamation, is examined as an American put option on the market value of continuing the mine's operation which plays the role of the underlying asset. In turn, the role of the exercise price is played by expenditures for mine liquidation and post-mining reclamation, which can be avoided if the decision to close the mine is taken before all the deposits are exhausted. The liquidation option is exercised when the value of liquidation and reclamation cost savings significantly exceeds the continuation value. Mine liquidation was additionally made conditional on the value of funds accumulated to finance post-mining reclamation. Artykuł dotyczy ustalenia optymalnego momentu likwidacji kopalni w związku z koniecznością ponoszenia kosztów rekultywacji gruntów pokopalnianych. W celu uwzględnienia zmienności wartości parametrów istotnych dla podjęcia decyzji o likwidacji oraz elastyczności w podejmowaniu decyzji przez przedsiębiorcę, wykorzystano podejście opcyjne. Likwidację kopalni, która jest nierozłącznie związana z rekultywacją terenów pokopalnianych, rozpatruje się jako amerykańską opcję sprzedaży (put) wystawioną na rynkową wartość kontynuacji działalności kopalni pełniącą rolę instrumentu bazowego. Z kolei rolę ceny wykonania odgrywają nakłady na likwidację kopalni i rekultywację terenów pokopalnianych, poniesienia których można uniknąć, gdy decyzja o wstrzymaniu eksploatacji zapadnie przed wyczerpaniem się złoża. Opcja likwidacji jest wykonywana, gdy kwota nakładów na likwidację i rekultywację znacz

  3. Estimating Prices of Products

    NASA Technical Reports Server (NTRS)

    Aster, R. W.; Chamberlain, R. G.; Zendejas, S. C.; Lee, T. S.; Malhotra, S.

    1986-01-01

    Company-wide or process-wide production simulated. Price Estimation Guidelines (IPEG) program provides simple, accurate estimates of prices of manufactured products. Simplification of SAMIS allows analyst with limited time and computing resources to perform greater number of sensitivity studies. Although developed for photovoltaic industry, readily adaptable to standard assembly-line type of manufacturing industry. IPEG program estimates annual production price per unit. IPEG/PC program written in TURBO PASCAL.

  4. Food price volatility

    PubMed Central

    Gilbert, C. L.; Morgan, C. W.

    2010-01-01

    The high food prices experienced over recent years have led to the widespread view that food price volatility has increased. However, volatility has generally been lower over the two most recent decades than previously. Variability over the most recent period has been high but, with the important exception of rice, not out of line with historical experience. There is weak evidence that grains price volatility more generally may be increasing but it is too early to say. PMID:20713400

  5. 48 CFR 17.202 - Use of options.

    Code of Federal Regulations, 2013 CFR

    2013-10-01

    ... officer— (1) The foreseeable requirements involve— (i) Minimum economic quantities (i.e., quantities large...) The contractor will incur undue risks; e.g., the price or availability of necessary materials or labor... unless (i) the basic quantity is a learning or testing quantity and (ii) competition for the option...

  6. Exploring Model Assumptions Through Three Dimensional Mixing Simulations Using a High-order Hydro Option in the Ares Code

    NASA Astrophysics Data System (ADS)

    White, Justin; Olson, Britton; Morgan, Brandon; McFarland, Jacob; Lawrence Livermore National Laboratory Team; University of Missouri-Columbia Team

    2015-11-01

    This work presents results from a large eddy simulation of a high Reynolds number Rayleigh-Taylor instability and Richtmyer-Meshkov instability. A tenth-order compact differencing scheme on a fixed Eulerian mesh is utilized within the Ares code developed at Lawrence Livermore National Laboratory. (LLNL) We explore the self-similar limit of the mixing layer growth in order to evaluate the k-L-a Reynolds Averaged Navier Stokes (RANS) model (Morgan and Wickett, Phys. Rev. E, 2015). Furthermore, profiles of turbulent kinetic energy, turbulent length scale, mass flux velocity, and density-specific-volume correlation are extracted in order to aid the creation a high fidelity LES data set for RANS modeling. Prepared by LLNL under Contract DE-AC52-07NA27344.

  7. Use of crop simulation models to evaluate limited irrigation management options for corn in a semiarid environment

    NASA Astrophysics Data System (ADS)

    Saseendran, S. A.; Ahuja, L. R.; Nielsen, D. C.; Trout, T. J.; Ma, L.

    2008-07-01

    Increasing competition for land and water resources due to increasing demands from rapid population growth calls for increasing water use efficiency of irrigated crops. It is important to develop location-specific agronomic practices to maximize water use efficiency (WUE). Adequately calibrated and validated agricultural systems models provide a systems approach and a fast alternative method for developing and evaluating agronomic practices that can utilize technological advances in limited irrigation agriculture. The objectives of this study were to (1) calibrate and validate the CERES-maize model under both dryland and irrigated corn (Zea mays L.) production in northeastern Colorado and (2) use the model with a long-term weather record to determine (1) optimum allocation of limited irrigation between vegetative and reproductive growth stages and (2) optimum soil water depletion level for initiating limited irrigation. The soil series was a Rago silt loam, and the initial water content on 1 January of each year was equal to field capacity in the upper 300 mm and half of the field capacity below this depth. Optimum production and WUE with minimum nitrogen (N) losses were found when (1) a water allocation ratio of 40:60 or 50:50 (uniform) between vegetative and reproductive stages for irrigations up to 100 mm, and a ratio of 20:80 for irrigations above 100 mm was used; and (2) irrigation was initiated at 20% plant-available water (PAW) (80% depletion). When available water for irrigation is limited to 100 mm, irrigating 50% of the area with 200 mm of water at 20:80 split irrigations between the vegetative and reproductive stages produced greater yield than irrigating 100% of the area with 100 mm water. Concepts developed in the study can potentially be adapted to other locations, climates, and crops. However, precise site-specific recommendations need to be developed for each soil-climate zone using the validated system model.

  8. Evaluating climate change impacts and adaptation options for agriculture in West Africa: a multi-model comparison

    NASA Astrophysics Data System (ADS)

    Sultan, B.; Lobell, D. B.; Biasutti, M.; Guan, K.; Roudier, P.; Piani, C.

    2013-12-01

    Climate change is likely to stress food production in many parts of the developing world over the next few decades. In areas such as West Africa, where poor communities are highly dependent on the direct use of local natural resources, the effects of climate change on food security could be particularly devastating. Given these concerns, there is great interest in identifying and investing in technologies or practices that could help farmers adapt to climate variability and change. Recent studies found a robust agreement across the various climate models of the IPCC Coupled Models Inter-comparison Program ensemble on the seasonal distribution of Sahel rainfall changes (with a drying of the early season and positive rainfall anomaly at the end) in contrast with a large uncertainty for summertime rainfall totals. These changes will therefore certainly impact agriculture strategy (selection of new cultivars, later sowing) and output. This study estimates such impacts by using a series of climate scenarios as input for two crop models for multiple locations within West Africa. Simulations are run for the two major crops in the region - sorghum and millets. Building on the above simulations, we then simulate different scenarios of adaptation that could be used to cope with climate changes.

  9. Pricing life insurance contracts with early exercise features

    NASA Astrophysics Data System (ADS)

    Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro

    2009-11-01

    In this paper we describe an algorithm based on the Least Squares Monte Carlo method to price life insurance contracts embedding American options. We focus on equity-linked contracts with surrender options and terminal guarantees on benefits payable upon death, survival and surrender. The framework allows for randomness in mortality as well as stochastic volatility and jumps in financial risk factors. We provide numerical experiments demonstrating the performance of the algorithm in the context of multiple risk factors and exercise dates.

  10. Exploring Modeling Options and Conversion of Average Response to Appropriate Vibration Envelopes for a Typical Cylindrical Vehicle Panel with Rib-stiffened Design

    NASA Technical Reports Server (NTRS)

    Harrison, Phil; LaVerde, Bruce; Teague, David

    2009-01-01

    Although applications for Statistical Energy Analysis (SEA) techniques are more widely used in the aerospace industry today, opportunities to anchor the response predictions using measured data from a flight-like launch vehicle structure are still quite valuable. Response and excitation data from a ground acoustic test at the Marshall Space Flight Center permitted the authors to compare and evaluate several modeling techniques available in the SEA module of the commercial code VA One. This paper provides an example of vibration response estimates developed using different modeling approaches to both approximate and bound the response of a flight-like vehicle panel. Since both vibration response and acoustic levels near the panel were available from the ground test, the evaluation provided an opportunity to learn how well the different modeling options can match band-averaged spectra developed from the test data. Additional work was performed to understand the spatial averaging of the measurements across the panel from measured data. Finally an evaluation/comparison of two conversion approaches from the statistical average response results that are output from an SEA analysis to a more useful envelope of response spectra appropriate to specify design and test vibration levels for a new vehicle.

  11. Volatility of bitumen prices and implications for the industry

    USGS Publications Warehouse

    Attanasi, E.D.

    2008-01-01

    Sustained crude oil price increases have led to increased investment in and production of Canadian bitumen to supplement North American oil supplies. For new projects, the evaluation of profitability is based on a prediction of the future price path of bitumen and ultimately light/medium crude oil. This article examines the relationship between the bitumen and light crude oil prices in the context of a simple error-correction economic-adjustment model. The analysis shows bitumen prices to be significantly more volatile than light crude prices. Also, the dominant effect of an oil price shock on bitumen prices is immediate and is amplified, both in absolute terms and percentage price changes. It is argued that the bitumen industry response to such market risks will likely be a realignment toward vertical integration via new downstream construction, mergers, or on a de facto basis by the establishment of alliances. ?? 2008 International Association for Mathematical Geology.

  12. Delayed endoluminal vacuum therapy for rectal anastomotic leaks after rectal resection in a swine model: a new treatment option.

    PubMed

    Rosenberger, Laura H; Shada, Amber; Ritter, Lane A; Mauro, David M; Mentrikoski, Mark J; Feldman, Sanford H; Kleiner, Daniel E

    2014-04-01

    Anastomotic leaks are a dreaded surgical complication following colorectal operations. Creation of a temporary proximal diverting ileostomy is used in high-risk anastomoses, however, additional surgical risk is accumulated with its creation and reversal. Endoluminal vacuum therapy has been shown to seal anastomotic defects in the prophylactic setting in a pig model and we hypothesized it could be utilized in a delayed fashion to rescue subjects with an active anastomotic leak. Yorkshire pigs underwent rectal resection, intentional leak confirmed by fluoroscopy, and endoluminal vacuum therapy device placement to low continuous suction. Following treatment, a contrast enema and necropsy was performed for gross and histopathology. Pigs underwent 2 (or 5) days of free intraperitoneal leak prior to device placement and 5 (or 7) subsequent days of endoluminal vacuum therapy. Six of seven early-treated pigs sealed their anastomotic defect, while two of the four treated pigs in this extended group sealed the defect. Endoluminal vacuum therapy is feasible and well tolerated in a pig model, and it has been shown to seal a significant number of freely leaking anastomoses in the early period (86%). This technology warrants further study as it may provide a noninvasive means to treatment of anastomotic leaks.

  13. Stochastic volatility models and Kelvin waves

    NASA Astrophysics Data System (ADS)

    Lipton, Alex; Sepp, Artur

    2008-08-01

    We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.

  14. Modeling the impact of development and management options on future water resource use in the Nyangores sub-catchment of the Mara Basin in Kenya

    NASA Astrophysics Data System (ADS)

    Omonge, Paul; Herrnegger, Mathew; Fürst, Josef; Olang, Luke

    2016-04-01

    Despite the increasing water insecurity consequent of competing uses, the Nyangores sub-catchment of Kenya is yet to develop an inclusive water use and allocation plan for its water resource systems. As a step towards achieving this, this contribution employed the Water Evaluation and Planning (WEAP) system to evaluate selected policy based water development and management options for future planning purposes. Major water resources of the region were mapped and quantified to establish the current demand versus supply status. To define a reference scenario for subsequent model projections, additional data on urban and rural water consumption, water demand for crop types, daily water use for existing factories and industries were also collated through a rigorous fieldwork procedure. The model was calibrated using the parameter estimation tool (PEST) and validated against observed streamflow data, and subsequently used to simulate feasible management options. Due to lack of up-to-date data for the current year, the year 2000 was selected as the base year for the scenario simulations up to the year 2030, which has been set by the country for realizing most flagship development projects. From the results obtained, the current annual water demand within the sub-catchment is estimated to be around 27.2 million m3 of which 24% is being met through improved and protected water sources including springs, wells and boreholes, while 76% is met through informal and unprotected sources which are insufficient to cater for future increases in demand. Under the reference scenario, the WEAP model predicted an annual total inadequate supply of 8.1 million m3 mostly in the dry season by the year 2030. The current annual unmet water demand is 1.3 million m3 and is noteworthy in the dry seasons of December through February at the irrigation demand site. The monthly unmet domestic demand under High Population Growth (HPG) was projected to be 1.06 million m3 by the year 2030. However

  15. Are Species Coexistence Areas a Good Option for Conservation Management? Applications from Fine Scale Modelling in Two Steppe Birds

    PubMed Central

    Tarjuelo, Rocío; Morales, Manuel B.; Traba, Juan; Delgado, M. Paula

    2014-01-01

    Biotic interactions and land uses have been proposed as factors that determine the distribution of the species at local scale. The presence of heterospecifics may modify the habitat selection pattern of the individuals and this may have important implications for the design of effective conservation strategies. However, conservation proposals are often focused on a single flagship or umbrella species taken as representative of an entire assemblage requirements. Our aim is to identify and evaluate the role of coexistence areas at local scale as conservation tools, by using distribution data of two endangered birds, the Little Bustard and the Great Bustard. Presence-only based suitability models for each species were built with MaxEnt using variables of substrate type and topography. Probability maps of habitat suitability for each species were combined to generate a map in which coexistence and exclusive use areas were delimitated. Probabilities of suitable habitat for each species inside coexistence and exclusive areas were compared. As expected, habitat requirements of Little and Great Bustards differed. Coexistence areas presented lower probabilities of habitat suitability than exclusive use ones. We conclude that differences in species' habitat preferences can hinder the efficiency of protected areas with multi-species conservation purposes. Our results highlight the importance of taking into account the role of biotic interactions when designing conservation measurements. PMID:24498210

  16. Are species coexistence areas a good option for conservation management? Applications from fine scale modelling in two steppe birds.

    PubMed

    Tarjuelo, Rocío; Morales, Manuel B; Traba, Juan; Delgado, M Paula

    2014-01-01

    Biotic interactions and land uses have been proposed as factors that determine the distribution of the species at local scale. The presence of heterospecifics may modify the habitat selection pattern of the individuals and this may have important implications for the design of effective conservation strategies. However, conservation proposals are often focused on a single flagship or umbrella species taken as representative of an entire assemblage requirements. Our aim is to identify and evaluate the role of coexistence areas at local scale as conservation tools, by using distribution data of two endangered birds, the Little Bustard and the Great Bustard. Presence-only based suitability models for each species were built with MaxEnt using variables of substrate type and topography. Probability maps of habitat suitability for each species were combined to generate a map in which coexistence and exclusive use areas were delimitated. Probabilities of suitable habitat for each species inside coexistence and exclusive areas were compared. As expected, habitat requirements of Little and Great Bustards differed. Coexistence areas presented lower probabilities of habitat suitability than exclusive use ones. We conclude that differences in species' habitat preferences can hinder the efficiency of protected areas with multi-species conservation purposes. Our results highlight the importance of taking into account the role of biotic interactions when designing conservation measurements. PMID:24498210

  17. Are species coexistence areas a good option for conservation management? Applications from fine scale modelling in two steppe birds.

    PubMed

    Tarjuelo, Rocío; Morales, Manuel B; Traba, Juan; Delgado, M Paula

    2014-01-01

    Biotic interactions and land uses have been proposed as factors that determine the distribution of the species at local scale. The presence of heterospecifics may modify the habitat selection pattern of the individuals and this may have important implications for the design of effective conservation strategies. However, conservation proposals are often focused on a single flagship or umbrella species taken as representative of an entire assemblage requirements. Our aim is to identify and evaluate the role of coexistence areas at local scale as conservation tools, by using distribution data of two endangered birds, the Little Bustard and the Great Bustard. Presence-only based suitability models for each species were built with MaxEnt using variables of substrate type and topography. Probability maps of habitat suitability for each species were combined to generate a map in which coexistence and exclusive use areas were delimitated. Probabilities of suitable habitat for each species inside coexistence and exclusive areas were compared. As expected, habitat requirements of Little and Great Bustards differed. Coexistence areas presented lower probabilities of habitat suitability than exclusive use ones. We conclude that differences in species' habitat preferences can hinder the efficiency of protected areas with multi-species conservation purposes. Our results highlight the importance of taking into account the role of biotic interactions when designing conservation measurements.

  18. 78 FR 17249 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-03-20

    ... COMMISSION Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend the BOX Price Improvement Period (``PIP'') Rule 7150 March 14... thereunder,\\2\\ notice is hereby given that on March 7, 2013, BOX Options Exchange LLC (the...

  19. 78 FR 8208 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-02-05

    ...\\ See Securities Exchange Act Release No. 44025 (February 28, 2001) 66 FR 13986 (March 8, 2001... (September 28, 2012), 77 FR 60735 (October 4, 2012) (SR-NYSEArca-2012-64 and SR-ISE-2012-58). At any time... an option strike price thus allowing investors to intuitively grasp the option's value, i.e.,...

  20. 76 FR 20066 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Granting...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-04-11

    ... constructed, in the aggregate, to eliminate the stock price dependence. In theory, this option portfolio would.... 63927 (February 17, 2011), 76 FR 10412 (``Notice''). II. Description of the Proposal CBOE has proposed... possible to create pure exposure to volatility by assembling a special portfolio of options. While...

  1. 75 FR 57100 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2010-09-17

    ... determine the applicable matching algorithm \\5\\ for option classes in which COB is activated. Currently....45A or Rule 6.45B, as applicable. \\5\\ The matching algorithms include price-time, pro-rata, and the ultimate matching algorithm (``UMA'') base priorities and a combination of various optional...

  2. 76 FR 76788 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-12-08

    ... not applicable to trading in option classes participating in the Penny Pilot Program. Under the... option ] classes participating in the Penny Pilot Program.\\6\\ The Exchange believes that allowing a price... significant number of series being out-of-the- money. For example, a market participant might have a...

  3. 77 FR 56903 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2012-09-14

    ... be expressed in percentage terms and would be theoretical values.\\8\\ \\6\\ ``Indicative'' values are...\\ These values would be theoretical in that they would be indications of potential market prices for... indicative \\6\\ values for three categories of ``customized'' options. The first category of options is...

  4. SEATSAT programs option analysis

    NASA Technical Reports Server (NTRS)

    Luckl, L.

    1976-01-01

    A preliminary analysis of the costs of SEASAT follow-on options is presented. All the options assume the existence of SEASAT-A as currently defined in the SEASAT Economic Assessment. It is assumed that each option will continue through the year 2000 and approach operational system status in the 1983-1986 period, depending upon the sensor package selected. The launch vehicle assumed through 1983 is the Atlas Agena. After 1983, it is assumed SEASAT-A will switch to the use of the Space Shuttle. All cost estimates are 1976 dollars for fiscal year cost accounting, with no inflation rate included.

  5. 7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ..., rounded to the nearest cent, shall be the protein price per pound times 3.1 plus the other solids price... cents and multiplying the result by 0.99. (n) Protein price. The protein price per pound, rounded to the... one-hundredth cent, shall be the U.S. average NASS dry whey survey price reported by the...

  6. 7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.

    Code of Federal Regulations, 2013 CFR

    2013-01-01

    ..., rounded to the nearest cent, shall be the protein price per pound times 3.1 plus the other solids price... cents and multiplying the result by 0.99. (n) Protein price. The protein price per pound, rounded to the... one-hundredth cent, shall be the U.S. average NASS dry whey survey price reported by the...

  7. 7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.

    Code of Federal Regulations, 2012 CFR

    2012-01-01

    ..., rounded to the nearest cent, shall be the protein price per pound times 3.1 plus the other solids price... cents and multiplying the result by 0.99. (n) Protein price. The protein price per pound, rounded to the... one-hundredth cent, shall be the U.S. average NASS dry whey survey price reported by the...

  8. 7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ..., rounded to the nearest cent, shall be the protein price per pound times 3.1 plus the other solids price... cents and multiplying the result by 0.99. (n) Protein price. The protein price per pound, rounded to the... one-hundredth cent, shall be the U.S. average NASS dry whey survey price reported by the...

  9. 7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.

    Code of Federal Regulations, 2014 CFR

    2014-01-01

    ..., rounded to the nearest cent, shall be the protein price per pound times 3.1 plus the other solids price... cents and multiplying the result by 0.99. (n) Protein price. The protein price per pound, rounded to the... one-hundredth cent, shall be the U.S. average NASS dry whey survey price reported by the...

  10. Mind your pricing cues.

    PubMed

    Anderson, Eric; Simester, Duncan

    2003-09-01

    For most of the items they buy, consumers don't have an accurate sense of what the price should be. Ask them to guess how much a four-pack of 35-mm film costs, and you'll get a variety of wrong answers: Most people will underestimate; many will only shrug. Research shows that consumers' knowledge of the market is so far from perfect that it hardly deserves to be called knowledge at all. Yet people happily buy film and other products every day. Is this because they don't care what kind of deal they're getting? No. Remarkably, it's because they rely on retailers to tell them whether they're getting a good price. In subtle and not-so-subtle ways, retailers send signals to customers, telling them whether a given price is relatively high or low. In this article, the authors review several common pricing cues retailers use--"sale" signs, prices that end in 9, signpost items, and price-matching guarantees. They also offer some surprising facts about how--and how well--those cues work. For instance, the authors' tests with several mail-order catalogs reveal that including the word "sale" beside a price can increase demand by more than 50%. The practice of using a 9 at the end of a price to denote a bargain is so common, you'd think customers would be numb to it. Yet in a study the authors did involving a women's clothing catalog, they increased demand by a third just by changing the price of a dress from $34 to $39. Pricing cues are powerful tools for guiding customers' purchasing decisions, but they must be applied judiciously. Used inappropriately, the cues may breach customers' trust, reduce brand equity, and give rise to lawsuits. PMID:12964397

  11. Greenhouse Gas Mitigation Options in ISEEM Global Energy Model: 2010-2050 Scenario Analysis for Least-Cost Carbon Reduction in Iron and Steel Sector

    SciTech Connect

    Karali, Nihan; Xu, Tengfang; Sathaye, Jayant

    2013-12-01

    The goal of the modeling work carried out in this project was to quantify long-term scenarios for the future emission reduction potentials in the iron and steel sector. The main focus of the project is to examine the impacts of carbon reduction options in the U.S. iron and steel sector under a set of selected scenarios. In order to advance the understanding of carbon emission reduction potential on the national and global scales, and to evaluate the regional impacts of potential U.S. mitigation strategies (e.g., commodity and carbon trading), we also included and examined the carbon reduction scenarios in China’s and India’s iron and steel sectors in this project. For this purpose, a new bottom-up energy modeling framework, the Industrial Sector Energy Efficiency Modeling (ISEEM), (Karali et al. 2012) was used to provide detailed annual projections starting from 2010 through 2050. We used the ISEEM modeling framework to carry out detailed analysis, on a country-by-country basis, for the U.S., China’s, and India’s iron and steel sectors. The ISEEM model applicable to iron and steel section, called ISEEM-IS, is developed to estimate and evaluate carbon emissions scenarios under several alternative mitigation options - including policies (e.g., carbon caps), commodity trading, and carbon trading. The projections will help us to better understand emission reduction potentials with technological and economic implications. The database for input of ISEEM-IS model consists of data and information compiled from various resources such as World Steel Association (WSA), the U.S. Geological Survey (USGS), China Steel Year Books, India Bureau of Mines (IBM), Energy Information Administration (EIA), and recent LBNL studies on bottom-up techno-economic analysis of energy efficiency measures in the iron and steel sector of the U.S., China, and India, including long-term steel production in China. In the ISEEM-IS model, production technology and manufacturing details are

  12. 16 CFR Appendix B to Part 698 - Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices

    Code of Federal Regulations, 2014 CFR

    2014-01-01

    ... connection with account review if a credit score is not used in increasing the annual percentage rate. Model... notices given in connection with account review if a credit score is used in increasing the annual... logo. iii. Alteration of the shading or color contained in the model forms. iv. Use of a different...

  13. 16 CFR Appendix B to Part 698 - Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices

    Code of Federal Regulations, 2012 CFR

    2012-01-01

    ... connection with account review if a credit score is not used in increasing the annual percentage rate. Model... notices given in connection with account review if a credit score is used in increasing the annual... logo. iii. Alteration of the shading or color contained in the model forms. iv. Use of a different...

  14. 16 CFR Appendix B to Part 698 - Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception Notices

    Code of Federal Regulations, 2013 CFR

    2013-01-01

    ... connection with account review if a credit score is not used in increasing the annual percentage rate. Model... notices given in connection with account review if a credit score is used in increasing the annual... logo. iii. Alteration of the shading or color contained in the model forms. iv. Use of a different...

  15. 43 CFR 426.6 - Leasing and full-cost pricing.

    Code of Federal Regulations, 2013 CFR

    2013-10-01

    ... 43 Public Lands: Interior 1 2013-10-01 2013-10-01 false Leasing and full-cost pricing. 426.6..., DEPARTMENT OF THE INTERIOR ACREAGE LIMITATION RULES AND REGULATIONS § 426.6 Leasing and full-cost pricing. (a... exercisable options; however, for perennial crops with an average life longer than 10 years, the term may...

  16. 43 CFR 426.6 - Leasing and full-cost pricing.

    Code of Federal Regulations, 2011 CFR

    2011-10-01

    ... 43 Public Lands: Interior 1 2011-10-01 2011-10-01 false Leasing and full-cost pricing. 426.6..., DEPARTMENT OF THE INTERIOR ACREAGE LIMITATION RULES AND REGULATIONS § 426.6 Leasing and full-cost pricing. (a... exercisable options; however, for perennial crops with an average life longer than 10 years, the term may...

  17. 43 CFR 426.6 - Leasing and full-cost pricing.

    Code of Federal Regulations, 2012 CFR

    2012-10-01

    ... 43 Public Lands: Interior 1 2012-10-01 2011-10-01 true Leasing and full-cost pricing. 426.6..., DEPARTMENT OF THE INTERIOR ACREAGE LIMITATION RULES AND REGULATIONS § 426.6 Leasing and full-cost pricing. (a... exercisable options; however, for perennial crops with an average life longer than 10 years, the term may...

  18. 17 CFR 16.01 - Trading volume, open contracts, prices, and critical dates.

    Code of Federal Regulations, 2012 CFR

    2012-04-01

    ... physicals, and by put, by call, by expiration date and by strike price: (1) The option delta, where a delta... information pertains for the delta factor and settlement price and not later than 12:00 p.m. for the...

  19. 17 CFR 16.01 - Trading volume, open contracts, prices, and critical dates.

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ... physicals, and by put, by call, by expiration date and by strike price: (1) The option delta, where a delta... information pertains for the delta factor and settlement price and not later than 12:00 p.m. for the...

  20. 17 CFR 16.01 - Trading volume, open contracts, prices, and critical dates.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... physicals, and by put, by call, by expiration date and by strike price: (1) The option delta, where a delta... information pertains for the delta factor and settlement price and not later than 12:00 p.m. for the...