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.
Option Pricing in Subdiffusive Bachelier Model
NASA Astrophysics Data System (ADS)
Magdziarz, Marcin; Orzeł, Sebastian; Weron, Aleksander
2011-10-01
The earliest model of stock prices based on Brownian diffusion is the Bachelier model. In this paper we propose an extension of the Bachelier model, which reflects the subdiffusive nature of the underlying asset dynamics. The subdiffusive property is manifested by the random (infinitely divisible) periods of time, during which the asset price does not change. We introduce a subdiffusive arithmetic Brownian motion as a model of stock prices with such characteristics. The structure of this process agrees with two-stage scenario underlying the anomalous diffusion mechanism, in which trapping random events are superimposed on the Langevin dynamics. We find the corresponding fractional Fokker-Planck equation governing the probability density function of the introduced process. We construct the corresponding martingale measure and show that the model is incomplete. We derive the formulas for European put and call option prices. We describe explicit algorithms and present some Monte-Carlo simulations for the particular cases of α-stable and tempered α-stable distributions of waiting times.
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…
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…
American option pricing in Gauss-Markov interest rate models
NASA Astrophysics Data System (ADS)
Galluccio, Stefano
1999-07-01
In the context of Gaussian non-homogeneous interest-rate models, we study the problem of American bond option pricing. In particular, we show how to efficiently compute the exercise boundary in these models in order to decompose the price as a sum of a European option and an American premium. Generalizations to coupon-bearing bonds and jump-diffusion processes for the interest rates are also discussed.
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.
An empirical model of volatility of returns and option pricing
NASA Astrophysics Data System (ADS)
McCauley, Joseph L.; Gunaratne, Gemunu H.
2003-11-01
This paper reports several entirely new results on financial market dynamics and option pricing. We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian. This exponential distribution of asset prices can be used to develop a new pricing model for options (in closed algebraic form) that is shown to provide valuations that agree very well with those used by traders. We show how the Fokker-Planck formulation of fluctuations can be used with a local volatility (diffusion coefficient) to generate an exponential distribution for asset returns, and also how fat tails for extreme returns are generated dynamically by a simple generalization of our new volatility model. Nonuniqueness in deducing dynamics from empirical data is discussed and is shown to have no practical effect over time scales much less than one hundred years. We derive an option pricing pde and explain why it is superfluous, because all information required to price options in agreement with the delta-hedge is already included in the Green function of the Fokker-Planck equation for a special choice of parameters. Finally, we also show how to calculate put and call prices for a stretched exponential returns density.
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.
NASA Astrophysics Data System (ADS)
Dharmawan, Komang
2017-03-01
It has been claimed in many literatures that the prices of some agriculture commodities tend to follow mean reversion. However, when dealing with the prices of agriculture commodities, is mean-reversion realistic enough without incorporating seasonality and jump diffusion? This research tries to answer the question. The combination between mean-reversion feature, jump and seasonal components are applied to model the behavior of agriculture commodity prices. A jump and seasonal components are added to the standard mean-reverting process in order to reproduce the spiky or jump behaviors. This model has been well applied on simulating the electricity prices but it has not been applied to investigate the behavior of agriculture commodity prices yet. This paper discusses the performance of the model when it is used to price European call options. First, the deterministic seasonality part is calibrated using the least square method. The second stage is to calibrate the stochastic part based on historical prices. The parameters are calibrated by discretizing the model. Hence, the discretized model allows us to perform Monte Carlo simulation on the commodity price under real-word probability. The analysis is conducted using 2 future price of Crude Palm Oil and Coffee Bean on standard payoff functions, a Basket, a Spread, Best of Call, and Worst of Call Options.
Option pricing formulas based on a non-Gaussian stock price model.
Borland, Lisa
2002-08-26
Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter q. A generalized form of the Black-Scholes (BS) partial differential equation and some closed-form solutions are obtained. The standard BS equation (q=1) which is used by economists to calculate option prices requires multiple values of the stock volatility (known as the volatility smile). Using q=1.5 which well models the empirical distribution of returns, we get a good description of option prices using a single volatility.
NASA Astrophysics Data System (ADS)
Winarti, Yuyun Guna; Noviyanti, Lienda; Setyanto, Gatot R.
2017-03-01
The stock investment is a high risk investment. Therefore, there are derivative securities to reduce these risks. One of them is Asian option. The most fundamental of option is option pricing. Many factors that determine the option price are underlying asset price, strike price, maturity date, volatility, risk free interest rate and dividends. Various option pricing usually assume that risk free interest rate is constant. While in reality, this factor is stochastic process. The arithmetic Asian option is free from distribution, then, its pricing is done using the modified Black-Scholes model. In this research, the modification use the Curran approximation. This research focuses on the arithmetic Asian option pricing without dividends. The data used is the stock daily closing data of Telkom from January 1 2016 to June 30 2016. Finnaly, those option price can be used as an option trading strategy.
Pricing European option under the time-changed mixed Brownian-fractional Brownian model
NASA Astrophysics Data System (ADS)
Guo, Zhidong; Yuan, Hongjun
2014-07-01
This paper deals with the problem of discrete time option pricing by a mixed Brownian-fractional subdiffusive Black-Scholes model. Under the assumption that the price of the underlying stock follows a time-changed mixed Brownian-fractional Brownian motion, we derive a pricing formula for the European call option in a discrete time setting.
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.
Option price and market instability
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Yu, Miao
2017-04-01
An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters-unlike the Black-Scholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007-2008. We make a hypothesis that the failure of the option price to fit data is an indication of the market's large deviation from its near equilibrium behavior due to the market's instability. Furthermore, our indicator of market's instability is shown to be more accurate than the option's observed volatility. The market prices of the FX option for various currencies are studied in the light of our hypothesis.
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.
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.
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).
Option pricing for stochastic volatility model with infinite activity Lévy jumps
NASA Astrophysics Data System (ADS)
Gong, Xiaoli; Zhuang, Xintian
2016-08-01
The purpose of this paper is to apply the stochastic volatility model driven by infinite activity Lévy processes to option pricing which displays infinite activity jumps behaviors and time varying volatility that is consistent with the phenomenon observed in underlying asset dynamics. We specially pay attention to three typical Lévy processes that replace the compound Poisson jumps in Bates model, aiming to capture the leptokurtic feature in asset returns and volatility clustering effect in returns variance. By utilizing the analytical characteristic function and fast Fourier transform technique, the closed form formula of option pricing can be derived. The intelligent global optimization search algorithm called Differential Evolution is introduced into the above highly dimensional models for parameters calibration so as to improve the calibration quality of fitted option models. Finally, we perform empirical researches using both time series data and options data on financial markets to illustrate the effectiveness and superiority of the proposed method.
On the Black-Scholes European Option Pricing Model Robustness and Generality
NASA Astrophysics Data System (ADS)
Takada, Hellinton Hatsuo; de Oliveira Siqueira, José
2008-11-01
The common presentation of the widely known and accepted Black-Scholes European option pricing model explicitly imposes some restrictions such as the geometric Brownian motion assumption for the underlying stock price. In this paper, these usual restrictions are relaxed using maximum entropy principle of information theory, Pearson's distribution system, market frictionless and risk-neutrality theories to the calculation of a unique risk-neutral probability measure calibrated with market parameters.
Option pricing: Stock price, stock velocity and the acceleration Lagrangian
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra
2014-12-01
The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries part of the information that is provided by implied volatility, and with a few (time-independent) parameters required for a complete pricing formula. An option pricing formula is developed that is based on knowing the value of both the current price and rate of return of the underlying security which in physics is called velocity. Using an acceleration Lagrangian model based on the formalism of quantum mathematics, we derive the pricing formula for European call options. The implied volatility of the market can be generated by our pricing formula. Our option price is applied to foreign exchange rates and equities and the accuracy is compared with Black-Scholes pricing formula and with the market price.
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.
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.
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.
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.
Policy options for alcohol price regulation: the importance of modelling population heterogeneity.
Meier, Petra Sylvia; Purshouse, Robin; Brennan, Alan
2010-03-01
Context and aims Internationally, the repertoire of alcohol pricing policies has expanded to include targeted taxation, inflation-linked taxation, taxation based on alcohol-by-volume (ABV), minimum pricing policies (general or targeted), bans of below-cost selling and restricting price-based promotions. Policy makers clearly need to consider how options compare in reducing harms at the population level, but are also required to demonstrate proportionality of their actions, which necessitates a detailed understanding of policy effects on different population subgroups. This paper presents selected findings from a policy appraisal for the UK government and discusses the importance of accounting for population heterogeneity in such analyses. Method We have built a causal, deterministic, epidemiological model which takes account of differential preferences by population subgroups defined by age, gender and level of drinking (moderate, hazardous, harmful). We consider purchasing preferences in terms of the types and volumes of alcoholic beverages, prices paid and the balance between bars, clubs and restaurants as opposed to supermarkets and off-licenses. Results Age, sex and level of drinking fundamentally affect beverage preferences, drinking location, prices paid, price sensitivity and tendency to substitute for other beverage types. Pricing policies vary in their impact on different product types, price points and venues, thus having distinctly different effects on subgroups. Because population subgroups also have substantially different risk profiles for harms, policies are differentially effective in reducing health, crime, work-place absence and unemployment harms. Conclusion Policy appraisals must account for population heterogeneity and complexity if resulting interventions are to be well considered, proportionate, effective and cost-effective.
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.
Pricing bounds for discrete arithmetic Asian options under Lévy models
NASA Astrophysics Data System (ADS)
Lemmens, D.; Liang, L. Z. J.; Tempere, J.; De Schepper, A.
2010-11-01
Analytical bounds for Asian options are almost exclusively available in the Black-Scholes framework. In this paper we derive bounds for the price of a discretely monitored arithmetic Asian option when the underlying asset follows an arbitrary Lévy process. Explicit formulas are given for Kou’s model, Merton’s model, the normal inverse Gaussian model, the CGMY model and the variance gamma model. The results are compared with the comonotonic upper bound, existing numerical results, Monte carlo simulations and in the case of the variance gamma model with an existing lower bound. The method outlined here provides lower and upper bounds that are quick to evaluate, and more accurate than existing bounds.
Approximation methods of European option pricing in multiscale stochastic volatility model
NASA Astrophysics Data System (ADS)
Ni, Ying; Canhanga, Betuel; Malyarenko, Anatoliy; Silvestrov, Sergei
2017-01-01
In the classical Black-Scholes model for financial option pricing, the asset price follows a geometric Brownian motion with constant volatility. Empirical findings such as volatility smile/skew, fat-tailed asset return distributions have suggested that the constant volatility assumption might not be realistic. A general stochastic volatility model, e.g. Heston model, GARCH model and SABR volatility model, in which the variance/volatility itself follows typically a mean-reverting stochastic process, has shown to be superior in terms of capturing the empirical facts. However in order to capture more features of the volatility smile a two-factor, of double Heston type, stochastic volatility model is more useful as shown in Christoffersen, Heston and Jacobs [12]. We consider one modified form of such two-factor volatility models in which the volatility has multiscale mean-reversion rates. Our model contains two mean-reverting volatility processes with a fast and a slow reverting rate respectively. We consider the European option pricing problem under one type of the multiscale stochastic volatility model where the two volatility processes act as independent factors in the asset price process. The novelty in this paper is an approximating analytical solution using asymptotic expansion method which extends the authors earlier research in Canhanga et al. [5, 6]. In addition we propose a numerical approximating solution using Monte-Carlo simulation. For completeness and for comparison we also implement the semi-analytical solution by Chiarella and Ziveyi [11] using method of characteristics, Fourier and bivariate Laplace transforms.
Path integral pricing of Wasabi option in the Black-Scholes model
NASA Astrophysics Data System (ADS)
Cassagnes, Aurelien; Chen, Yu; Ohashi, Hirotada
2014-11-01
In this paper, using path integral techniques, we derive a formula for a propagator arising in the study of occupation time derivatives. Using this result we derive a fair price for the case of the cumulative Parisian option. After confirming the validity of the derived result using Monte Carlo simulation, a new type of heavily path dependent derivative product is investigated. We derive an approximation for our so-called Wasabi option fair price and check the accuracy of our result with a Monte Carlo simulation.
Zheng, Wendong; Zeng, Pingping
2016-01-01
ABSTRACT Most of the empirical studies on stochastic volatility dynamics favour the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model (SVM) is reported to be able to capture the volatility skew evolution better than the Heston model. In this article, we make a thorough investigation on the analytic tractability of the 3/2 SVM by proposing a closed-form formula for the partial transform of the triple joint transition density which stand for the log asset price, the quadratic variation (continuous realized variance) and the instantaneous variance, respectively. Two distinct formulations are provided for deriving the main result. The closed-form partial transform enables us to deduce a variety of marginal partial transforms and characteristic functions and plays a crucial role in pricing discretely sampled variance derivatives and exotic options that depend on both the asset price and quadratic variation. Various applications and numerical examples on pricing moment swaps and timer options with discrete monitoring feature are given to demonstrate the versatility of the partial transform under the 3/2 model. PMID:28706460
Zheng, Wendong; Zeng, Pingping
2016-09-02
Most of the empirical studies on stochastic volatility dynamics favour the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model (SVM) is reported to be able to capture the volatility skew evolution better than the Heston model. In this article, we make a thorough investigation on the analytic tractability of the 3/2 SVM by proposing a closed-form formula for the partial transform of the triple joint transition density [Formula: see text] which stand for the log asset price, the quadratic variation (continuous realized variance) and the instantaneous variance, respectively. Two distinct formulations are provided for deriving the main result. The closed-form partial transform enables us to deduce a variety of marginal partial transforms and characteristic functions and plays a crucial role in pricing discretely sampled variance derivatives and exotic options that depend on both the asset price and quadratic variation. Various applications and numerical examples on pricing moment swaps and timer options with discrete monitoring feature are given to demonstrate the versatility of the partial transform under the 3/2 model.
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.
Louis Bachelier: The Father of Modern Option Pricing Theory.
ERIC Educational Resources Information Center
Sullivan, Edward J.; Weithers, Timothy M.
1991-01-01
Observes that, before 1973, determining a valuation formula for option prices was an elusive goal of financial economics. Discusses Louis Bachelier's early twentieth-century work on the problem. Notes that Bachelier derived a normal distribution for stock price movements by modeling price changes in specific way. Reviews Bachelier's option pricing…
Valuating Privacy with Option Pricing Theory
NASA Astrophysics Data System (ADS)
Berthold, Stefan; Böhme, Rainer
One of the key challenges in the information society is responsible handling of personal data. An often-cited reason why people fail to make rational decisions regarding their own informational privacy is the high uncertainty about future consequences of information disclosures today. This chapter builds an analogy to financial options and draws on principles of option pricing to account for this uncertainty in the valuation of privacy. For this purpose, the development of a data subject's personal attributes over time and the development of the attribute distribution in the population are modeled as two stochastic processes, which fit into the Binomial Option Pricing Model (BOPM). Possible applications of such valuation methods to guide decision support in future privacy-enhancing technologies (PETs) are sketched.
Renewal equations for option pricing
NASA Astrophysics Data System (ADS)
Montero, M.
2008-09-01
In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits.
Partial derivative approach for option pricing in a simple stochastic volatility model
NASA Astrophysics Data System (ADS)
Montero, M.
2004-11-01
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model has already been introduced in the literature. We present a new approach to the problem, based on partial differential equations, which gives a different perspective to the issue. Within our framework we can easily consider several forms for the market price of volatility risk, and interpret their financial meaning. We thus recover solutions previously mentioned in the literature as well as obtaining new ones.
Pricing and hedging Asian basket spread options
NASA Astrophysics Data System (ADS)
Deelstra, Griselda; Petkovic, Alexandre; Vanmaele, Michèle
2010-04-01
Asian options, basket options and spread options have been extensively studied in the literature. However, few papers deal with the problem of pricing general Asian basket spread options. This paper aims to fill this gap. In order to obtain prices and Greeks in a short computation time, we develop approximation formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give explicitly the Greeks for our proposed methods. In the last section we extend our results to options denominated in foreign currency.
Option pricing during post-crash relaxation times
NASA Astrophysics Data System (ADS)
Dibeh, Ghassan; Harmanani, Haidar M.
2007-07-01
This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is shown to have stock price and time dependent volatility. The partial differential equation (PDE) for call prices is derived using risk-neutral pricing. European call prices are then estimated using Monte Carlo and finite difference methods. Results of the model show that call option prices after the crash are systematically less than those predicted by the Black-Scholes model. This is a result of the effect of non-constant volatility of the model that causes a volatility skew.
Dynamic option pricing with endogenous stochastic arbitrage
NASA Astrophysics Data System (ADS)
Contreras, Mauricio; Montalva, Rodrigo; Pellicer, Rely; Villena, Marcelo
2010-09-01
Only few efforts have been made in order to relax one of the key assumptions of the Black-Scholes model: the no-arbitrage assumption. This is despite the fact that arbitrage processes usually exist in the real world, even though they tend to be short-lived. The purpose of this paper is to develop an option pricing model with endogenous stochastic arbitrage, capable of modelling in a general fashion any future and underlying asset that deviate itself from its market equilibrium. Thus, this investigation calibrates empirically the arbitrage on the futures on the S&P 500 index using transaction data from September 1997 to June 2009, from here a specific type of arbitrage called “arbitrage bubble”, based on a t-step function, is identified and hence used in our model. The theoretical results obtained for Binary and European call options, for this kind of arbitrage, show that an investment strategy that takes advantage of the identified arbitrage possibility can be defined, whenever it is possible to anticipate in relative terms the amplitude and timespan of the process. Finally, the new trajectory of the stock price is analytically estimated for a specific case of arbitrage and some numerical illustrations are developed. We find that the consequences of a finite and small endogenous arbitrage not only change the trajectory of the asset price during the period when it started, but also after the arbitrage bubble has already gone. In this context, our model will allow us to calibrate the B-S model to that new trajectory even when the arbitrage already started.
A Model-Free No-arbitrage Price Bound for Variance Options
Bonnans, J. Frederic; Tan Xiaolu
2013-08-01
We suggest a numerical approximation for an optimization problem, motivated by its applications in finance to find the model-free no-arbitrage bound of variance options given the marginal distributions of the underlying asset. A first approximation restricts the computation to a bounded domain. Then we propose a gradient projection algorithm together with the finite difference scheme to solve the optimization problem. We prove the general convergence, and derive some convergence rate estimates. Finally, we give some numerical examples to test the efficiency of the algorithm.
Stochastic arbitrage return and its implication for option pricing
NASA Astrophysics Data System (ADS)
Fedotov, Sergei; Panayides, Stephanos
2005-01-01
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random processes. We restrict ourselves to finding pricing bands for options rather than exact prices. The resulting pricing bands are shown to be independent of the detailed statistical characteristics of the arbitrage return. We find that the volatility “smile” can also be explained in terms of random arbitrage opportunities.
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.
Option pricing and perfect hedging on correlated stocks
NASA Astrophysics Data System (ADS)
Perelló, Josep; Masoliver, Jaume
2003-12-01
We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time τ⩾0. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener process. With a modified portfolio consisting in calls, secondary calls and bonds we achieve a riskless strategy which results in a closed and exact expression for the European call price which is always lower than Black-Scholes price. We obtain the same price and a modified delta hedging if we start from an effective one-dimensional market model. We compare these strategies and study the sensitivity of the call price to several parameters where the correlation effects are also observed.
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.
On theoretical pricing of options with fuzzy estimators
NASA Astrophysics Data System (ADS)
Chrysafis, Konstantinos A.; Papadopoulos, Basil K.
2009-01-01
In this paper we present an application of a new method of constructing fuzzy estimators for the parameters of a given probability distribution function, using statistical data. This application belongs to the financial field and especially to the section of financial engineering. In financial markets there are great fluctuations, thus the element of vagueness and uncertainty is frequent. This application concerns Theoretical Pricing of Options and in particular the Black and Scholes Options Pricing formula. We make use of fuzzy estimators for the volatility of stock returns and we consider the stock price as a symmetric triangular fuzzy number. Furthermore we apply the Black and Scholes formula by using adaptive fuzzy numbers introduced by Thiagarajah et al. [K. Thiagarajah, S.S. Appadoo, A. Thavaneswaran, Option valuation model with adaptive fuzzy numbers, Computers and Mathematics with Applications 53 (2007) 831-841] for the stock price and the volatility and we replace the fuzzy volatility and the fuzzy stock price by possibilistic mean value. We refer to both cases of call and put option prices according to the Black & Scholes model and also analyze the results to Greek parameters. Finally, a numerical example is presented for both methods and a comparison is realized based on the results.
Testing option pricing with the Edgeworth expansion
NASA Astrophysics Data System (ADS)
Balieiro Filho, Ruy Gabriel; Rosenfeld, Rogerio
2004-12-01
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments.
Time-changed geometric fractional Brownian motion and option pricing with transaction costs
NASA Astrophysics Data System (ADS)
Gu, Hui; Liang, Jin-Rong; Zhang, Yun-Xiu
2012-08-01
This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black-Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is obtained.
Nonlinear Schrödinger approach to European option pricing
NASA Astrophysics Data System (ADS)
Wróblewski, Marcin
2017-05-01
This paper deals with numerical option pricing methods based on a Schrödinger model rather than the Black-Scholes model. Nonlinear Schrödinger boundary value problems seem to be alternatives to linear models which better reflect the complexity and behavior of real markets. Therefore, based on the nonlinear Schrödinger option pricing model proposed in the literature, in this paper a model augmented by external atomic potentials is proposed and numerically tested. In terms of statistical physics the developed model describes the option in analogy to a pair of two identical quantum particles occupying the same state. The proposed model is used to price European call options on a stock index. the model is calibrated using the Levenberg-Marquardt algorithm based on market data. A Runge-Kutta method is used to solve the discretized boundary value problem numerically. Numerical results are provided and discussed. It seems that our proposal more accurately models phenomena observed in the real market than do linear models.
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
Risk-neutral density extraction from option prices: improved pricing with mixture density networks.
Schittenkopf, C; Dorffner, G
2001-01-01
One of the central goals in finance is to find better models for pricing and hedging financial derivatives such as call and put options. We present a new semi-nonparametric approach to risk-neutral density extraction from option prices, which is based on an extension of the concept of mixture density networks. The central idea is to model the shape of the risk-neutral density in a flexible, nonlinear way as a function of the time horizon. Thereby, stylized facts such as negative skewness and excess kurtosis are captured. The approach is applied to a very large set of intraday options data on the FTSE 100 recorded at LIFFE. It is shown to yield significantly better results in terms of out-of-sample pricing accuracy in comparison to the basic and an extended Black-Scholes model. It is also significantly better than a more elaborate GARCH option pricing model which includes a time-dependent volatility process. From the perspective of risk management, the extracted risk-neutral densities provide valuable information for value-at-risk estimations.
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.
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.
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.
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.
Pilot-Wave Theory and Financial Option Pricing
NASA Astrophysics Data System (ADS)
Haven, Emmanuel
2005-11-01
This paper tries to argue why pilot-wave theory could be of use in financial economics. We introduce the notion of information wave. We consider a stochastic guidance equation and part of the drift term of that equation makes reference to the phase of the wave. In order to embed information in financial option pricing we could use such a drift. We also briefly argue how we could embed information in the pricing kernel of the option price.
A homotopy analysis method for the option pricing PDE in illiquid markets
NASA Astrophysics Data System (ADS)
E-Khatib, Youssef
2012-09-01
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading the underlying asset does not affect the underlying asset price. This can happen in perfectly liquid markets and it is evidently not viable in markets with imperfect liquidity (illiquid markets). It is well-known that markets with imperfect liquidity are more realistic. Thus, the presence of price impact while studying options is very important. This paper investigates a solution for the option pricing PDE in illiquid markets using the homotopy analysis method.
European option pricing under the Student's t noise with jumps
NASA Astrophysics Data System (ADS)
Wang, Xiao-Tian; Li, Zhe; Zhuang, Le
2017-03-01
In this paper we present a new approach to price European options under the Student's t noise with jumps. Through the conditional delta hedging strategy and the minimal mean-square-error hedging, a closed-form solution of the European option value is obtained under the incomplete information case. In particular, we propose a Value-at-Risk-type procedure to estimate the volatility parameter σ such that the pricing error is in accord with the risk preferences of investors. In addition, the numerical results of us show that options are not priced in some cases in an incomplete information market.
Pricing real estate index options under stochastic interest rates
NASA Astrophysics Data System (ADS)
Gong, Pu; Dai, Jun
2017-08-01
Real estate derivatives as new financial instruments are not merely risk management tools but also provide a novel way to gain exposure to real estate assets without buying or selling the physical assets. Although real estate derivatives market has exhibited a rapid development in recent years, the valuation challenge of real estate derivatives remains a great obstacle for further development in this market. In this paper, we derive a partial differential equation contingent on a real estate index in a stochastic interest rate environment and propose a modified finite difference method that adopts the non-uniform grids to solve this problem. Numerical results confirm the efficiency of the method and indicate that constant interest rate models lead to the mispricing of options and the effects of stochastic interest rates on option prices depend on whether the term structure of interest rates is rising or falling. Finally, we have investigated and compared the different effects of stochastic interest rates on European and American option prices.
NASA Astrophysics Data System (ADS)
Hozman, J.; Tichý, T.
2017-07-01
The paper is based on the results from our recent research on path-dependent multi-asset options. Here we focus on options, payoff of which depends on the difference of the spread of two underlying assets at expiry and their average spread during the life of the option. The main idea uses a concept of the dimensional reduction to the PDE model with only two spatial variables describing this option pricing problem. Then the numerical option pricing scheme arising from the discontinuous Galerkin method is developed. Finally, a simple numerical result is presented on real market data.
Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation.
Liang, L Z J; Lemmens, D; Tempere, J
2011-05-01
In this paper, a time substitution as used by Duru and Kleinert in their treatment of the hydrogen atom with path integrals is performed to price timer options under stochastic volatility models. We present general pricing formulas for both the perpetual timer call options and the finite time-horizon timer call options. These general results allow us to find closed-form pricing formulas for both the perpetual and the finite time-horizon timer options under the 3/2 stochastic volatility model as well as under the Heston stochastic volatility model. For the treatment of timer options under the 3/2 model we will rely on the path integral for the Morse potential, with the Heston model we will rely on the Kratzer potential. © 2011 American Physical Society
Option pricing: a flexible tool to disseminate shared savings contracts.
Friedberg, Mark W; Buendia, Anthony M; Lauderdale, Katherine E; Hussey, Peter S
2013-08-01
Due to volatility in healthcare costs, shared savings contracts can create systematic financial losses for payers, especially when contracting with smaller providers. To improve the business case for shared savings, we calculated the prices of financial options that payers can "sell" to providers to offset these losses. Using 2009 to 2010 member-level total cost of care data from a large commercial health plan, we calculated option prices by applying a bootstrap simulation procedure. We repeated these simulations for providers of sizes ranging from 500 to 60,000 patients and for shared savings contracts with and without key design features (minimum savings thresholds,bonus caps, cost outlier truncation, and downside risk) and under assumptions of zero, 1%, and 2% real cost reductions due to the shared savings contracts. Assuming no real cost reduction and a 50% shared savings rate, per patient option prices ranged from $225 (3.1% of overall costs) for 500-patient providers to $23 (0.3%) for 60,000-patient providers. Introducing minimum savings thresholds, bonus caps, cost outlier truncation, and downside risk reduced these option prices. Option prices were highly sensitive to the magnitude of real cost reductions. If shared savings contracts cause 2% reductions in total costs, option prices fall to zero for all but the smallest providers. Calculating the prices of financial options that protect payers and providers from downside risk can inject flexibility into shared savings contracts, extend such contracts to smaller providers, and clarify the tradeoffs between different contract designs, potentially speeding the dissemination of shared savings.
NASA Astrophysics Data System (ADS)
Hozman, J.; Tichý, T.
2016-12-01
The paper is based on the results from our recent research on multidimensional option pricing problems. We focus on European option valuation when the price movement of the underlying asset is driven by a stochastic volatility following a square root process proposed by Heston. The stochastic approach incorporates a new additional spatial variable into this model and makes it very robust, i.e. it provides a framework to price a variety of options that is closer to reality. The main topic is to present the numerical scheme arising from the concept of discontinuous Galerkin methods and applicable to the Heston option pricing model. The numerical results are presented on artificial benchmarks as well as on reference market data.
NASA Astrophysics Data System (ADS)
Zhang, Xubo
This paper uses the approaches and models of option theory to analyze two-stage venture capital investment in agricultural production and processing enterprises decision-making under uncertainty. Mathematics expressions of this two-stage venture capital investment decision-making are presented. An option value model about two-stage venture capital investment decision-making base on options pricing theory under the uncertainty is presented. Get the solution of option pricing model which we present.
Pricing geometric Asian power options under mixed fractional Brownian motion environment
NASA Astrophysics Data System (ADS)
Prakasa Rao, B. L. S.
2016-03-01
It has been observed that the stock price process can be modeled with driving force as a mixed fractional Brownian motion with Hurst index H > 3/4 whenever long-range dependence is possibly present. We obtain a closed form expression for the price of a geometric Asian option under the mixed fractional Brownian motion environment. We consider also Asian power options when the payoff function is a power function.
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.
Spectral method for pricing options in illiquid markets
NASA Astrophysics Data System (ADS)
Pindza, Edson; Patidar, Kailash C.
2012-09-01
We present a robust numerical method to solve a problem of pricing options in illiquid markets. The governing equation is described by a nonlinear Black-Scholes partial differential equation (BS-PDE) of the reaction-diffusion-advection type. To discretise this BS-PDE numerically, we use a spectral method in the asset (spatial) direction and couple it with a fifth order RADAU method for the discretisation in the time direction. Numerical experiments illustrate that our approach is very efficient for pricing financial options in illiquid markets.
Pricing of swing options: A Monte Carlo simulation approach
NASA Astrophysics Data System (ADS)
Leow, Kai-Siong
We study the problem of pricing swing options, a class of multiple early exercise options that are traded in energy market, particularly in the electricity and natural gas markets. These contracts permit the option holder to periodically exercise the right to trade a variable amount of energy with a counterparty, subject to local volumetric constraints. In addition, the total amount of energy traded from settlement to expiration with the counterparty is restricted by a global volumetric constraint. Violation of this global volumetric constraint is allowed but would lead to penalty settled at expiration. The pricing problem is formulated as a stochastic optimal control problem in discrete time and state space. We present a stochastic dynamic programming algorithm which is based on piecewise linear concave approximation of value functions. This algorithm yields the value of the swing option under the assumption that the optimal exercise policy is applied by the option holder. We present a proof of an almost sure convergence that the algorithm generates the optimal exercise strategy as the number of iterations approaches to infinity. Finally, we provide a numerical example for pricing a natural gas swing call option.
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.
Compact finite difference method for American option pricing
NASA Astrophysics Data System (ADS)
Zhao, Jichao; Davison, Matt; Corless, Robert M.
2007-09-01
A compact finite difference method is designed to obtain quick and accurate solutions to partial differential equation problems. The problem of pricing an American option can be cast as a partial differential equation. Using the compact finite difference method this problem can be recast as an ordinary differential equation initial value problem. The complicating factor for American options is the existence of an optimal exercise boundary which is jointly determined with the value of the option. In this article we develop three ways of combining compact finite difference methods for American option price on a single asset with methods for dealing with this optimal exercise boundary. Compact finite difference method one uses the implicit condition that solutions of the transformed partial differential equation be nonnegative to detect the optimal exercise value. This method is very fast and accurate even when the spatial step size h is large (h[greater-or-equal, slanted]0.1). Compact difference method two must solve an algebraic nonlinear equation obtained by Pantazopoulos (1998) at every time step. This method can obtain second order accuracy for space x and requires a moderate amount of time comparable with that required by the Crank Nicolson projected successive over relaxation method. Compact finite difference method three refines the free boundary value by a method developed by Barone-Adesi and Lugano [The saga of the American put, 2003], and this method can obtain high accuracy for space x. The last two of these three methods are convergent, moreover all the three methods work for both short term and long term options. Through comparison with existing popular methods by numerical experiments, our work shows that compact finite difference methods provide an exciting new tool for American option pricing.
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An option pricing theory explanation of the invasion of Kuwait
Muhtaseb, M.R.
1995-12-31
The objective of this paper is to explain the invasion of Kuwait by making an analogy between a call option and the Iraq-Kuwait situation before the invasion on August 2, 1990. A number of factors contributed to the issuance of a deep-in-the money European call option to Iraq against Kuwait. The underlying asset is the crude oil reserves under Kuwait. Price of crude oil is determined in world spot markets. The exercise price is equal to the cost of permanently annexing and retaining Kuwait. The volatility is measured by the annualized variance of the weekly rate of return of the spot price of crude oil. Time-to-expiration is equal to the time period between decision date and actual invasion date. Finally, since crude oil prices are quoted in U.S. dollars, the U.S. Treasury bill rate is assumed to be the risk-free rate. In a base-case scenario, Kuwait`s oil reserves amount to 94,500 million barrels valued at $18 a barrell in early February 1990 resulting in a market value of $1,701 billion. Because the cost of the war to Iraq is not known, we assume it is comparable to that of the U.S.-led coalition of $51.0 billion. Time-to-expiration is six months. The treasury bill rate in early 1990 was around 7.5 percent. Annualized standard deviation of weekly rates of return is 0.216. The value of Kuwait`s invasion option is $1,642.25 billion. Depending on the scenario, the value of this special option ranged between $1,450 billion and $3.624 billion. 10 refs., 1 tab.
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.
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.
Pricing of American style options with an adjoint process correction method
NASA Astrophysics Data System (ADS)
Jaekel, Uwe
2005-07-01
Pricing of American options is a more complicated problem than pricing of European options. In this work a formula is derived that allows the computation of the early exercise premium, i.e. the price difference between these two option types in terms of an adjoint process evolving in the reversed time direction of the original process determining the evolution of the European price. We show how this equation can be utilised to improve option price estimates from numerical schemes like finite difference or Monte Carlo methods.
Beyond Black-Scholes: semimartingales and Lévy processes for option pricing
NASA Astrophysics Data System (ADS)
Galluccio, S.
2001-04-01
We consider the problem of option pricing when the underlying asset follows a general semimartingale process. After reviewing the foundations of arbitrage pricing theory for semimartingales and the link with Lévy processes, we introduce a general method to price options in this framework based on Fourier and Wavelet analysis.
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.
Pricing American Asian options with higher moments in the underlying distribution
NASA Astrophysics Data System (ADS)
Lo, Keng-Hsin; Wang, Kehluh; Hsu, Ming-Feng
2009-01-01
We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, our estimates can work better than those in Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] and are very similar to the benchmarks in Hull and White [J. Hull, A. White, Efficient procedures for valuing European and American path-dependent options, J. Derivatives 1 (Fall) (1993) 21-31]. The numerical analysis shows that our modified Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution.
Black-Scholes option pricing within Itô and Stratonovich conventions
NASA Astrophysics Data System (ADS)
Perelló, J.; Porrà, J. M.; Montero, M.; Masoliver, J.
2000-04-01
Options are financial instruments designed to protect investors from the stock market randomness. In 1973, Black, Scholes and Merton proposed a very popular option pricing method using stochastic differential equations within the Itô interpretation. Herein, we derive the Black-Scholes equation for the option price using the Stratonovich calculus along with a comprehensive review, aimed to physicists, of the classical option pricing method based on the Itô calculus. We show, as can be expected, that the Black-Scholes equation is independent of the interpretation chosen. We nonetheless point out the many subtleties underlying Black-Scholes option pricing method.
A review of the effect of pharmaceutical firm drug announcements on stock option pricing.
Younis, Mustafa Mike Z; Younies, Hassan; Kisa, Adnan; Hartmann, Michael; Hussain, Ali Al Sayed; Al-Amro, Abdulla
2009-01-01
Since the Black and Sholes published their work in option pricing in 1973, there have been a great number of dissertations, theses, and articles published on options pricing. Several articles discussed American options and European options. Many articles where empirical in nature. In this article, we review some of the literature in this area and then discuss in a descriptive way the effect of pharmaceutical companies' announcements of new drugs on the market or drug withdrawals from the market on their stock options. This article should be the beginning of the discussion on how stock prices might affect the cost of drugs and the affect of the affordability of drug prices, if any.
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.
Quantum Mechanics, Path Integrals and Option Pricing:. Reducing the Complexity of Finance
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Corianò, Claudio; Srikant, Marakani
2003-04-01
Quantum Finance represents the synthesis of the techniques of quantum theory (quantum mechanics and quantum field theory) to theoretical and applied finance. After a brief overview of the connection between these fields, we illustrate some of the methods of lattice simulations of path integrals for the pricing of options. The ideas are sketched out for simple models, such as the Black-Scholes model, where analytical and numerical results are compared. Application of the method to nonlinear systems is also briefly overviewed. More general models, for exotic or path-dependent options are discussed.
Modeling spot markets for electricity and pricing electricity derivatives
NASA Astrophysics Data System (ADS)
Ning, Yumei
Spot prices for electricity have been very volatile with dramatic price spikes occurring in restructured market. The task of forecasting electricity prices and managing price risk presents a new challenge for market players. The objectives of this dissertation are: (1) to develop a stochastic model of price behavior and predict price spikes; (2) to examine the effect of weather forecasts on forecasted prices; (3) to price electricity options and value generation capacity. The volatile behavior of prices can be represented by a stochastic regime-switching model. In the model, the means of the high-price and low-price regimes and the probabilities of switching from one regime to the other are specified as functions of daily peak load. The probability of switching to the high-price regime is positively related to load, but is still not high enough at the highest loads to predict price spikes accurately. An application of this model shows how the structure of the Pennsylvania-New Jersey-Maryland market changed when market-based offers were allowed, resulting in higher price spikes. An ARIMA model including temperature, seasonal, and weekly effects is estimated to forecast daily peak load. Forecasts of load under different assumptions about weather patterns are used to predict changes of price behavior given the regime-switching model of prices. Results show that the range of temperature forecasts from a normal summer to an extremely warm summer cause relatively small increases in temperature (+1.5%) and load (+3.0%). In contrast, the increases in prices are large (+20%). The conclusion is that the seasonal outlook forecasts provided by NOAA are potentially valuable for predicting prices in electricity markets. The traditional option models, based on Geometric Brownian Motion are not appropriate for electricity prices. An option model using the regime-switching framework is developed to value a European call option. The model includes volatility risk and allows changes
Optional time-of-use prices for electricity: Analysis of PG E's experimental TOU rates
Train, K.; Mehrez, G.
1992-07-01
We examine customers' time-of-use (TOU) demand for electricity and their choice between standard and TOU rate schedules. We specify an econometric model in which the customer's demand curves determine the customer's choice of rate schedule. We estimate the model on data from Pacific Gas Electric Company's experiment with optional TOU prices in the residential sector. With the model, we compare the TOU consumption and price elasticities of customers who chose TOU rates with those who chose standard rates. We also estimate the impact of the TOU rates on the utility's revenues and costs. The analysis suggests that the TOU rates offered under PG E's experiment decreased PG E's profits and hence contributed to higher general rate levels. The model can be used, however, to design optional TOU rates that increase profits and lower general rate levels.
Kudryavtsev, Oleg
2013-01-01
In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation. The goal of the paper is to incorporate the Wiener-Hopf factorization into finite difference methods for pricing options in Lévy models with jumps. The method is applicable for pricing barrier and American options. The pricing problem is reduced to the sequence of linear algebraic systems with a dense Toeplitz matrix; then the Wiener-Hopf factorization method is applied. We give an important probabilistic interpretation based on the infinitely divisible distributions theory to the Laurent operators in the correspondent factorization identity. Notice that our algorithm has the same complexity as the ones which use the explicit-implicit scheme, with a tridiagonal matrix. However, our method is more accurate. We support the advantage of the new method in terms of accuracy and convergence by using numerical experiments.
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
Perpetual American vanilla option pricing under single regime change risk: an exhaustive study
NASA Astrophysics Data System (ADS)
Montero, Miquel
2009-07-01
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in which some of the properties—volatility and dividend policy—of the underlying stock can change at a random instant of time but in such a way that we can forecast their final values. Under this assumption we can model actual market conditions because most relevant facts usually entail sharp predictable consequences. The effect of this potential risk on perpetual American vanilla options is remarkable: the very equation that will determine the fair price depends on the solution to be found. Sound results are found under the optics both of finance and physics. In particular, a parallelism among the overall outcome of this problem and a phase transition is established.
The Use of the Information Wave Function in a Drift Dependent Option Price: A Simple Example
Haven, Emmanuel
2009-03-10
This paper briefly describes how a drift-dependent option price is obtained, following the work of Tan. We briefly argue how the information wave function concept, which has now been used in various financial settings, can be used in this type of option price.
Pricing Models and Payment Schemes for Library Collections.
ERIC Educational Resources Information Center
Stern, David
2002-01-01
Discusses new pricing and payment options for libraries in light of online products. Topics include alternative cost models rather than traditional subscriptions; use-based pricing; changes in scholarly communication due to information technology; methods to determine appropriate charges for different organizations; consortial plans; funding; and…
NASA Astrophysics Data System (ADS)
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.
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.
48 CFR 52.217-7 - Option for Increased Quantity-Separately Priced Line Item.
Code of Federal Regulations, 2010 CFR
2010-10-01
... 48 Federal Acquisition Regulations System 2 2010-10-01 2010-10-01 false Option for Increased... Text of Provisions and Clauses 52.217-7 Option for Increased Quantity—Separately Priced Line Item. As prescribed in 17.208(e), insert a clause substantially the same as the following: Option for Increased...
Model risk for European-style stock index options.
Gençay, Ramazan; Gibson, Rajna
2007-01-01
In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as the Black-Scholes (BS) model with constant volatility. In this paper, we study the stochastic volatility (SV) and stochastic volatility random jump (SVJ) models as parametric benchmarks against feedforward neural network (FNN) models, a class of neural network models. Our choice for FNN models is due to their well-studied universal approximation properties of an unknown function and its partial derivatives. Since the partial derivatives of an option pricing formula are risk pricing tools, an accurate estimation of the unknown option pricing function is essential for pricing and hedging. Our findings indicate that FNN models offer themselves as robust option pricing tools, over their sophisticated parametric counterparts in predictive settings. There are two routes to explain the superiority of FNN models over the parametric models in forecast settings. These are nonnormality of return distributions and adaptive learning.
A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.
1997-12-01
The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic volatility is reviewed starting from the first principles of finance. The equation of Merton and Garman is then recast using the path integration technique of theoretical physics. The price of the stock option is shown to be the analogue of the Schrödinger wavefunction of quantum mechanics and the exact Hamiltonian and Lagrangian of the system is obtained. The results of Hull and White are generalized to the case when stock price and volatility have non-zero correlation. Some exact results for pricing stock options for the general correlated case are derived.
Multifactor valuation models of energy futures and options on futures
NASA Astrophysics Data System (ADS)
Bertus, Mark J.
The intent of this dissertation is to investigate continuous time pricing models for commodity derivative contracts that consider mean reversion. The motivation for pricing commodity futures and option on futures contracts leads to improved practical risk management techniques in markets where uncertainty is increasing. In the dissertation closed-form solutions to mean reverting one-factor, two-factor, three-factor Brownian motions are developed for futures contracts. These solutions are obtained through risk neutral pricing methods that yield tractable expressions for futures prices, which are linear in the state variables, hence making them attractive for estimation. These functions, however, are expressed in terms of latent variables (i.e. spot prices, convenience yield) which complicate the estimation of the futures pricing equation. To address this complication a discussion on Dynamic factor analysis is given. This procedure documents latent variables using a Kalman filter and illustrations show how this technique may be used for the analysis. In addition, to the futures contracts closed form solutions for two option models are obtained. Solutions to the one- and two-factor models are tailored solutions of the Black-Scholes pricing model. Furthermore, since these contracts are written on the futures contracts, they too are influenced by the same underlying parameters of the state variables used to price the futures contracts. To conclude, the analysis finishes with an investigation of commodity futures options that incorporate random discrete jumps.
Federal Register 2010, 2011, 2012, 2013, 2014
2011-07-12
... From the Federal Register Online via the Government Publishing Office SECURITIES AND EXCHANGE COMMISSION Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment to the Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information To Adopt a New Hosted Solution Fee and...
Federal Register 2010, 2011, 2012, 2013, 2014
2013-05-01
... From the Federal Register Online via the Government Publishing Office SECURITIES AND EXCHANGE COMMISSION Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment to the Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information To Revise Usage-Based Vendor Fees April...
Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion
Sun, Jiao-Jiao; Zhou, Shengwu; Zhang, Yan; Han, Miao; Wang, Fei
2014-01-01
The pricing problem of lookback option with a fixed proportion of transaction costs is investigated when the underlying asset price follows a fractional Brownian motion process. Firstly, using Leland's hedging method a partial differential equation satisfied by the value of the lookback option is derived. Then we obtain its numerical solution by constructing a Crank-Nicolson format. Finally, the effectiveness of the proposed form is verified through a numerical example. Meanwhile, the impact of transaction cost rate and volatility on lookback option value is discussed. PMID:27433525
Transmission pricing and renewables: Issues, options, and recommendations
Stoft, S.; Webber, C.; Wiser, R.
1997-05-01
Open access to the transmission system, if provided at reasonable costs, should open new electricity markets for high-quality renewable resources that are located far from load centers. Several factors will affect the cost of transmission service, including the type of transmission pricing system implemented and the specific attributes of renewable energy. One crucial variable in the transmission cost equation is a generator`s capacity factor. This factor is important for intermittent renewables such as wind and solar, because it can increase transmission costs several fold due to the traditional use of take-or-pay, capacity-based transmission access charges. This report argues that such a charge is demonstrably unfair to renewable generators. It puts them at an economic disadvantage that will lead to an undersupply of renewable energy compared with the least-cost mix of generation technologies. The authors argue that congestion charges must first be separated from the access charges that cover the fixed cost of the network before one can design an efficient tariff. They then show that, in a competitive market with a separate charge for congestion, a take-or-pay capacity-based access charge used to cover system fixed costs cannot be justified on the basis of peak-load pricing. An energy-based access charge, on the other hand, is fair to intermittent generators as well as to the usual spectrum of peak and base-load technologies. This report also reviews other specific characteristics of renewables that can affect the cost of transmission, and evaluates the potential impact on renewables of several transmission pricing schemes, including postage-stamp rates, megawatt-mile pricing, congestion pricing, and the Federal Energy Regulatory Commission`s {open_quotes}point-to-point{close_quotes} transmission tariffs.
Nguyen, Tuan Anh; Knight, Rosemary; Roughead, Elizabeth Ellen; Brooks, Geoffrey; Mant, Andrea
2015-03-01
Pharmaceutical expenditure is rising globally. Most high-income countries have exercised pricing or purchasing strategies to address this pressure. Low- and middle-income countries (LMICs), however, usually have less regulated pharmaceutical markets and often lack feasible pricing or purchasing strategies, notwithstanding their wish to effectively manage medicine budgets. In high-income countries, most medicines payments are made by the state or health insurance institutions. In LMICs, most pharmaceutical expenditure is out-of-pocket which creates a different dynamic for policy enforcement. The paucity of rigorous studies on the effectiveness of pharmaceutical pricing and purchasing strategies makes it especially difficult for policy makers in LMICs to decide on a course of action. This article reviews published articles on pharmaceutical pricing and purchasing policies. Many policy options for medicine pricing and purchasing have been found to work but they also have attendant risks. No one option is decisively preferred; rather a mix of options may be required based on country-specific context. Empirical studies in LMICs are lacking. However, risks from any one policy option can reasonably be argued to be greater in LMICs which often lack strong legal systems, purchasing and state institutions to underpin the healthcare system. Key factors are identified to assist LMICs improve their medicine pricing and purchasing systems.
Optional time-of-use prices for electricity: Analysis of PG&E`s experimental TOU rates. Final report
Train, K.; Mehrez, G.
1992-07-01
We examine customers` time-of-use (TOU) demand for electricity and their choice between standard and TOU rate schedules. We specify an econometric model in which the customer`s demand curves determine the customer`s choice of rate schedule. We estimate the model on data from Pacific Gas & Electric Company`s experiment with optional TOU prices in the residential sector. With the model, we compare the TOU consumption and price elasticities of customers who chose TOU rates with those who chose standard rates. We also estimate the impact of the TOU rates on the utility`s revenues and costs. The analysis suggests that the TOU rates offered under PG&E`s experiment decreased PG&E`s profits and hence contributed to higher general rate levels. The model can be used, however, to design optional TOU rates that increase profits and lower general rate levels.
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.
NASA Astrophysics Data System (ADS)
von Sydow, Lina
2013-10-01
The discontinuous Galerkin method for time integration of the Black-Scholes partial differential equation for option pricing problems is studied and compared with more standard time-integrators. In space an adaptive finite difference discretization is employed. The results show that the dG method are in most cases at least comparable to standard time-integrators and in some cases superior to them. Together with adaptive spatial grids the suggested pricing method shows great qualities.
Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
NASA Astrophysics Data System (ADS)
Gong, Xiaoli; Zhuang, Xintian
2017-10-01
Considering that financial assets returns exhibit leptokurtosis, asymmetry properties as well as clustering and heteroskedasticity effect, this paper substitutes the logarithm normal jumps in Heston stochastic volatility model by the classical tempered stable (CTS) distribution and normal tempered stable (NTS) distribution to construct stochastic volatility tempered stable Lévy processes (TSSV) model. The TSSV model framework permits infinite activity jump behaviors of return dynamics and time varying volatility consistently observed in financial markets through subordinating tempered stable process to stochastic volatility process, capturing leptokurtosis, fat tailedness and asymmetry features of returns. By employing the analytical characteristic function and fast Fourier transform (FFT) technique, the formula for probability density function (PDF) of TSSV returns is derived, making the analytical formula for foreign equity option (FEO) pricing available. High frequency financial returns data are employed to verify the effectiveness of proposed models in reflecting the stylized facts of financial markets. Numerical analysis is performed to investigate the relationship between the corresponding parameters and the implied volatility of foreign equity option.
Space-time modeling of timber prices
Mo Zhou; Joseph Buongriorno
2006-01-01
A space-time econometric model was developed for pine sawtimber timber prices of 21 geographically contiguous regions in the southern United States. The correlations between prices in neighboring regions helped predict future prices. The impulse response analysis showed that although southern pine sawtimber markets were not globally integrated, local supply and demand...
Option pricing from wavelet-filtered financial series
NASA Astrophysics Data System (ADS)
de Almeida, V. T. X.; Moriconi, L.
2012-10-01
We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most (≃99.6%) of the wavelet coefficients can be neglected for the purpose of option premium evaluation. The relevance of the hugely compressed information provided by low-pass wavelet-filtering is related to the fact that the non-gaussian statistical structure of the original financial time series is essentially preserved for expiration times which are larger than just one trading day.
An electricity price model with consideration to load and gas price effects.
Huang, Min-xiang; Tao, Xiao-hu; Han, Zhen-xiang
2003-01-01
Some characteristics of the electricity load and prices are studied, and the relationship between electricity prices and gas (fuel) prices is analyzed in this paper. Because electricity prices are strongly dependent on load and gas prices, the authors constructed a model for electricity prices based on the effects of these two factors; and used the Geometric Mean Reversion Brownian Motion (GMRBM) model to describe the electricity load process, and a Geometric Brownian Motion(GBM) model to describe the gas prices; deduced the price stochastic process model based on the above load model and gas price model. This paper also presents methods for parameters estimation, and proposes some methods to solve the model.
NASA Astrophysics Data System (ADS)
Klibanov, Michael V.; Kuzhuget, Andrey V.; Golubnichiy, Kirill V.
2016-01-01
A new empirical mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock, new initial and new boundary conditions. Conventional notions of maturity time and strike prices are not used. The Black-Scholes equation is solved as a parabolic equation with the reversed time, which is an ill-posed problem. Thus, a regularization method is used to solve it. To verify the validity of our model, real market data for 368 randomly selected liquid options are used. A new trading strategy is proposed. Our results indicates that our method is profitable on those options. Furthermore, it is shown that the performance of two simple extrapolation-based techniques is much worse. We conjecture that our method might lead to significant profits of those financial insitutions which trade large amounts of options. We caution, however, that further studies are necessary to verify this conjecture.
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.
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.
Options for pricing ancillary services in a deregulated power system
NASA Astrophysics Data System (ADS)
Yamin, Hatim Yahya
2001-07-01
GENCOs in restructured systems are compensated for selling energy in the market. In a restructured market, a mechanism is required to entice participants in the market to provide ancillary services and to ensure adequate compensation that would guarantee its economic viability. The ISO controls the dispatch of generation, manages the reliability of the transmission grid, provides open access to the transmission, buys and provides ancillary services as required, coordinates day-ahead, hour-ahead schedules and performs real time balancing of load and generation, settles real time imbalances and ancillary services sales and purchases. The ISO, also, administers congestion management protocols for the transmission grid. Since the ISO does not own any generating units it must ensure that there is enough reserves for maintaining reliability according to FERC regulations, and sufficient unloaded generating capacity for balancing services in a real-time market. The ISO could meet these requirements by creating a competitive market for ancillary services, which are metered and remain unbundled to provide an accurate compensation for each supplier and cost to each consumer, In this study, we give an overview for restructuring and ancillary services in a restructured power marketplace. Also, we discuss the effect of GENCOs' actions in the competitive energy and ancillary service markets. In addition, we propose an auction market design for hedging ancillary service costs in California market. Furthermore, we show how to include the n-1 and voltage contingencies in security constrained unit commitment. Finally, we present two approaches for GENCOs' unit commitment in a restructured power market; one is based on game theory and the other is based on market price forecasting. In each of the two GENCOs' unit commitment approaches, we discuss the GENCOs' optimal bidding strategies in energy and ancillary service markets to maximize the GENCOs' profit.
The wave-equivalent of the Black-Scholes option price: an interpretation
NASA Astrophysics Data System (ADS)
Haven, Emmanuel
2004-12-01
We propose an interpretation of the wave-equivalent of the Black-Scholes option price. We consider Nelson's version of the Brownian motion (Dynamical Theories of Brownian Motion, Princeton University Press, Princeton, NJ, 1967) and we use this specific motion as an input to produce a Black-Scholes PDE with a risk premium.
Federal Register 2010, 2011, 2012, 2013, 2014
2012-06-22
... From the Federal Register Online via the Government Publishing Office SECURITIES AND EXCHANGE COMMISSION Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment to the Plan To Revise the Definition of the Term ``Nonprofessional'' June 15, 2012. Pursuant to Section 11A of the Securities Exchange Act...
Hamiltonian and potentials in derivative pricing models: exact results and lattice simulations
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Corianò, Claudio; Srikant, Marakani
2004-03-01
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian formulation. We show here some applications of these methods for various potentials, which we have simulated via lattice Langevin and Monte Carlo algorithms, to the pricing of options. We focus on barrier or path dependent options, showing in some detail the computational strategies involved.
A new perspective on Quantum Finance using the Black-Scholes pricing model
NASA Astrophysics Data System (ADS)
Dieng, Lamine
2007-03-01
Options are known to be divided into two types, the first type is called a call option and the second type is called a put option and these options are offered to stock holders in order to hedge their positions against risky fluctuations of the stock price. It is important to mention that due to fluctuations of the stock price, options can be found sometimes deep in the money, at the money and out of the money. A deep in the money option is described when the option's holder has a positive expected payoff, at the money option is when the option's holder has a zero expected payoff and an out of the money option is when the payoff is negative. In this work, we will assume the stock price to be described by the well known Black-Scholes model or sometimes called the multiplicative model. Using Ito calculus, Martingale and supermartingale theories, we investigated the Black-Scholes pricing equation at the money (X(stock price)= K (strike price)) when the expected payoff of the options holder is zero. We also hedged the Black-Scholes pricing equation in the limit when delta is zero to obtain the non-relativistic time independent Schroedinger equation in quantum mechanics. We compared the two equations and found the diffusion constant to be a function of the stock price in contrast to the Bachelier model we have worked on earlier. We solved the Schroedinger equation and found a dependence between interest rate, volatility and strike price at the money.
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
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.
Documentation of the Retail Price Model
The Retail Price Model (RPM) provides a first‐order estimate of average retail electricity prices using information from the EPA Base Case v.5.13 Base Case or other scenarios for each of the 64 Integrated Planing Model (IPM) regions.
Pricing the property claim service (PCS) catastrophe insurance options using gamma distribution
NASA Astrophysics Data System (ADS)
Noviyanti, Lienda; Soleh, Achmad Zanbar; Setyanto, Gatot R.
2017-03-01
The catastrophic events like earthquakes, hurricanes or flooding are characteristics for some areas, a properly calculated annual premium would be closely as high as the loss insured. From an actuarial perspective, such events constitute the risk that are not insurable. On the other hand people living in such areas need protection. In order to securitize the catastrophe risk, futures or options based on a loss index could be considered. Chicago Board of Trade launched a new class of catastrophe insurance options based on new indices provided by Property Claim Services (PCS). The PCS-option is based on the Property Claim Service Index (PCS-Index). The index are used to determine and payout in writing index-based insurance derivatives. The objective of this paper is to price PCS Catastrophe Insurance Option based on PCS Catastrophe index. Gamma Distribution is used to estimate PCS Catastrophe index distribution.
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.
Quantum model for the price dynamics
NASA Astrophysics Data System (ADS)
Choustova, Olga
2008-10-01
We apply methods of quantum mechanics to mathematical modelling of price dynamics in a financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Our model is a quantum-like model of the financial market, cf. with works of W. Segal, I.E. Segal, E. Haven. In this paper we study the problem of smoothness of price-trajectories in the Bohmian financial model. We show that even the smooth evolution of the financial pilot wave [psi](t,x) (representing expectations of traders) can induce jumps of prices of shares.
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.
NASA Astrophysics Data System (ADS)
Ravi Kanth, A. S. V.; Aruna, K.
2016-12-01
In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or restrictive assumptions with the use of appropriate initial or boundary conditions. The efficiency and exactitude of the proposed methods are tested by means of three examples.
Code of Federal Regulations, 2010 CFR
2010-10-01
... and Service Contract Act-Price Adjustment (Multiple Year and Option Contracts). 52.222-43 Section 52... Standards Act and Service Contract Act—Price Adjustment (Multiple Year and Option Contracts). As prescribed...—Price Adjustment (Multiple Year and Option Contracts) (SEP 2009) (a) This clause applies to...
Code of Federal Regulations, 2011 CFR
2011-10-01
... and Service Contract Act-Price Adjustment (Multiple Year and Option Contracts). 52.222-43 Section 52... Standards Act and Service Contract Act—Price Adjustment (Multiple Year and Option Contracts). As prescribed...—Price Adjustment (Multiple Year and Option Contracts) (SEP 2009) (a) This clause applies to...
An inverse problem of determining the implied volatility in option pricing
NASA Astrophysics Data System (ADS)
Deng, Zui-Cha; Yu, Jian-Ning; Yang, Liu
2008-04-01
In the Black-Scholes world there is the important quantity of volatility which cannot be observed directly but has a major impact on the option value. In practice, traders usually work with what is known as implied volatility which is implied by option prices observed in the market. In this paper, we use an optimal control framework to discuss an inverse problem of determining the implied volatility when the average option premium, namely the average value of option premium corresponding with a fixed strike price and all possible maturities from the current time to a chosen future time, is known. The issue is converted into a terminal control problem by Green function method. The existence and uniqueness of the minimum of the control functional are addressed by the optimal control method, and the necessary condition which must be satisfied by the minimum is also given. The results obtained in the paper may be useful for those who engage in risk management or volatility trading.
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.
a Merton-Like Approach to Pricing Debt Based on a Non-Gaussian Asset Model
NASA Astrophysics Data System (ADS)
Borland, Lisa; Evnine, Jeremy; Pochart, Benoit
2005-09-01
We propose a generalization to Merton's model for evaluating credit spreads. In his original work, a company's assets were assumed to follow a log-normal process. We introduce fat tails and skew into this model, along the same lines as in the option pricing model of Borland and Bouchaud (2004, Quantitative Finance 4) and illustrate the effects of each component. Preliminary empirical results indicate that this model fits well to empirically observed credit spreads with a parameterization that also matched observed stock return distributions and option prices.
NASA Astrophysics Data System (ADS)
Li, Xibao
Residential time-of-use (TOU) rates have been in practice in the U.S. since the 1970s. However, for institutional, political, and regulatory reasons, only a very small proportion of residential customers are actually on these schedules. In this thesis, I explore why this is the case by empirically investigating two groups of questions: (1) On the "supply" side: Do utilities choose to offer TOU rates in residential sectors on their own initiative if state commissions do not order them to do so? Since utilities have other options, what is the relationship between the TOU rate and other alternatives? To answer these questions, I survey residential tariffs offered by more than 100 major investor-owned utilities, study the impact of various factors on utilities' rate-making behavior, and examine utility revealed preferences among four rate options: seasonal rates, inverted block rates, demand charges, and TOU rates. Estimated results suggest that the scale of residential sectors and the revenue contribution from residential sectors are the only two significant factors that influence utility decisions on offering TOU rates. Technical and economic considerations are not significant statistically. This implies that the little acceptance of TOU rates is partly attributed to utilities' inadequate attention to TOU rate design. (2) On the "demand" side: For utilities offering TOU tariffs, why do only a very small proportion of residential customers choose these tariffs? What factors influence customer choices? Unlike previous studies that used individual-level experimental data, this research employs actual aggregated information from 29 utilities offering optional TOU rates. By incorporating neo-classical demand analysis into an aggregated random coefficient logit model, I investigate the impact of both price and non-price tariff characteristics and non-tariff factors on customer choice behavior. The analysis indicates that customer pure tariff preference (which captures the
Convergence of the binomial tree method for Asian options in jump-diffusion models
NASA Astrophysics Data System (ADS)
Kim, Kwang Ik; Qian, Xiao-Song
2007-06-01
The binomial tree methods (BTM), first proposed by Cox, Ross and Rubinstein [J. Cox, S. Ross, M. Rubinstein, Option pricing: A simplified approach, J. Finan. Econ. 7 (1979) 229-264] in diffusion models and extended by Amin [K.I. Amin, Jump diffusion option valuation in discrete time, J. Finance 48 (1993) 1833-1863] to jump-diffusion models, is one of the most popular approaches to pricing options. In this paper, we present a binomial tree method for Asian options in jump-diffusion models and show its equivalence to certain explicit difference scheme. Employing numerical analysis and the notion of viscosity solution, we prove the uniform convergence of the binomial tree method for European-style and American-style Asian options.
Majority orienting model for the oscillation of market price
NASA Astrophysics Data System (ADS)
Takahashi, H.; Itoh, Y.
2004-01-01
The present paper introduces a majority orienting model in which the dealers' behavior changes based on the influence of the price to show the oscillation of stock price in the stock market. We show the oscillation of the price for the model by applying the vanderPol equation which is a deterministic approximation of our model.
Orphan Drug Pricing: An Original Exponential Model Relating Price to the Number of Patients
Messori, Andrea
2016-01-01
In managing drug prices at the national level, orphan drugs represent a special case because the price of these agents is higher than that determined according to value-based principles. A common practice is to set the orphan drug price in an inverse relationship with the number of patients, so that the price increases as the number of patients decreases. Determination of prices in this context generally has a purely empirical nature, but a theoretical basis would be needed. The present paper describes an original exponential model that manages the relationship between price and number of patients for orphan drugs. Three real examples are analysed in detail (eculizumab, bosentan, and a data set of 17 orphan drugs published in 2010). These analyses have been aimed at identifying some objective criteria to rationally inform this relationship between prices and patients and at converting these criteria into explicit quantitative rules.
Black-Scholes finite difference modeling in forecasting of call warrant prices in Bursa Malaysia
NASA Astrophysics Data System (ADS)
Mansor, Nur Jariah; Jaffar, Maheran Mohd
2014-07-01
Call warrant is a type of structured warrant in Bursa Malaysia. It gives the holder the right to buy the underlying share at a specified price within a limited period of time. The issuer of the structured warrants usually uses European style to exercise the call warrant on the maturity date. Warrant is very similar to an option. Usually, practitioners of the financial field use Black-Scholes model to value the option. The Black-Scholes equation is hard to solve analytically. Therefore the finite difference approach is applied to approximate the value of the call warrant prices. The central in time and central in space scheme is produced to approximate the value of the call warrant prices. It allows the warrant holder to forecast the value of the call warrant prices before the expiry date.
Code of Federal Regulations, 2012 CFR
2012-10-01
... and Service Contract Act-Price Adjustment (Multiple Year and Option Contracts). 52.222-43 Section 52... FORMS SOLICITATION PROVISIONS AND CONTRACT CLAUSES Text of Provisions and Clauses 52.222-43 Fair Labor Standards Act and Service Contract Act—Price Adjustment (Multiple Year and Option Contracts). As...
Pricing the Services in Dynamic Environment: Agent Pricing Model
NASA Astrophysics Data System (ADS)
Žagar, Drago; Rupčić, Slavko; Rimac-Drlje, Snježana
New Internet applications and services as well as new user demands open many new issues concerning dynamic management of quality of service and price for received service, respectively. The main goals of Internet service providers are to maximize profit and maintain a negotiated quality of service. From the users' perspective the main goal is to maximize ratio of received QoS and costs of service. However, achieving these objectives could become very complex if we know that Internet service users might during the session become highly dynamic and proactive. This connotes changes in user profile or network provider/s profile caused by high level of user mobility or variable level of user demands. This paper proposes a new agent based pricing architecture for serving the highly dynamic customers in context of dynamic user/network environment. The proposed architecture comprises main aspects and basic parameters that will enable objective and transparent assessment of the costs for the service those Internet users receive while dynamically change QoS demands and cost profile.
An explicit closed-form analytical solution for European options under the CGMY model
NASA Astrophysics Data System (ADS)
Chen, Wenting; Du, Meiyu; Xu, Xiang
2017-01-01
In this paper, we consider the analytical pricing of European path-independent options under the CGMY model, which is a particular type of pure jump Le´vy process, and agrees well with many observed properties of the real market data by allowing the diffusions and jumps to have both finite and infinite activity and variation. It is shown that, under this model, the option price is governed by a fractional partial differential equation (FPDE) with both the left-side and right-side spatial-fractional derivatives. In comparison to derivatives of integer order, fractional derivatives at a point not only involve properties of the function at that particular point, but also the information of the function in a certain subset of the entire domain of definition. This ;globalness; of the fractional derivatives has added an additional degree of difficulty when either analytical methods or numerical solutions are attempted. Albeit difficult, we still have managed to derive an explicit closed-form analytical solution for European options under the CGMY model. Based on our solution, the asymptotic behaviors of the option price and the put-call parity under the CGMY model are further discussed. Practically, a reliable numerical evaluation technique for the current formula is proposed. With the numerical results, some analyses of impacts of four key parameters of the CGMY model on European option prices are also provided.
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
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.
A Dexterous Optional Randomized Response Model
ERIC Educational Resources Information Center
Tarray, Tanveer A.; Singh, Housila P.; Yan, Zaizai
2017-01-01
This article addresses the problem of estimating the proportion Pi[subscript S] of the population belonging to a sensitive group using optional randomized response technique in stratified sampling based on Mangat model that has proportional and Neyman allocation and larger gain in efficiency. Numerically, it is found that the suggested model is…
Modeling and simulation of consumer response to dynamic pricing.
Valenzuela, J.; Thimmapuram, P.; Kim, J
2012-08-01
Assessing the impacts of dynamic-pricing under the smart grid concept is becoming extremely important for deciding its full deployment. In this paper, we develop a model that represents the response of consumers to dynamic pricing. In the model, consumers use forecasted day-ahead prices to shift daily energy consumption from hours when the price is expected to be high to hours when the price is expected to be low while maintaining the total energy consumption as unchanged. We integrate the consumer response model into the Electricity Market Complex Adaptive System (EMCAS). EMCAS is an agent-based model that simulates restructured electricity markets. We explore the impacts of dynamic-pricing on price spikes, peak demand, consumer energy bills, power supplier profits, and congestion costs. A simulation of an 11-node test network that includes eight generation companies and five aggregated consumers is performed for a period of 1 month. In addition, we simulate the Korean power system.
Creating New Pricing Models for Electronic Publishing.
ERIC Educational Resources Information Center
Boelio, David B.; Knight, Nancy H.
Establishing pricing policies for electronic publishing that are fair and flexible is of vital importance to the information industry. The pricing of most information available electronically is far less efficient and market-sensitive than it could be. Some of the new approaches to pricing, emphasizing a usage-based metric providing qualitative…
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.
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
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.
Federal Register 2010, 2011, 2012, 2013, 2014
2011-11-28
... of Consolidated Options Last Sale Reports and Quotation Information (``OPRA Plan'').\\3\\ The proposed... a national market system plan approved by the Commission pursuant to Section 11A of the Act and Rule... information on options that are traded on the participant exchanges. The nine participants to the OPRA...
Waterlander, Wilma E; Blakely, Tony; Nghiem, Nhung; Cleghorn, Christine L; Eyles, Helen; Genc, Murat; Wilson, Nick; Jiang, Yannan; Swinburn, Boyd; Jacobi, Liana; Michie, Jo; Ni Mhurchu, Cliona
2016-07-19
There is a need for accurate and precise food price elasticities (PE, change in consumer demand in response to change in price) to better inform policy on health-related food taxes and subsidies. The Price Experiment and Modelling (Price ExaM) study aims to: I) derive accurate and precise food PE values; II) quantify the impact of price changes on quantity and quality of discrete food group purchases and; III) model the potential health and disease impacts of a range of food taxes and subsidies. To achieve this, we will use a novel method that includes a randomised Virtual Supermarket experiment and econometric methods. Findings will be applied in simulation models to estimate population health impact (quality-adjusted life-years [QALYs]) using a multi-state life-table model. The study will consist of four sequential steps: 1. We generate 5000 price sets with random price variation for all 1412 Virtual Supermarket food and beverage products. Then we add systematic price variation for foods to simulate five taxes and subsidies: a fruit and vegetable subsidy and taxes on sugar, saturated fat, salt, and sugar-sweetened beverages. 2. Using an experimental design, 1000 adult New Zealand shoppers complete five household grocery shops in the Virtual Supermarket where they are randomly assigned to one of the 5000 price sets each time. 3. Output data (i.e., multiple observations of price configurations and purchased amounts) are used as inputs to econometric models (using Bayesian methods) to estimate accurate PE values. 4. A disease simulation model will be run with the new PE values as inputs to estimate QALYs gained and health costs saved for the five policy interventions. The Price ExaM study has the potential to enhance public health and economic disciplines by introducing internationally novel scientific methods to estimate accurate and precise food PE values. These values will be used to model the potential health and disease impacts of various food pricing policy
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.
Fuzzy pricing for urban water resources: model construction and application.
Zhao, Ranhang; Chen, Shouyu
2008-08-01
A rational water price system plays a crucial role in the optimal allocation of water resources. In this paper, a fuzzy pricing model for urban water resources is presented, which consists of a multi-criteria fuzzy evaluation model and a water resources price (WRP) computation model. Various factors affecting WRP are comprehensively evaluated with multiple levels and objectives in the multi-criteria fuzzy evaluation model, while the price vectors of water resources are constructed in the WRP computation model according to the definition of the bearing water price index, and then WRP is calculated. With the incorporation of an operator's knowledge, it considers iterative weights and subjective preference of operators for weight-assessment. The weights determined are more rational and the evaluation results are more realistic. Particularly, dual water supply is considered in the study. Different prices being fixed for water resources with different qualities conforms to the law of water resources value (WRV) itself. A high-quality groundwater price computation model is also proposed to provide optimal water allocation and to meet higher living standards. The developed model is applied in Jinan for evaluating its validity. The method presented in this paper offers some new directions in the research of WRP.
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...
Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach
NASA Astrophysics Data System (ADS)
Choustova, O.
2007-08-01
We use quantum mechanical methods to model the price dynamics in the financial market mathematically. We propose describing behavioral financial factors using the pilot-wave (Bohmian) model of quantum mechanics. The real price trajectories are determined (via the financial analogue of the second Newton law) by two financial potentials: the classical-like potential V (q) (“hard” market conditions) and the quantumlike potential U(q) (behavioral market conditions).
48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.
Code of Federal Regulations, 2010 CFR
2010-10-01
... ENVIRONMENTAL PROTECTION AGENCY CLAUSES AND FORMS SOLICITATION PROVISIONS AND CONTRACT CLAUSES Texts of... date End date (b) During the option period(s) the Contractor shall provide the services described below: Period Attachment (c) The “Consideration and Payment” clause will be amended to reflect increased...
48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.
Code of Federal Regulations, 2014 CFR
2014-10-01
... ENVIRONMENTAL PROTECTION AGENCY CLAUSES AND FORMS SOLICITATION PROVISIONS AND CONTRACT CLAUSES Texts of... date End date (b) During the option period(s) the Contractor shall provide the services described below: Period Attachment (c) The “Consideration and Payment” clause will be amended to reflect increased...
48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.
Code of Federal Regulations, 2012 CFR
2012-10-01
... ENVIRONMENTAL PROTECTION AGENCY CLAUSES AND FORMS SOLICITATION PROVISIONS AND CONTRACT CLAUSES Texts of... date End date (b) During the option period(s) the Contractor shall provide the services described below: Period Attachment (c) The “Consideration and Payment” clause will be amended to reflect increased...
Comparative analysis of used car price evaluation models
NASA Astrophysics Data System (ADS)
Chen, Chuancan; Hao, Lulu; Xu, Cong
2017-05-01
An accurate used car price evaluation is a catalyst for the healthy development of used car market. Data mining has been applied to predict used car price in several articles. However, little is studied on the comparison of using different algorithms in used car price estimation. This paper collects more than 100,000 used car dealing records throughout China to do empirical analysis on a thorough comparison of two algorithms: linear regression and random forest. These two algorithms are used to predict used car price in three different models: model for a certain car make, model for a certain car series and universal model. Results show that random forest has a stable but not ideal effect in price evaluation model for a certain car make, but it shows great advantage in the universal model compared with linear regression. This indicates that random forest is an optimal algorithm when handling complex models with a large number of variables and samples, yet it shows no obvious advantage when coping with simple models with less variables.
White cider consumption and heavy drinkers: a low-cost option but an unknown price.
Black, Heather; Michalova, Lucie; Gill, Jan; Rees, Cheryl; Chick, Jonathan; O'May, Fiona; Rush, Robert; McPake, Barbara
2014-11-01
To compare characteristics of heavy drinkers who do, or do not, drink white cider during their typical drinking week and to contrast white cider drinkers' behaviour with a similar group recruited in comparable settings 4 years previously. To consider if excessive white cider consumption poses a specific health risk. Cross-sectional survey of alcohol purchasing and consumption by heavy drinkers consuming white cider in Edinburgh and Glasgow during 2012; comparison of purchasing patterns within Edinburgh in 2008-2009 and 2012. Participants were 639 patients (in- and out-patient settings) with serious health problems linked to alcohol, 345 in Glasgow, 294 in Edinburgh in 2012, and 377 in Edinburgh in 2008-2009. In 2012 white cider consumption was reported by 25% of participants (median consumption (all alcohol) was 249 UK units per week-1 UK unit being 8 g of ethanol). They were more likely to be male and younger. They drank more units of alcohol than non-white cider drinkers and reported more alcohol-related problems. The median price paid for white cider in 2012 was 17 ppu. The period 2008-2012 was associated with decreasing affordability of alcohol, but consumption levels amongst the heaviest drinkers were maintained, associated with an increased proportion of units purchased as white cider. White cider makes an important contribution to the weekly intake of heavy drinkers in Scotland, likely facilitated by low price per unit of alcohol. We suggest these characteristics permit this drink to act as a buffer, supporting the continuation of a heavy drinking pattern when affordability of alcohol falls. © The Author 2014. Medical Council on Alcohol and Oxford University Press. All rights reserved.
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.
The capital-asset-pricing model and arbitrage pricing theory: A unification
Khan, M. Ali; Sun, Yeneng
1997-01-01
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. PMID:11038614
The capital-asset-pricing model and arbitrage pricing theory: a unification.
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.
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.
Short-Term Energy Outlook Model Documentation: Regional Residential Heating Oil Price Model
2009-01-01
The regional residential heating oil price module of the Short-Term Energy Outlook (STEO) model is designed to provide residential retail price forecasts for the 4 census regions: Northeast, South, Midwest, and West.
Short-Term Energy Outlook Model Documentation: Regional Residential Heating Oil Price Model
2009-01-01
The regional residential heating oil price module of the Short-Term Energy Outlook (STEO) model is designed to provide residential retail price forecasts for the 4 census regions: Northeast, South, Midwest, and West.
Short-Term Energy Outlook Model Documentation: Regional Residential Propane Price Model
2009-01-01
The regional residential propane price module of the Short-Term Energy Outlook (STEO) model is designed to provide residential retail price forecasts for the 4 Census regions: Northeast, South, Midwest, and West.
Short-Term Energy Outlook Model Documentation: Regional Residential Propane Price Model
2009-01-01
The regional residential propane price module of the Short-Term Energy Outlook (STEO) model is designed to provide residential retail price forecasts for the 4 Census regions: Northeast, South, Midwest, and West.
Model documentation: Electricity market module, electricity finance and pricing submodule
Not Available
1994-04-07
The purpose of this report is to define the objectives of the model, describe its basic approach, and provide detail on how it works. The EFP is a regulatory accounting model that projects electricity prices. The model first solves for revenue requirements by building up a rate base, calculating a return on rate base, and adding the allowed expenses. Average revenues (prices) are calculated based on assumptions regarding regulator lag and customer cost allocation methods. The model then solves for the internal cash flow and analyzes the need for external financing to meet necessary capital expenditures. Finally, the EFP builds up the financial statements. The EFP is used in conjunction with the National Energy Modeling System (NEMS). Inputs to the EFP include the forecast generating capacity expansion plans, operating costs, regulator environment, and financial data. The outputs include forecasts of income statements, balance sheets, revenue requirements, and electricity prices.
Assessing Stop-Loss Policy Options through Personnel Flow Modeling
2014-01-01
Policy Options Through Personnel Flow Modeling 5a. CONTRACT NUMBER 5b. GRANT NUMBER 5c. PROGRAM ELEMENT NUMBER 6. AUTHOR(S) 5d. PROJECT NUMBER 5e...Assessing Stop-Loss Policy Options Through Personnel Flow Modeling Stephen D. Brady NATIONAL DEFENSE RESEARCH INSTITUTE Assessing Stop-Loss Policy...Options Through Personnel Flow Modeling Stephen D. Brady Prepared for the Office of the Secretary of Defense Approved for public release
Particle-scale modelling of financial price dynamics
NASA Astrophysics Data System (ADS)
Liu, David
2017-02-01
This paper proposes a particle-based computational framework for modeling of financial price dynamics, which is an extension of the recent empirical work of Financial Brownian Particle (FBP), and discretizes and solves the Langevin equation that is the continuum representation of a financial market. The framework enables us to simulate the limit order book of the USD/JPY exchange rates. The research yields results that are in good agreement with the published empirical results. Our framework of modelling financial prices is of multidisciplinary nature, and can bridge the fields of empirical studies of financial order books, particle dynamics simulation, and modelling of financial market.
A dynamical model describing stock market price distributions
NASA Astrophysics Data System (ADS)
Masoliver, Jaume; Montero, Miquel; Porrà, Josep M.
2000-08-01
High-frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well established by empirical evidence. Specifically, probability distributions have the following properties: (i) They are not Gaussian and their center is well adjusted by Lévy distributions. (ii) They are long-tailed but have finite moments of any order. (iii) They are self-similar on many time scales. Finally, (iv) at small time scales, price volatility follows a non-diffusive behavior. We extend Merton's ideas on speculative price formation and present a dynamical model resulting in a characteristic function that explains in a natural way all of the above features. The knowledge of such a distribution opens a new and useful way of quantifying financial risk. The results of the model agree - with high degree of accuracy - with empirical data taken from historical records of the Standard & Poor's 500 cash index.
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.
The GED Exit Option Model. Procedure Manual. Revised.
ERIC Educational Resources Information Center
Florida State Dept. of Education, Tallahassee. Bureau of Instructional Support and Community Services.
The purpose of this document is to assist Florida school districts in implementing the General Educational Development (GED) Exit Option Model for students at risk of not completing high school. Students must be at least 16 years of age and currently enrolled in high school to take the GED tests through the GED Exit Option Model. In addition, the…
Reaction-diffusion-branching models of stock price fluctuations
NASA Astrophysics Data System (ADS)
Tang, Lei-Han; Tian, Guang-Shan
Several models of stock trading (Bak et al., Physica A 246 (1997) 430.) are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the short-time market price variation is subdiffusive with a Hurst exponent H=1/4. Biased diffusion towards the market price and blind-eyed copying lead to crossovers to the empirically observed random-walk behavior ( H=1/2) at long times. The calculated crossover forms and diffusion constants are shown to agree well with simulation data.
Application for Single Price Auction Model (SPA) in AC Network
NASA Astrophysics Data System (ADS)
Wachi, Tsunehisa; Fukutome, Suguru; Chen, Luonan; Makino, Yoshinori; Koshimizu, Gentarou
This paper aims to develop a single price auction model with AC transmission network, based on the principle of maximizing social surplus of electricity market. Specifically, we first formulate the auction market as a nonlinear optimization problem, which has almost the same form as the conventional optimal power flow problem, and then propose an algorithm to derive both market clearing price and trade volume of each player even for the case of market-splitting. As indicated in the paper, the proposed approach can be used not only for the price evaluation of auction or bidding market but also for analysis of bidding strategy, congestion effect and other constraints or factors. Several numerical examples are used to demonstrate effectiveness of our method.
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…
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.
Stochastic differential equation (SDE) model of opening gold share price of bursa saham malaysia
NASA Astrophysics Data System (ADS)
Hussin, F. N.; Rahman, H. A.; Bahar, A.
2017-09-01
Black and Scholes option pricing model is one of the most recognized stochastic differential equation model in mathematical finance. Two parameter estimation methods have been utilized for the Geometric Brownian model (GBM); historical and discrete method. The historical method is a statistical method which uses the property of independence and normality logarithmic return, giving out the simplest parameter estimation. Meanwhile, discrete method considers the function of density of transition from the process of diffusion normal log which has been derived from maximum likelihood method. These two methods are used to find the parameter estimates samples of Malaysians Gold Share Price data such as: Financial Times and Stock Exchange (FTSE) Bursa Malaysia Emas, and Financial Times and Stock Exchange (FTSE) Bursa Malaysia Emas Shariah. Modelling of gold share price is essential since fluctuation of gold affects worldwide economy nowadays, including Malaysia. It is found that discrete method gives the best parameter estimates than historical method due to the smallest Root Mean Square Error (RMSE) value.
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.
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
Meier, Petra S; Holmes, John; Angus, Colin; Ally, Abdallah K; Meng, Yang; Brennan, Alan
2016-02-01
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. 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 mortality rates are as follows: current tax
Meier, Petra S.; Holmes, John; Angus, Colin; Ally, Abdallah K.; Meng, Yang; Brennan, Alan
2016-01-01
Introduction While evidence that alcohol pricing policies reduce alcohol-related health harm is robust, and alcohol taxation increases are a WHO “best buy” intervention, there is a lack of research comparing the scale and distribution across society of health impacts arising from alternative tax and price policy options. The aim of this study is to test whether four common alcohol taxation and pricing strategies differ in their impact on health inequalities. Methods and Findings An econometric epidemiological model was built with England 2014/2015 as the setting. Four pricing strategies implemented on top of the current tax were equalised to give the same 4.3% population-wide reduction in total alcohol-related mortality: current tax increase, a 13.4% all-product duty increase under the current UK system; a value-based tax, a 4.0% ad valorem tax based on product price; a strength-based tax, a volumetric tax of £0.22 per UK alcohol unit (= 8 g of ethanol); and minimum unit pricing, a minimum price threshold of £0.50 per unit, below which alcohol cannot be sold. Model inputs were calculated by combining data from representative household surveys on alcohol purchasing and consumption, administrative and healthcare data on 43 alcohol-attributable diseases, and published price elasticities and relative risk functions. Outcomes were annual per capita consumption, consumer spending, and alcohol-related deaths. Uncertainty was assessed via partial probabilistic sensitivity analysis (PSA) and scenario analysis. The pricing strategies differ as to how effects are distributed across the population, and, from a public health perspective, heavy drinkers in routine/manual occupations are a key group as they are at greatest risk of health harm from their drinking. Strength-based taxation and minimum unit pricing would have greater effects on mortality among drinkers in routine/manual occupations (particularly for heavy drinkers, where the estimated policy effects on
The asset pricing model of musharakah factors
NASA Astrophysics Data System (ADS)
Simon, Shahril; Omar, Mohd; Lazam, Norazliani Md
2015-02-01
The existing three-factor model developed by Fama and French for conventional investment was formulated based on risk-free rates element in which contradict with Shariah principles. We note that the underlying principles that govern Shariah investment were mutual risk and profit sharing between parties, the assurance of fairness for all and that transactions were based on an underlying asset. In addition, the three-factor model did not exclude stock that was not permissible by Shariah such as financial services based on riba (interest), gambling operator, manufacture or sale of non-halal products or related products and other activities deemed non-permissible according to Shariah. Our approach to construct the factor model for Shariah investment was based on the basic tenets of musharakah in tabulating the factors. We start by noting that Islamic stocks with similar characteristics should have similar returns and risks. This similarity between Islamic stocks was defined by the similarity of musharakah attributes such as business, management, profitability and capital. These attributes define factor exposures (or betas) to factors. The main takeaways were that musharakah attributes we chose had explain stock returns well in cross section and were significant in different market environments. The management factor seemed to be responsible for the general dynamics of the explanatory power.
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
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.
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.
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.
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.
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.
Adaptation of warrant price with Black Scholes model and historical volatility
NASA Astrophysics Data System (ADS)
Aziz, Khairu Azlan Abd; Idris, Mohd Fazril Izhar Mohd; Saian, Rizauddin; Daud, Wan Suhana Wan
2015-05-01
This project discusses about pricing warrant in Malaysia. The Black Scholes model with non-dividend approach and linear interpolation technique was applied in pricing the call warrant. Three call warrants that are listed in Bursa Malaysia were selected randomly from UiTM's datastream. The finding claims that the volatility for each call warrants are different to each other. We have used the historical volatility which will describes the price movement by which an underlying share is expected to fluctuate within a period. The Black Scholes model price that was obtained by the model will be compared with the actual market price. Mispricing the call warrants will contribute to under or over valuation price. Other variables like interest rate, time to maturity date, exercise price and underlying stock price are involves in pricing call warrants as well as measuring the moneyness of call warrants.
Slice sampling technique in Bayesian extreme of gold price modelling
NASA Astrophysics Data System (ADS)
Rostami, Mohammad; Adam, Mohd Bakri; Ibrahim, Noor Akma; Yahya, Mohamed Hisham
2013-09-01
In this paper, a simulation study of Bayesian extreme values by using Markov Chain Monte Carlo via slice sampling algorithm is implemented. We compared the accuracy of slice sampling with other methods for a Gumbel model. This study revealed that slice sampling algorithm offers more accurate and closer estimates with less RMSE than other methods . Finally we successfully employed this procedure to estimate the parameters of Malaysia extreme gold price from 2000 to 2011.
Jump diffusion models and the evolution of financial prices
NASA Astrophysics Data System (ADS)
Figueiredo, Annibal; de Castro, Marcio T.; da Silva, Sergio; Gleria, Iram
2011-08-01
We analyze a stochastic model to describe the evolution of financial prices. We consider the stochastic term as a sum of the Wiener noise and a jump process. We point to the effects of the jumps on the return time evolution, a central concern of the econophysics literature. The presence of jumps suggests that the process can be described by an infinitely divisible characteristic function belonging to the De Finetti class. We then extend the De Finetti functions to a generalized nonlinear model and show the model to be capable of explaining return behavior.
Short-Term Energy Outlook Model Documentation: Petroleum Product Prices Module
2015-01-01
The petroleum products price module of the Short-Term Energy Outlook (STEO) model is designed to provide U.S. average wholesale and retail price forecasts for motor gasoline, diesel fuel, heating oil, and jet fuel.
Short-Term Energy Outlook Model Documentation: Petroleum Product Prices Module
2015-01-01
The petroleum products price module of the Short-Term Energy Outlook (STEO) model is designed to provide U.S. average wholesale and retail price forecasts for motor gasoline, diesel fuel, heating oil, and jet fuel.
Multiple Choice Neurodynamical Model of the Uncertain Option Task
Insabato, Andrea; Pannunzi, Mario; Deco, Gustavo
2017-01-01
The uncertain option task has been recently adopted to investigate the neural systems underlying the decision confidence. Latterly single neurons activity has been recorded in lateral intraparietal cortex of monkeys performing an uncertain option task, where the subject is allowed to opt for a small but sure reward instead of making a risky perceptual decision. We propose a multiple choice model implemented in a discrete attractors network. This model is able to reproduce both behavioral and neurophysiological experimental data and therefore provides support to the numerous perspectives that interpret the uncertain option task as a sensory-motor association. The model explains the behavioral and neural data recorded in monkeys as the result of the multistable attractor landscape and produces several testable predictions. One of these predictions may help distinguish our model from a recently proposed continuous attractor model. PMID:28076355
Multiple Choice Neurodynamical Model of the Uncertain Option Task.
Insabato, Andrea; Pannunzi, Mario; Deco, Gustavo
2017-01-01
The uncertain option task has been recently adopted to investigate the neural systems underlying the decision confidence. Latterly single neurons activity has been recorded in lateral intraparietal cortex of monkeys performing an uncertain option task, where the subject is allowed to opt for a small but sure reward instead of making a risky perceptual decision. We propose a multiple choice model implemented in a discrete attractors network. This model is able to reproduce both behavioral and neurophysiological experimental data and therefore provides support to the numerous perspectives that interpret the uncertain option task as a sensory-motor association. The model explains the behavioral and neural data recorded in monkeys as the result of the multistable attractor landscape and produces several testable predictions. One of these predictions may help distinguish our model from a recently proposed continuous attractor model.
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-22
... Reporting of Consolidated Options Last Sale Reports and Quotation Information To Amend Section 3.5 of the... amendment to the Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information... dissemination of last sale and quotation information on options that are traded on the participant exchanges...
Rudkevich, A.; Duckworth, M.; Rosen, R. )
1998-01-01
The authors calculate the electricity prices that would result from a pure poolco market with identical profit-maximizing generating firms. They advance theoretical concepts developed by Klemperer and Meyer (1989) and Green and Newbery (1992), and propose a new formula for the instantaneous market clearing price when generating firms adopt bidding strategies given by the Nash Equilibrium. Applying his formula to empirical electricity supply and demand data, the authors find that even in markets with a relatively high number of firms, the price of electricity is significantly higher than the short-run marginal cost of generation. They express the average annual price mark-up with a Price-Cost Margin Index, and show how it varies with market concentration, as measured by the Herfindahl-Hirschmann Index (HHI). They conclude that the federal Energy Regulatory Commission's use of the HHI in its merger guidelines could prove inadequate in addressing market power concerns in deregulated poolco markets.
A semi-Markov model with memory for price changes
NASA Astrophysics Data System (ADS)
D'Amico, Guglielmo; Petroni, Filippo
2011-12-01
We study the high-frequency price dynamics of traded stocks by means of a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov model which depends also on a memory index. The index is introduced to take into account periods of high and low volatility in the market. First of all we derive the equations governing the process and then theoretical results are compared with empirical findings from real data. In particular we analyzed high-frequency data from the Italian stock market from 1 January 2007 until the end of December 2010.
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…
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…
Learning Unlimited: A Model for Options Education.
ERIC Educational Resources Information Center
Stevens-Jacobi, Freddi, Comp.; And Others
This report describes Learning Unlimited, an alternative education program at North Central High School in Washington Township, Indianapolis, Indiana, as a model upon which other alternative education programs might be based. The program was established to keep potential high school dropouts in school, and to provide a new kind of educational…
Beheshti, Rahmatollah; Igusa, Takeru; Jones-Smith, Jessica
2016-11-01
The price of food has long been considered one of the major factors that affects food choices. However, the price metric (e.g., the price of food per calorie or the price of food per gram) that individuals predominantly use when making food choices is unclear. Understanding which price metric is used is especially important for studying individuals with severe budget constraints because food price then becomes even more important in food choice. We assessed which price metric is used by low-income individuals in deciding what to eat. With the use of data from NHANES and the USDA Food and Nutrient Database for Dietary Studies, we created an agent-based model that simulated an environment representing the US population, wherein individuals were modeled as agents with a specific weight, age, and income. In our model, agents made dietary food choices while meeting their budget limits with the use of 1 of 3 different metrics for decision making: energy cost (price per calorie), unit price (price per gram), and serving price (price per serving). The food consumption patterns generated by our model were compared to 3 independent data sets. The food choice behaviors observed in 2 of the data sets were found to be closest to the simulated dietary patterns generated by the price per calorie metric. The behaviors observed in the third data set were equidistant from the patterns generated by price per calorie and price per serving metrics, whereas results generated by the price per gram metric were further away. Our simulations suggest that dietary food choice based on price per calorie best matches actual consumption patterns and may therefore be the most salient price metric for low-income populations. © 2016 American Society for Nutrition.
Wavelet regression model in forecasting crude oil price
NASA Astrophysics Data System (ADS)
Hamid, Mohd Helmie; Shabri, Ani
2017-05-01
This study presents the performance of wavelet multiple linear regression (WMLR) technique in daily crude oil forecasting. WMLR model was developed by integrating the discrete wavelet transform (DWT) and multiple linear regression (MLR) model. The original time series was decomposed to sub-time series with different scales by wavelet theory. Correlation analysis was conducted to assist in the selection of optimal decomposed components as inputs for the WMLR model. The daily WTI crude oil price series has been used in this study to test the prediction capability of the proposed model. The forecasting performance of WMLR model were also compared with regular multiple linear regression (MLR), Autoregressive Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) using root mean square errors (RMSE) and mean absolute errors (MAE). Based on the experimental results, it appears that the WMLR model performs better than the other forecasting technique tested in this study.
Palm oil price forecasting model: An autoregressive distributed lag (ARDL) approach
NASA Astrophysics Data System (ADS)
Hamid, Mohd Fahmi Abdul; Shabri, Ani
2017-05-01
Palm oil price fluctuated without any clear trend or cyclical pattern in the last few decades. The instability of food commodities price causes it to change rapidly over time. This paper attempts to develop Autoregressive Distributed Lag (ARDL) model in modeling and forecasting the price of palm oil. In order to use ARDL as a forecasting model, this paper modifies the data structure where we only consider lagged explanatory variables to explain the variation in palm oil price. We then compare the performance of this ARDL model with a benchmark model namely ARIMA in term of their comparative forecasting accuracy. This paper also utilize ARDL bound testing approach to co-integration in examining the short run and long run relationship between palm oil price and its determinant; production, stock, and price of soybean as the substitute of palm oil and price of crude oil. The comparative forecasting accuracy suggests that ARDL model has a better forecasting accuracy compared to ARIMA.
Short-Term Energy Outlook Model Documentation: Natural Gas Consumption and Prices
2015-01-01
The natural gas consumption and price modules of the Short-Term Energy Outlook (STEO) model are designed to provide consumption and end-use retail price forecasts for the residential, commercial, and industrial sectors in the nine Census districts and natural gas working inventories in three regions. Natural gas consumption shares and prices in each Census district are used to calculate an average U.S. retail price for each end-use sector.
Short-Term Energy Outlook Model Documentation: Natural Gas Consumption and Prices
2015-01-01
The natural gas consumption and price modules of the Short-Term Energy Outlook (STEO) model are designed to provide consumption and end-use retail price forecasts for the residential, commercial, and industrial sectors in the nine Census districts and natural gas working inventories in three regions. Natural gas consumption shares and prices in each Census district are used to calculate an average U.S. retail price for each end-use sector.
A quadranomial real options model for evaluation of emissions trading and technology
NASA Astrophysics Data System (ADS)
Sarkis, Joseph; Tamarkin, Maurry
2005-11-01
Green house gas (GHG) emissions have been tied to global climate change. One popular policy instrument that seems to have gained credibility with explicit mention of its application in the Kyoto Protocol is the use of permit trading and cap-and-trade mechanisms. Organizations functioning within this environment will need to manage their resources appropriately to remain competitive. Organizations will either have the opportunity to purchase emissions credits (offsets) from a market trading scheme or seek to reduce their emissions through different measures. Some measures may include investment in new technologies that will reduce their reliance on GHG emitting practices. In many countries, large organizations and institutions generate their own power to operate their facilities. Much of this power is generated (or bought) from GHG producing technology. Specific renewable energy sources such as wind and solar photovoltaic technology may become more feasible alternatives available to a large percentage of these organizations if they are able to take advantage and incorporate the market for GHG emissions trading in their analyses. To help organizations evaluate investment in these renewable energy technologies we introduce a real options based model that will take into consideration uncertainties associated with the technology and those associated with the GHG trading market. The real options analysis will consider both the stochastic (uncertainty) nature of the exercise price of the technology and the stochastic nature of the market trading price of the GHG emissions.
The OPTIONS model of sexual risk assessment for adolescents.
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.
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
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
Federal Register 2010, 2011, 2012, 2013, 2014
2012-08-08
... Consolidated Options Last Sale Reports and Quotation Information To Revise the Definition of the Term... Reporting of Consolidated Options Last Sale Reports ] and Quotation Information (``OPRA Plan'').\\3\\ The proposed OPRA Plan amendment would revise OPRA's definition of the term ``Nonprofessional.'' The proposed...
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.
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.
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.
Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
NASA Astrophysics Data System (ADS)
Mayo, Anita
2008-12-01
The pricing equations for options on assets that follow jump-diffusion processes contain integrals in addition to the usual differential terms. These integrals usually make such equations expensive to solve numerically. Although Fast Fourier Transform methods can be used to to evaluate the integrals at all mesh points simultaneously, they are costly since the computational region must be extended in order to avoid problems with wrap around. Other numerical difficulties arise when the density function for the jump size is not smooth, as in the Kou double exponential model. We present new solution methods which are based on the fact that even when the problems contain time-dependent parameters the integrals often satisfy easily solved ordinary or parabolic partial differential equations. In particular, we show that by using the operator splitting method proposed by Andersen and Andreasen it is possible to reduce the solution of the pricing equation in the Kou and similar models to a sequence of ordinary differential equations at each time step. We discuss the methods and present results of numerical experiments.
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.
Quantifying risks with exact analytical solutions of derivative pricing distribution
NASA Astrophysics Data System (ADS)
Zhang, Kun; Liu, Jing; Wang, Erkang; Wang, Jin
2017-04-01
Derivative (i.e. option) pricing is essential for modern financial instrumentations. Despite of the previous efforts, the exact analytical forms of the derivative pricing distributions are still challenging to obtain. In this study, we established a quantitative framework using path integrals to obtain the exact analytical solutions of the statistical distribution for bond and bond option pricing for the Vasicek model. We discuss the importance of statistical fluctuations away from the expected option pricing characterized by the distribution tail and their associations to value at risk (VaR). The framework established here is general and can be applied to other financial derivatives for quantifying the underlying statistical distributions.
Modelling of capital asset pricing by considering the lagged effects
NASA Astrophysics Data System (ADS)
Sukono; Hidayat, Y.; Bon, A. Talib bin; Supian, S.
2017-01-01
In this paper the problem of modelling the Capital Asset Pricing Model (CAPM) with the effect of the lagged is discussed. It is assumed that asset returns are analysed influenced by the market return and the return of risk-free assets. To analyse the relationship between asset returns, the market return, and the return of risk-free assets, it is conducted by using a regression equation of CAPM, and regression equation of lagged distributed CAPM. Associated with the regression equation lagged CAPM distributed, this paper also developed a regression equation of Koyck transformation CAPM. Results of development show that the regression equation of Koyck transformation CAPM has advantages, namely simple as it only requires three parameters, compared with regression equation of lagged distributed CAPM.
What is a new drug worth? An innovative model for performance-based pricing.
Dranitsaris, G; Dorward, K; Owens, R C; Schipper, H
2015-05-01
This article focuses on a novel method to derive prices for new pharmaceuticals by making price a function of drug performance. We briefly review current models for determining price for a new product and discuss alternatives that have historically been favoured by various funding bodies. The progressive approach to drug pricing, proposed herein, may better address the views and concerns of multiple stakeholders in a developed healthcare system by acknowledging and incorporating input from disparate parties via comprehensive and successive negotiation stages. In proposing a valid construct for performance-based pricing, the following model seeks to achieve several crucial objectives: earlier and wider access to new treatments; improved transparency in drug pricing; multi-stakeholder involvement through phased pricing negotiations; recognition of innovative product performance and latent changes in value; an earlier and more predictable return for developers without sacrificing total return on investment (ROI); more involved and informed risk sharing by the end-user.
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.
Kinetic market models with single commodity having price fluctuations
NASA Astrophysics Data System (ADS)
Chatterjee, A.; Chakrabarti, B. K.
2006-12-01
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of trading or exchange of money and commodity proceeds, with local (in time) fluctuations in the price of the commodity. These distributions are studied in markets with agents having uniform and random saving factors. The self-organizing features in money distribution are similar to the cases without any commodity (or with consumable commodities), while the commodity distribution shows an exponential decay. The wealth distribution shows interesting behavior: gamma like distribution for uniform saving propensity and has the same power-law tail, as that of the money distribution, for a market with agents having random saving propensity.
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.
Oil price shocks in a portfolio-balance model
Caprio, J.; Clark, P.B.
1983-06-01
In the 1970's, oil price increases were often associated with downward pressure on the foreign exchange value of the dollar. In order to identify the factors generating this association, we examine an oil price shock in a portfolio-balance framework where a wealth transfer is generated by altered current account positions. We show that the exchange-rate impact of higher oil prices depends importantly on the asset preferences of both oil importers and oil exporters, as well as exchange rate expectations, which are influenced by countries' abilities to adjust to higher oil prices. 15 references.
Quantum spatial-periodic harmonic model for daily price-limited stock markets
NASA Astrophysics Data System (ADS)
Meng, Xiangyi; Zhang, Jian-Wei; Xu, Jingjing; Guo, Hong
2015-11-01
We investigate the behaviors of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is considered to be oscillating and damping in a quantum spatial-periodic harmonic oscillator potential well. A complicated non-linear relation including inter-band positive correlation and intra-band negative correlation between the volatility and trading volume of a stock is numerically derived with the energy band structure of the model concerned. The effectiveness of price limit is re-examined, with some observed characteristics of price-limited stock markets in China studied by applying our quantum model.
Preliminary analysis on hybrid Box-Jenkins - GARCH modeling in forecasting gold price
NASA Astrophysics Data System (ADS)
Yaziz, Siti Roslindar; Azizan, Noor Azlinna; Ahmad, Maizah Hura; Zakaria, Roslinazairimah; Agrawal, Manju; Boland, John
2015-02-01
Gold has been regarded as a valuable precious metal and the most popular commodity as a healthy return investment. Hence, the analysis and prediction of gold price become very significant to investors. This study is a preliminary analysis on gold price and its volatility that focuses on the performance of hybrid Box-Jenkins models together with GARCH in analyzing and forecasting gold price. The Box-Cox formula is used as the data transformation method due to its potential best practice in normalizing data, stabilizing variance and reduces heteroscedasticity using 41-year daily gold price data series starting 2nd January 1973. Our study indicates that the proposed hybrid model ARIMA-GARCH with t-innovation can be a new potential approach in forecasting gold price. This finding proves the strength of GARCH in handling volatility in the gold price as well as overcomes the non-linear limitation in the Box-Jenkins modeling.
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.
Hidden Markov Model and Forward-Backward Algorithm in Crude Oil Price Forecasting
NASA Astrophysics Data System (ADS)
Talib Bon, Abdul; Isah, Nuhu
2016-11-01
In light of the importance of crude oil to the world's economy, it is not surprising that economists have devoted great efforts towards developing methods to forecast price and volatility levels. Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile such as economic, political and social. Hence, forecasting the crude oil prices is essential to avoid unforeseen circumstances towards economic activity. In this study, daily crude oil prices data was obtained from WTI dated 2nd January to 29th May 2015. We used Hidden Markov Model (HMM) and Forward-Backward Algorithm to forecasting the crude oil prices. In this study, the analyses were done using Maple software. Based on the study, we concluded that model (0 3 0) is able to produce accurate forecast based on a description of history patterns in crude oil prices.
[Study on early-warning of Chinese materia medica price base on ARMA model].
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.
Path Integrals and Exotic Options:. Methods and Numerical Results
NASA Astrophysics Data System (ADS)
Bormetti, G.; Montagna, G.; Moreni, N.; Nicrosini, O.
2005-09-01
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price path dependent options on multidimensional and correlated underlying assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we detail the case of Asian call options. The numerical results are compared with those obtained with other procedures used in quantitative finance and found to be in good agreement. In particular, when pricing at the money (ATM) and out of the money (OTM) options, path integral exhibits competitive performances.
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…
Stochastic Price Models and Optimal Tree Cutting: Results for Loblolly Pine
Robert G. Haight; Thomas P. Holmes
1991-01-01
An empirical investigation of stumpage price models and optimal harvest policies is conducted for loblolly pine plantations in the southeastern United States. The stationarity of monthly and quarterly series of sawtimber prices is analyzed using a unit root test. The statistical evidence supports stationary autoregressive models for the monthly series and for the...
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…
Federal Register 2010, 2011, 2012, 2013, 2014
2013-10-24
..., illiquidity, or other factors. Clarification of Pricing Model Reference in Rule 601 Rule 601 currently refers to the use of ``options pricing models'' to predict the impact of changes in values on positions in... includes a non-substantive change to clarify a pricing model reference in OCC Rule 601. \\13\\ 12 U.S.C. 78q...
Comparison of two water pricing policies in hydro-economic modeling study
NASA Astrophysics Data System (ADS)
Riegels, N.; Pulido Velazquez, M.; Doulgeris, C.; Sturm, V.; Jensen, R.; Møller, F.; Bauer-Gottwein, P.
2012-04-01
A study is presented comparing two different water pricing policies that are applied to wholesale water users throughout a river basin. The purpose of the study is to test policies that meet some of the water pricing objectives of the European Union Water Framework Directive (WFD). In the first policy, a single volumetric water price is applied to all wholesale water users throughout a case study river basin located in northern Greece. The same price is applied consistently to all surface water and groundwater users regardless of water use type and does not vary in space or time. In the second policy surface water is priced at a uniform volumetric price, while groundwater is priced using the price of energy as a surrogate for a volumetric water price. The policies are compared using a hydro-economic modeling approach in which wholesale water users are assumed to respond to water price changes according to microeconomic theory. A hydrological model of the case study river basin is used to estimate the impact of water use changes on river flow patterns, which are then used to assess the ecological status of the basin. WFD ecological status requirements are imposed as a constraint in the model, and an optimization approach is used to identify prices that meet the WFD requirements while minimizing opportunity costs (in terms of total welfare losses). Model results suggest that there is little difference between the two approaches in terms of the total opportunity costs of meeting the ecological status requirements of the WFD. However, the distribution of opportunity costs is different, with the second approach reducing the economic impact on producers of low value crops and small urban/domestic users. Because growers of low value crops will suffer the most from water price increases, the second policy offers the advantage of reducing this burden. In addition, because of difficulties associated with monitoring groundwater use, the second policy may be easier to
A GIS-based hedonic price model for agricultural land
NASA Astrophysics Data System (ADS)
Demetriou, Demetris
2015-06-01
Land consolidation is a very effective land management planning approach that aims towards rural/agricultural sustainable development. Land reallocation which involves land tenure restructuring is the most important, complex and time consuming component of land consolidation. Land reallocation relies on land valuation since its fundamental principle provides that after consolidation, each landowner shall be granted a property of an aggregate value that is approximately the same as the value of the property owned prior to consolidation. Therefore, land value is the crucial factor for the land reallocation process and hence for the success and acceptance of the final land consolidation plan. Land valuation is a process of assigning values to all parcels (and its contents) and it is usually carried out by an ad-hoc committee. However, the process faces some problems such as it is time consuming hence costly, outcomes may present inconsistency since it is carried out manually and empirically without employing systematic analytical tools and in particular spatial analysis tools and techniques such as statistical/mathematical. A solution to these problems can be the employment of mass appraisal land valuation methods using automated valuation models (AVM) based on international standards. In this context, this paper presents a spatial based linear hedonic price model which has been developed and tested in a case study land consolidation area in Cyprus. Results showed that the AVM is capable to produce acceptable in terms of accuracy and reliability land values and to reduce time hence cost required by around 80%.
Maximum entropy distribution of stock price fluctuations
NASA Astrophysics Data System (ADS)
Bartiromo, Rosario
2013-04-01
In this paper we propose to use the principle of absence of arbitrage opportunities in its entropic interpretation to obtain the distribution of stock price fluctuations by maximizing its information entropy. We show that this approach leads to a physical description of the underlying dynamics as a random walk characterized by a stochastic diffusion coefficient and constrained to a given value of the expected volatility, in this way taking into account the information provided by the existence of an option market. The model is validated by a comprehensive comparison with observed distributions of both price return and diffusion coefficient. Expected volatility is the only parameter in the model and can be obtained by analysing option prices. We give an analytic formulation of the probability density function for price returns which can be used to extract expected volatility from stock option data.
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.
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.
[Exploration of influencing factors of price of herbal based on VAR model].
Wang, Nuo; Liu, Shu-Zhen; Yang, Guang
2014-10-01
Based on vector auto-regression (VAR) model, this paper takes advantage of Granger causality test, variance decomposition and impulse response analysis techniques to carry out a comprehensive study of the factors influencing the price of Chinese herbal, including herbal cultivation costs, acreage, natural disasters, the residents' needs and inflation. The study found that there is Granger causality relationship between inflation and herbal prices, cultivation costs and herbal prices. And in the total variance analysis of Chinese herbal and medicine price index, the largest contribution to it is from its own fluctuations, followed by the cultivation costs and inflation.
Adaptive hidden Markov model with anomaly States for price manipulation detection.
Cao, Yi; Li, Yuhua; Coleman, Sonya; Belatreche, Ammar; McGinnity, Thomas Martin
2015-02-01
Price manipulation refers to the activities of those traders who use carefully designed trading behaviors to manually push up or down the underlying equity prices for making profits. With increasing volumes and frequency of trading, price manipulation can be extremely damaging to the proper functioning and integrity of capital markets. The existing literature focuses on either empirical studies of market abuse cases or analysis of particular manipulation types based on certain assumptions. Effective approaches for analyzing and detecting price manipulation in real time are yet to be developed. This paper proposes a novel approach, called adaptive hidden Markov model with anomaly states (AHMMAS) for modeling and detecting price manipulation activities. Together with wavelet transformations and gradients as the feature extraction methods, the AHMMAS model caters to price manipulation detection and basic manipulation type recognition. The evaluation experiments conducted on seven stock tick data from NASDAQ and the London Stock Exchange and 10 simulated stock prices by stochastic differential equation show that the proposed AHMMAS model can effectively detect price manipulation patterns and outperforms the selected benchmark models.
Introducing a price variation limiter mechanism into a behavioral financial market model.
Naimzada, Ahmad; Pireddu, Marina
2015-08-01
In the present paper, we consider a nonlinear financial market model in which, in order to decrease the complexity of the dynamics and to achieve price stabilization, we introduce a price variation limiter mechanism, which in each period bounds the price variation so that the current price is forced to belong to a certain interval determined by the price realization in the previous period. More precisely, we introduce such mechanism into a financial market model in which the price dynamics are described by a sigmoidal price adjustment mechanism characterized by the presence of two asymptotes that bound the price variation and thus the dynamics. We show that the presence of our asymptotes prevents divergence and negativity issues. Moreover, we prove that the basins of attraction are complicated only under suitable conditions on the parameters and that chaos arises just when the price limiters are loose enough. On the other hand, for some suitable parameter configurations, we detect multistability phenomena characterized by the presence of up to three coexisting attractors.
Introducing a price variation limiter mechanism into a behavioral financial market model
NASA Astrophysics Data System (ADS)
Naimzada, Ahmad; Pireddu, Marina
2015-08-01
In the present paper, we consider a nonlinear financial market model in which, in order to decrease the complexity of the dynamics and to achieve price stabilization, we introduce a price variation limiter mechanism, which in each period bounds the price variation so that the current price is forced to belong to a certain interval determined by the price realization in the previous period. More precisely, we introduce such mechanism into a financial market model in which the price dynamics are described by a sigmoidal price adjustment mechanism characterized by the presence of two asymptotes that bound the price variation and thus the dynamics. We show that the presence of our asymptotes prevents divergence and negativity issues. Moreover, we prove that the basins of attraction are complicated only under suitable conditions on the parameters and that chaos arises just when the price limiters are loose enough. On the other hand, for some suitable parameter configurations, we detect multistability phenomena characterized by the presence of up to three coexisting attractors.
A BEHAVIORAL ECONOMIC MODEL OF ALCOHOL ADVERTISING AND PRICE
SAFFER, HENRY; DAVE, DHAVAL; GROSSMAN, MICHAEL
2016-01-01
SUMMARY This paper presents a new empirical study of the effects of televised alcohol advertising and alcohol price on alcohol consumption. A novel feature of this study is that the empirical work is guided by insights from behavioral economic theory. Unlike the theory used in most prior studies, this theory predicts that restriction on alcohol advertising on TV would be more effective in reducing consumption for individuals with high consumption levels but less effective for individuals with low consumption levels. The estimation work employs data from the National Longitudinal Survey of Youth, and the empirical model is estimated with quantile regressions. The results show that advertising has a small positive effect on consumption and that this effect is relatively larger at high consumption levels. The continuing importance of alcohol taxes is also supported. Education is employed as a proxy for self-regulation, and the results are consistent with this assumption. The key conclusion is that restrictions on alcohol advertising on TV would have a small negative effect on drinking, and this effect would be larger for heavy drinkers. PMID:25919364
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.
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.
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…
Global modelling to predict timber production and prices: the GFPM approach
Joseph Buongiorno
2014-01-01
Timber production and prices are determined by the global demand for forest products, and the capability of producers from many countries to grow and harvest trees, transform them into products and export. The Global Forest Products Model (GFPM) simulates how this global demand and supply of multiple products among many countries determines prices and attendant...
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…
The Evolution of Software Pricing: From Box Licenses to Application Service Provider Models.
ERIC Educational Resources Information Center
Bontis, Nick; Chung, Honsan
2000-01-01
Describes three different pricing models for software. Findings of this case study support the proposition that software pricing is a complex and subjective process. The key determinant of alignment between vendor and user is the nature of value in the software to the buyer. This value proposition may range from increased cost reduction to…
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…
Xuan Chi; Barry Goodwin
2012-01-01
Spatial and temporal relationships among agricultural prices have been an important topic of applied research for many years. Such research is used to investigate the performance of markets and to examine linkages up and down the marketing chain. This research has empirically evaluated price linkages by using correlation and regression models and, later, linear and...
Joseph Buongiorno
2001-01-01
Faustmann's formula gives the land value, or the forest value of land with trees, under deterministic assumptions regarding future stand growth and prices, over an infinite horizon. Markov decision process (MDP) models generalize Faustmann's approach by recognizing that future stand states and prices are known only as probabilistic distributions. The...
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…
The valuation of currency options by fractional Brownian motion.
Shokrollahi, Foad; Kılıçman, Adem
2016-01-01
This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. In addition, some properties of our pricing formula and simulation studies are presented, which demonstrate that the FBM model is easy to use.
Interest rates in quantum finance: Caps, swaptions and bond options
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.
2010-01-01
The prices of the main interest rate options in the financial markets, derived from the Libor (London Interbank Overnight Rate), are studied in the quantum finance model of interest rates. The option prices show new features for the Libor Market Model arising from the fact that, in the quantum finance formulation, all the different Libor payments are coupled and (imperfectly) correlated. Black’s caplet formula for quantum finance is given an exact path integral derivation. The coupon and zero coupon bond options as well as the Libor European and Asian swaptions are derived in the framework of quantum finance. The approximate Libor option prices are derived using the volatility expansion. The BGM-Jamshidian (Gatarek et al. (1996) [1], Jamshidian (1997) [2]) result for the Libor swaption prices is obtained as the limiting case when all the Libors are exactly correlated. A path integral derivation is given of the approximate BGM-Jamshidian approximate price.
[Discussion of price forecasting of Notoginseng Radix et Rhizoma based on ARIMA model].
Wang, Nuo; Cheng, Meng; Zang, Chun-Xin; Yang, Guang
2016-04-01
Based on the analysis of price fluctuations on Notoginseng Radix et Rhizoma, this paper takes advantage of the price data of Notoginseng Radix et Rhizoma which specification is 120 from January 2004 to August 2015, using autoregressive integrated moving average model [ARIMA (p, d, q)] forecasting the price of Notoginseng Radix et Rhizoma from September 2015 to August 2016. In the process of determining the form of model, the stability test used to determine the model of p, and the autocorrelation function and particles autocorrelation functions to identify the p and q of model. According to test the model, the forecast minimum error model was identified. In this paper, ARIMA (2,1,3) model was used to predict next year's price of Notoginseng Radix et Rhizoma, for providing information for Notoginseng Radix et Rhizoma growers, pharmaceutical companies. Copyright© by the Chinese Pharmaceutical Association.
Options for modeling ground water pollution potential by dissolved chemicals
NASA Astrophysics Data System (ADS)
Jury, William A.; Tseng, Peng-Hsiang
A common characteristic of virtually all forms of non-point source pollutants is that they move downward through the soil under the influence of erratic and generally unsaturated water flow. As a consequence, both soil-water flow and solute-transport properties must be known to model the event on a field or larger scale. The extensive spatial variability of these properties make deterministic modeling unfeasible at this scale, necessitating some form of approximate stochastic approach that extrapolates from limited samples of properties and input parameters. There are a number of options for exercising this strategy, but most of them involve using a local-model representation that is averaged over the spatial domain in a statistical sense, by using a number of discrete one-dimensional simulations in parallel. With this strategy, the important question becomes what type of local model to use, and how complex to make it. This paper explores options for local representation in modeling the water flow regime, ranging from full simulation using the Richards flow equation, to steady flow using only the field-capacity estimate of water content. Simulations of flow and transport to ground water are run on a hypothetical field with variable climatic data and properties generated by geometric scaling theory, using data from 20 sites averaged in parallel to represent field-scale movement to ground water for a conservative and reactive chemical pulse. Although the transient-flow model is necessary to achieve accurate representation of the position of the pulse within the profile, mass loading of ground water was represented quite accurately with a simple flow regime assuming steady-state flow and uniform, water content. The field-capacity estimate was greatly out of agreement with the other methods, however.
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.
Experience of a medicines reference-pricing model.
Rothberg, A D; Blignault, J; Serfontein, C B; Valodia, B; Eekhout, S; Pels, L M
2004-03-01
To measure the impact of a medicines reference-pricing programme covering items for which appropriate generic equivalents are available. The list of covered items was continuously monitored and updated by clinicians and pharmacists employed by Medscheme, and was published as the Medscheme Price List (MPL). Prospective and retrospective analyses of prices of medicines covered by the MPL were carried out and the effect of the programme on expenditure by medical schemes was measured. The programme had an immediate effect on the rate of medicines inflation after implementation as a result of switching from original or branded products to generic medicines or switching from higher-priced to lower-priced generic equivalents. Over the past few years Managed Care has focused on strategies aimed at reducing utilisation of health care services and/or benefits by members of medical schemes. These strategies have largely been directed at members and health care providers, with little attention paid to suppliers (e.g. the pharmaceutical industry). This study has shown that a supplier-directed strategy has merit and is capable of substantially reducing expenditure on medicines.
Perpetual American options within CTRWs
NASA Astrophysics Data System (ADS)
Montero, Miquel
2008-06-01
Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time. Our approach leads to option prices that fulfill financial formulas when canonical assumptions on the dynamics governing the process are made, but it is still suitable for more exotic market conditions.
NASA Astrophysics Data System (ADS)
Jiang, C.; Fang, H.
2012-12-01
Modeling soil reflectance is important to describe the soil-vegetation radiation field and to retrieve canopy characteristics from remote sensing data. The Price soil reflectance model has been widely used in canopy reflectance modeling thanks to its simplicity and effectiveness. In order to improve the model generality and applicability, this study refines the Price soil reflectance model using a global spectral library and further proposes a novel soil reflectance model. The global soil spectral library was combined from six datasets, containing 6,971 soil samples around the world, with a 10nm interval from 450 to 2350 nm. A recalibrated Price model (CPM) was developed using the same algorithm used by standard Price model (SPM) to obtain globally representative fitting functions. Moreover, a new matrix decomposition method (MDM) was developed to decrease the reflectance simulation errors by considering the spectra curve shapes. Three tune parameters are sufficient to model global soil spectra using MDM, which achieves the highest accuracy with an absolute error less than 0.02 and relative error less than 5%. CPM and SPM have larger simulation errors, for which the RMSE/RRMSE are 0.029/7.5% and 0.068/16.8%, respectively. For both SPM and CPM, relatively large error variations are shown over wavelengths, because only three selected bands are used in the models. MDM exhibits a relatively stable performance in the whole spectral domain. Moreover, MDM reconstructs very well the general shapes of the five types of soil reflectance curves, and thus leads to a lower misclassification rate. Overall, both CPM and MDM outperform SPM and have a potential for global soil reflectance modeling. Density scatter plots between the measured reflectances in the global soil spectral library and the simulated reflectances using SPM (a), CPM (b) and MDM (c). Comparison of measured and simulated reflectances for five typical curves.
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
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.
Reference pricing and firms' pricing strategies.
Miraldo, Marisa
2009-01-01
Within a horizontal differentiation model and allowing for heterogeneous qualities, we analyze the effects of reference pricing reimbursement on firms' pricing strategies. With this analysis we find inherent incentives for firms' pricing behavior, and consequently we shed some light on the time consistency of such policy. The analysis encompasses different reference price rules: (i) reference price as the minimum of the observed prices in the market, (ii) reference price as a linear combination of firms' prices. Results show that under the "minimum policy" firms are not able to coordinate on higher prices while the "linear policy", implicitly, provides a coordination device. We have also found that, relatively to the "linear policy", when the reference price is the minimum of observed prices, after policy implementation, total and private expenditures are higher and consumer surplus and firms' profits are lower. With quality differentiation both the minimum and linear policies unambiguously lead to higher prices.
Pricing of range accrual swap in the quantum finance Libor Market Model
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Du, Xin; Tang, Pan; Cao, Yang
2014-05-01
We study the range accrual swap in the quantum finance formulation of the Libor Market Model (LMM). It is shown that the formulation can exactly price the path dependent instrument. An approximate price is obtained as an expansion in the volatility of Libor. The Monte Carlo simulation method is used to study the nonlinear domain of the model and determine the range of validity of the approximate formula. The price of accrual swap is analyzed by generating daily sample values by simulating a two dimension Gaussian quantum field.
Using Satellite Remote Sensing Data in a Spatially Explicit Price Model
NASA Technical Reports Server (NTRS)
Brown, Molly E.; Pinzon, Jorge E.; Prince, Stephen D.
2007-01-01
Famine early warning organizations use data from multiple disciplines to assess food insecurity of communities and regions in less-developed parts of the World. In this paper we integrate several indicators that are available to enhance the information for preparation for and responses to food security emergencies. The assessment uses a price model based on the relationship between the suitability of the growing season and market prices for coarse grain. The model is then used to create spatially continuous maps of millet prices. The model is applied to the dry central and northern areas of West Africa, using satellite-derived vegetation indices for the entire region. By coupling the model with vegetation data estimated for one to four months into the future, maps are created of a leading indicator of potential price movements. It is anticipated that these maps can be used to enable early warning of famine and for planning appropriate responses.
The Q theory of investment, the capital asset pricing model, and asset valuation: a synthesis.
McDonald, John F
2004-05-01
The paper combines Tobin's Q theory of real investment with the capital asset pricing model to produce a new and relatively simple procedure for the valuation of real assets using the income approach. Applications of the new method are provided.
Housing price prediction: parametric versus semi-parametric spatial hedonic models
NASA Astrophysics Data System (ADS)
Montero, José-María; Mínguez, Román; Fernández-Avilés, Gema
2017-08-01
House price prediction is a hot topic in the economic literature. House price prediction has traditionally been approached using a-spatial linear (or intrinsically linear) hedonic models. It has been shown, however, that spatial effects are inherent in house pricing. This article considers parametric and semi-parametric spatial hedonic model variants that account for spatial autocorrelation, spatial heterogeneity and (smooth and nonparametrically specified) nonlinearities using penalized splines methodology. The models are represented as a mixed model that allow for the estimation of the smoothing parameters along with the other parameters of the model. To assess the out-of-sample performance of the models, the paper uses a database containing the price and characteristics of 10,512 homes in Madrid, Spain (Q1 2010). The results obtained suggest that the nonlinear models accounting for spatial heterogeneity and flexible nonlinear relationships between some of the individual or areal characteristics of the houses and their prices are the best strategies for house price prediction.
Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm
NASA Astrophysics Data System (ADS)
Xiao, Wei-Lin; Zhang, Wei-Guo; Zhang, Xili; Zhang, Xiaoli
2012-12-01
This paper deals with the problem of pricing equity warrants in a mixed fractional Brownian environment. Based on the quasi-conditional expectation and the Fourier transform, we present the pricing model for equity warrants. Moreover, a hybrid intelligent algorithm, which is based on the Genetic Algorithm, is employed to solve the nonlinear optimization problem. The performance of our model and the proposed algorithm have been illustrated with some numerical examples.
Estimation of a Hedonic Pricing Model for Medigap Insurance
Robst, John
2006-01-01
Objective This paper uses a unique database to examine premiums paid by beneficiaries for Medigap supplemental coverage. Average premiums charged by insurers are reported, as well as premiums by enrollee age and gender, and additional policy characteristics. Marginal prices for Medigap benefits are estimated using hedonic price regressions. In addition, the paper considers how additional policy characteristics and geographic differences in the use and cost of medical care affect premiums. Data Sources/Study Setting A comprehensive database on premiums paid by beneficiaries for newly issued Medigap policies in the year 2000 along with state-level characteristics. Study Design Hedonic pricing equations are used to estimate implicit prices for Medigap benefits. Data Collection/Extraction Methods The Centers for Medicare & Medicaid Services contracted for the creation of a detailed database on Medigap premiums. Data were collected in three stages. First, letters were sent directly to insurers requesting premium data. Second, letters were directly to state insurance commissioner's offices requesting premium data. Last, each state insurance commissioner's office was visited to collect missing data. Principal Findings With the exceptions of the part B deductible and drug benefit, Medigap supplemental insurance is priced consistent with the actuarial value of benefits offered under the standardized plans. Premiums vary substantially based on rating method, whether the policy is guaranteed issue, Medigap Select, or explicitly for smokers. Premiums increase with enrollee age, but do not vary between men and women. The relationship between premiums and enrollee age varies across rating methods. Attained-age policies show the strongest relationship between age and premiums, while community-rated premiums, by definition, do not vary with age. Medigap supplemental insurance premiums are higher in states with poorer health, greater utilization, and greater managed care
Estimation of a hedonic pricing model for Medigap insurance.
Robst, John
2006-12-01
This paper uses a unique database to examine premiums paid by beneficiaries for Medigap supplemental coverage. Average premiums charged by insurers are reported, as well as premiums by enrollee age and gender, and additional policy characteristics. Marginal prices for Medigap benefits are estimated using hedonic price regressions. In addition, the paper considers how additional policy characteristics and geographic differences in the use and cost of medical care affect premiums. A comprehensive database on premiums paid by beneficiaries for newly issued Medigap policies in the year 2000 along with state-level characteristics. Hedonic pricing equations are used to estimate implicit prices for Medigap benefits. The Centers for Medicare & Medicaid Services contracted for the creation of a detailed database on Medigap premiums. Data were collected in three stages. First, letters were sent directly to insurers requesting premium data. Second, letters were directly to state insurance commissioner's offices requesting premium data. Last, each state insurance commissioner's office was visited to collect missing data. With the exceptions of the part B deductible and drug benefit, Medigap supplemental insurance is priced consistent with the actuarial value of benefits offered under the standardized plans. Premiums vary substantially based on rating method, whether the policy is guaranteed issue, Medigap Select, or explicitly for smokers. Premiums increase with enrollee age, but do not vary between men and women. The relationship between premiums and enrollee age varies across rating methods. Attained-age policies show the strongest relationship between age and premiums, while community-rated premiums, by definition, do not vary with age. Medigap supplemental insurance premiums are higher in states with poorer health, greater utilization, and greater managed care penetration. Despite the high cost, Medigap plans are generally priced in accordance with the actuarial value of
Hadjimichael, Antonia; Morera, Serni; Benedetti, Lorenzo; Flameling, Tony; Corominas, Lluís; Weijers, Stefan; Comas, Joaquim
2016-12-06
This study assesses the environmental impacts of four measures proposed for upgrading of the urban wastewater system of Eindhoven and the Dommel River in The Netherlands, against the base case, "do-nothing" option. The measures aim to reduce the overall environmental impact of the Eindhoven urban wastewater system (UWS) by targeting river dissolved oxygen depletion and ammonia peaks, reducing combined sewer overflows, and enhancing nutrient removal. The measures are evaluated using a life cycle analysis with the boundaries including the receiving river section by means of an integrated model of the UWS. An uncertainty analysis of the estimated impacts has been performed to support the outcomes. The study also uses the economic concept of shadow prices to assign relative weights of socio-economic importance to the estimated life cycle impacts. This novel integration of tools complements the assessments of this UWS with the inclusion of long-term global environmental impacts and the investigation of trade-offs between different environmental impacts through a single monetary unit. The results support the selection of deeper clarifiers as the most environmentally beneficial measure for upgrade.
2015-11-30
S. Islam (2011) The geometric Markov renewal processes with appli- cation to finance , Stochastic Analysis and Applications 29 (4), 684–705. P...Note © 2015 . Published in INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE , Vol. Ed. 0 18, (8) (2015), (, (8). DoD Components reserve a...S0219-0249 104-IJTAF SPI-J071 1550052 International Journal of Theoretical and Applied Finance Vol. 18, No. 8 (2015) 1550052 (72 pages) c© World
Theory of Financial Risk and Derivative Pricing - 2nd Edition
NASA Astrophysics Data System (ADS)
Bouchaud, Jean-Philippe; Potters, Marc
2003-12-01
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.
Macro material flow modeling for analyzing solid waste management options
Holter, G.M.; Pennock, K.A.; Shaver, S.R.
1993-06-01
A Macro Material Flow Modeling (MMFM) concept and approach are being adopted to develop a predictive modeling capability. This capability is intended to provide part of the basis for evaluating potential impacts from various solid waste management system configurations and operating scenarios, as well as evaluating the impacts of various policies on solid waste quantities and compositions. The MMFM capability, as part of a broader Solid Waste Initiative at Pacific Northwest Laboratory, is intended to provide an increased understanding of solid waste as a disposal, energy, and resource problem on a national and global scale, particularly over the long term. This model is a macro-level simulation of the flows of the various materials through the solid waste management system, and also through the associated materials production and use system. Inclusion of materials production and use within the modeling context allows a systems approach to be used, providing a much more complete understanding of the origins of the solid waste materials and also of possible options for materials recovery and reuse than if a more traditional ``end-of-pipe`` view of solid waste is adopted. The MMFM is expected to be useful in evaluating longer-term, broader-ranging solid waste impacts than are traditionally evaluated by decision-makers involved in implementing solutions to local or regional solid waste management problems. This paper discusses the types of questions of interest in evaluating long-term, broad-range impacts from solid waste. It then identifies the basic needs for predictive modeling capabilities like the MMFM, and provides a basic description of the conceptual framework for the model and the associated data. Status of the MMFM implementation is also discussed.
Macro material flow modeling for analyzing solid waste management options
Holter, G.M.; Pennock, K.A.; Shaver, S.R.
1993-06-01
A Macro Material Flow Modeling (MMFM) concept and approach are being adopted to develop a predictive modeling capability. This capability is intended to provide part of the basis for evaluating potential impacts from various solid waste management system configurations and operating scenarios, as well as evaluating the impacts of various policies on solid waste quantities and compositions. The MMFM capability, as part of a broader Solid Waste Initiative at Pacific Northwest Laboratory, is intended to provide an increased understanding of solid waste as a disposal, energy, and resource problem on a national and global scale, particularly over the long term. This model is a macro-level simulation of the flows of the various materials through the solid waste management system, and also through the associated materials production and use system. Inclusion of materials production and use within the modeling context allows a systems approach to be used, providing a much more complete understanding of the origins of the solid waste materials and also of possible options for materials recovery and reuse than if a more traditional end-of-pipe'' view of solid waste is adopted. The MMFM is expected to be useful in evaluating longer-term, broader-ranging solid waste impacts than are traditionally evaluated by decision-makers involved in implementing solutions to local or regional solid waste management problems. This paper discusses the types of questions of interest in evaluating long-term, broad-range impacts from solid waste. It then identifies the basic needs for predictive modeling capabilities like the MMFM, and provides a basic description of the conceptual framework for the model and the associated data. Status of the MMFM implementation is also discussed.
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.
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
Residential water demand model under block rate pricing: A case study of Beijing, China
NASA Astrophysics Data System (ADS)
Chen, H.; Yang, Z. F.
2009-05-01
In many cities, the inconsistency between water supply and water demand has become a critical problem because of deteriorating water shortage and increasing water demand. Uniform price of residential water cannot promote the efficient water allocation. In China, block water price will be put into practice in the future, but the outcome of such regulation measure is unpredictable without theory support. In this paper, the residential water is classified by the volume of water usage based on economic rules and block water is considered as different kinds of goods. A model based on extended linear expenditure system (ELES) is constructed to simulate the relationship between block water price and water demand, which provide theoretical support for the decision-makers. Finally, the proposed model is used to simulate residential water demand under block rate pricing in Beijing.
Optimization models and techniques for implementation and pricing of electricity markets
NASA Astrophysics Data System (ADS)
Madrigal Martinez, Marcelino
Vertically integrated electric power systems extensively use optimization models and solution techniques to guide their optimal operation and planning. The advent of electric power systems re-structuring has created needs for new optimization tools and the revision of the inherited ones from the vertical integration era into the market environment. This thesis presents further developments on the use of optimization models and techniques for implementation and pricing of primary electricity markets. New models, solution approaches, and price setting alternatives are proposed. Three different modeling groups are studied. The first modeling group considers simplified continuous and discrete models for power pool auctions driven by central-cost minimization. The direct solution of the dual problems, and the use of a Branch-and-Bound algorithm to solve the primal, allows to identify the effects of disequilibrium, and different price setting alternatives over the existence of multiple solutions. It is shown that particular pricing rules worsen the conflict of interest that arise when multiple solutions exist under disequilibrium. A price-setting alternative based on dual variables is shown to diminish such conflict. The second modeling group considers the unit commitment problem. An interior-point/cutting-plane method is proposed for the solution of the dual problem. The new method has better convergence characteristics and does not suffer from the parameter tuning drawback as previous methods The robustness characteristics of the interior-point/cutting-plane method, combined with a non-uniform price setting alternative, show that the conflict of interest is diminished when multiple near optimal solutions exist. The non-uniform price setting alternative is compared to a classic average pricing rule. The last modeling group concerns to a new type of linear network-constrained clearing system models for daily markets for power and spinning reserve. A new model and
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.
The Early Exercise Premium Representation for American Options on Multiply Assets
Klimsiak, Tomasz Rozkosz, Andrzej
2016-02-15
In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium representation formula for options with payoff functions which are convex or satisfy mild regularity assumptions. Examples include index options, spread options, call on max options, put on min options, multiply strike options and power-product options. In the proof of the formula we exploit close connections between the optimal stopping problems associated with valuation of American options, obstacle problems and reflected backward stochastic differential equations.
Dranitsaris, George; Truter, Ilse; Lubbe, Martie S; Sriramanakoppa, Nitin N; Mendonca, Vivian M; Mahagaonkar, Sangameshwar B
2011-10-01
Decision analysis (DA) is commonly used to perform economic evaluations of new pharmaceuticals. Using multiples of Malaysia's per capita 2010 gross domestic product (GDP) as the threshold for economic value as suggested by the World Health Organization (WHO), DA was used to estimate a price per dose for bevacizumab, a drug that provides a 1.4-month survival benefit in patients with metastatic colorectal cancer (mCRC). A decision model was developed to simulate progression-free and overall survival in mCRC patients receiving chemotherapy with and without bevacizumab. Costs for chemotherapy and management of side effects were obtained from public and private hospitals in Malaysia. Utility estimates, measured as quality-adjusted life years (QALYs), were determined by interviewing 24 oncology nurses using the time trade-off technique. The price per dose was then estimated using a target threshold of US$44 400 per QALY gained, which is 3 times the Malaysian per capita GDP. A cost-effective price for bevacizumab could not be determined because the survival benefit provided was insufficient According to the WHO criteria, if the drug was able to improve survival from 1.4 to 3 or 6 months, the price per dose would be $567 and $1258, respectively. The use of decision modelling for estimating drug pricing is a powerful technique to ensure value for money. Such information is of value to drug manufacturers and formulary committees because it facilitates negotiations for value-based pricing in a given jurisdiction.
2009-03-01
The Capital Asset Pricing Model is a major extension of the work of Markowitz. The CAPM has proved useful in a variety of contexts, including...The CAPM is a model for pricing an individual security or a portfolio. The model is used to determine a theoretically appropriate required rate of...premium and by rearranging the above equation and solving for E(Ri), we obtain the Capital Asset Pricing Model ( CAPM ). Where: = the expected
Pricing credit default swaps under a multi-scale stochastic volatility model
NASA Astrophysics Data System (ADS)
Chen, Wenting; He, Xinjiang
2017-02-01
In this paper, we consider the pricing of credit default swaps (CDSs) with the reference asset driven by a geometric Brownian motion with a multi-scale stochastic volatility (SV), which is a two-factor volatility process with one factor controlling the fast time scale and the other representing the slow time scale. A key feature of the current methodology is to establish an equivalence relationship between the CDS and the down-and-out binary option through the discussion of "no default" probability, while balancing the two SV processes with the perturbation method. An approximate but closed-form pricing formula for the CDS contract is finally obtained, whose accuracy is in the order of O(ɛ + δ +√{ ɛδ }) .
Hill, L.J.
1994-04-01
Changing electricity prices to more closely reflect production costs has a significant impact on the consumption of electricity. It is known, for example, that most of the efficiency gains in the electric power sectors of the industrialized world since the first international oil price shock in 1973 are attributable to the rising trend of electricity prices. This was due to the rising average price of electricity. Because of the unique characteristics of producing electricity, its marginal cost is higher than its average cost during many hours of the day. This study shows that, for utilities not reflecting these cost differences in their rates, there is ample room to satisfy a portion of their resource needs by exploiting the load-shaping properties of time-of-use (TOU) rates. Satisfying a portion of resource requirements by implementing a TOU-pricing program, however, is not costless. Metering and administering TOU pricing requires a financial commitment by an electric utility. And the commitment has an opportunity cost. That is, the funds could be used to construct generating plants or run DSM programs (other than a TOU-pricing program) and satisfy the same resource needs that TOU pricing does. The question addressed in this study is whether a utility is better-served financially by (i) implementing TOU pricing or (ii) running technical DSM programs and building power plants. The answer is that TOU pricing compares favorably on a financial basis with other resources under a wide set of conditions that real-world utilities confront.
Symmetry methods for option pricing
NASA Astrophysics Data System (ADS)
Davison, A. H.; Mamba, S.
2017-06-01
We obtain a solution of the Black-Scholes equation with a non-smooth boundary condition using symmetry methods. The Black-Scholes equation along with its boundary condition are first transformed into the one dimensional heat equation and an initial condition respectively. We then find an appropriate general symmetry generator of the heat equation using symmetries and the fundamental solution of the heat equation. The symmetry generator is chosen such that the boundary condition is left invariant; the symmetry can be used to solve the heat equation and hence the Black-Scholes equation.
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.
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…
Mapping regulatory models for medicinal cannabis: a matrix of options.
Belackova, Vendula; Shanahan, Marian; Ritter, Alison
2017-05-30
Objective The aim of the present study was to develop a framework for assessing regulatory options for medicinal cannabis in Australia.Methods International regulatory regimes for medicinal cannabis were reviewed with a qualitative policy analysis approach and key policy features were synthesised, leading to a conceptual framework that facilitates decision making across multiple dimensions.Results Two central organising dimensions of medicinal cannabis regulation were identified: cannabis supply and patient authorisation (including patient access). A number of the different supply options can be matched with a number of different patient authorisation options, leading to a matrix of possible regulatory regimes.Conclusions The regulatory options, as used internationally, involve different forms of cannabis (synthetic and plant-based pharmaceutical preparations or herbal cannabis) and the varying extent to which patient authorisation policies and procedures are stringently or more loosely defined. The optimal combination of supply and patient authorisation options in any jurisdiction that chooses to make medicinal cannabis accessible will depend on policy goals.What is known about the topic? Internationally, regulation of medicinal cannabis has developed idiosyncratically, depending on formulations that were made available and local context. There has been no attempt to date in the scientific literature to systematically document the variety of regulatory possibilities for medicinal cannabis.What does this paper add? This paper presents a new conceptual schema for considering options for the regulation of medicinal cannabis, across both supply and patient authorisation aspects.What are the implications for practitioners? The design of regulatory systems in Australia, whether for pharmaceutical or herbal products, is a vital issue for policy makers right now as federal and state and territory governments grapple with the complexities of medicinal cannabis regulation
Gulisashvili, Archil; Stein, Elias M.
2010-06-15
We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process and the density of the stock price process in the Stein-Stein and the Heston model. We find explicit formulas for leading terms in asymptotic expansions of these densities and give error estimates. As an application of our results, sharp asymptotic formulas for the implied volatility in the Stein-Stein and the Heston model are obtained.
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.
Municipal household solid waste fee based on an increasing block pricing model in Beijing, China.
Chu, Zhujie; Wu, Yunga; Zhuang, Jun
2017-03-01
This article aims to design an increasing block pricing model to estimate the waste fee with the consideration of the goals and principles of municipal household solid waste pricing. The increasing block pricing model is based on the main consideration of the per capita disposable income of urban residents, household consumption expenditure, production rate of waste disposal industry, and inflation rate. The empirical analysis is based on survey data of 5000 households in Beijing, China. The results indicate that the current uniform price of waste disposal is set too high for low-income people, and waste fees to the household disposable income or total household spending ratio are too low for the medium- and high-income families. An increasing block pricing model can prevent this kind of situation, and not only solve the problem of lack of funds, but also enhance the residents' awareness of environmental protection. A comparative study based on the grey system model is made by having a preliminary forecast for the waste emissions reduction effect of the pay-as-you-throw programme in the next 5 years of Beijing, China. The results show that the effect of the pay-as-you-throw programme is not only to promote the energy conservation and emissions reduction, but also giving a further improvement of the environmental quality.
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
Integrated model for pricing, delivery time setting, and scheduling in make-to-order environments
NASA Astrophysics Data System (ADS)
Garmdare, Hamid Sattari; Lotfi, M. M.; Honarvar, Mahboobeh
2017-05-01
Usually, in make-to-order environments which work only in response to the customer's orders, manufacturers for maximizing the profits should offer the best price and delivery time for an order considering the existing capacity and the customer's sensitivity to both the factors. In this paper, an integrated approach for pricing, delivery time setting and scheduling of new arrival orders are proposed based on the existing capacity and accepted orders in system. In the problem, the acquired market demands dependent on the price and delivery time of both the manufacturer and its competitors. A mixed-integer non-linear programming model is presented for the problem. After converting to a pure non-linear model, it is validated through a case study. The efficiency of proposed model is confirmed by comparing it to both the literature and the current practice. Finally, sensitivity analysis for the key parameters is carried out.
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.
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…
A Model for Estimating Net Prices Facing Postsecondary Students in New York State.
ERIC Educational Resources Information Center
Willie, Nancy A.
The initial stage of a model that simulates net prices facing degree students in New York State postsecondary institutions is described. The Student Support Sources model uses readily available data sources to simulate the processes by which family and student resources and financial aid are allocated to different types of students enrolled at…
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.
A review on Black-Scholes model in pricing warrants in Bursa Malaysia
NASA Astrophysics Data System (ADS)
Gunawan, Nur Izzaty Ilmiah Indra; Ibrahim, Siti Nur Iqmal; Rahim, Norhuda Abdul
2017-01-01
This paper studies the accuracy of the Black-Scholes (BS) model and the dilution-adjusted Black-Scholes (DABS) model to pricing some warrants traded in the Malaysian market. Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE) are used to compare the two models. Results show that the DABS model is more accurate than the BS model for the selected data.
The application of pharmacoeconomic modelling to estimate a value-based price for new cancer drugs.
Dranitsaris, George; Truter, Ilse; Lubbe, Martie S; Cottrell, Wayne; Spirovski, Biljana; Edwards, Jonathan
2012-04-01
Value-based pricing has recently been discussed by international bodies as a means to estimate a drug price that is linked to the benefits it offers patients and society. The World Health Organization (WHO) has recommended using three times a country's per capita gross domestic product (GDP) as the threshold for economic value. Using the WHO criteria, pharmacoeconomic modelling was used to illustrate the application of value-based price towards bevacizumab, a relatively new drug that provides a 1.4-month survival benefit to patients with metastatic colorectal cancer (mCRC). A decision model was developed to simulate outcomes in mCRC patients receiving chemotherapy ± bevacizumab. Clinical data were obtained from randomized trials and costs from Canadian cancer centres. Utility estimates were determined by interviewing 24 oncology nurses and pharmacists. A price per dose of bevacizumab was then estimated using a target threshold of $CAD117,000 per quality adjusted life year gained, which is three times the Canadian per capita GDP. For a 1.4-month survival benefit, a price of $CAD830 per dose would be considered cost-effective from the Canadian public health care perspective. If the drug were able to improve patient quality of life or survival from 1.4 to 3 months, the drug price could increase to $CAD1560 and $CAD2180 and still be considered cost-effective. The use of the WHO criteria for estimating a value-based price is feasible, but a balance between what patients/governments can afford to pay and the commercial viability of the product in the reference country would be required. © 2010 Blackwell Publishing Ltd.
The demise of constant price impact functions and single-time step models of speculation
NASA Astrophysics Data System (ADS)
Challet, Damien
2007-08-01
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions are considered. The solution of the paradox lies in the non-constant nature of real-life price impact functions. A simple model that includes explicit position opening, holding, and closing is briefly introduced and its information ecology discussed, shedding new light on the relevance of the Minority Game to the study of financial markets.
Clarifying evacuation options through fire behavior and traffic modeling
Carol L. Rice; Ronny J. Coleman; Mike. Price
2011-01-01
Communities are becoming increasingly concerned with the variety of choices related to wildfire evacuation. We used ArcView with Network Analyst to evaluate the different options for evacuations during wildfire in a case study community. We tested overlaying fire growth patterns with the road network and population characteristics to determine recommendations for...
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…
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)
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)
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.
Model of discrete dynamics of asset price relations based on the minimal arbitrage principle
NASA Astrophysics Data System (ADS)
Kostanjčar, Zvonko; Hengster-Movrić, Kristian; Jeren, Branko
2011-06-01
In this paper we present a deterministic and a probabilistic model of the dynamics of the price relations for a number of assets on the market. The formalism is based on the asset space introduced in a theory by Illinski. We derive, from an action functional for the system of price relations in that space, the corresponding difference equations, which constitute the deterministic description. Furthermore, we obtain the probability density function of the probabilistic model of market dynamics from the same action functional. The deterministic solution corresponds to a geometric sequence for the interest, whereas the derived probability density describes the probability of the next value of the price relations in dependence on their prior value. The formalism is completely developed for systems (markets) with two and three assets, but exactly the same approach is applicable to the systems consisting of an arbitrary number of assets.
The Stock Price Prediction and Sell-buy Strategy Model by Genetic Network Programming
NASA Astrophysics Data System (ADS)
Mori, Shigeo; Hirasawa, Kotaro; Hu, Jinglu
Various stock prices predicting and sell-buy strategy models have been so far proposed. They are classified as the fundamental analysis using the achievements of the companies and the trend of business, etc., and the technical analysis which carries out the numerical analysis of the movement of stock prices. On the other hand, as one of the methods for data mining which finds out the regularity from a vast quantity of stock price data, Genetic Algorithm (GA) has been so far applied widely. As a concrete example, the optimal values of parameters of stock indices like various moving averages and rates of deviation, etc. is computed by GA, and there have been developed various methods for predicting stock prices and determinig sell-buy strategy based on it. However, it is hard to determine which is the most effective index by the conventional GA. Moreover, the most effective one depends on the brands. So in this paper, a stock price prediction and sell-buy strategy model which searches for the optimal combination of various indices in the technical analysis has been proposed using Genetic Network programming and its effectiveness is confirmed by simulations.
Comparing Price Forecast Accuracy of Natural Gas Models andFutures Markets
Wong-Parodi, Gabrielle; Dale, Larry; Lekov, Alex
2005-06-30
The purpose of this article is to compare the accuracy of forecasts for natural gas prices as reported by the Energy Information Administration's Short-Term Energy Outlook (STEO) and the futures market for the period from 1998 to 2003. The analysis tabulates the existing data and develops a statistical comparison of the error between STEO and U.S. wellhead natural gas prices and between Henry Hub and U.S. wellhead spot prices. The results indicate that, on average, Henry Hub is a better predictor of natural gas prices with an average error of 0.23 and a standard deviation of 1.22 than STEO with an average error of -0.52 and a standard deviation of 1.36. This analysis suggests that as the futures market continues to report longer forward prices (currently out to five years), it may be of interest to economic modelers to compare the accuracy of their models to the futures market. The authors would especially like to thank Doug Hale of the Energy Information Administration for supporting and reviewing this work.
Are stock prices too volatile to be justified by the dividend discount model?
NASA Astrophysics Data System (ADS)
Akdeniz, Levent; Salih, Aslıhan Altay; Ok, Süleyman Tuluğ
2007-03-01
This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller [Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 (1981) 421-436.]. The conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock [Asset prices in a production economy, in: J.J. McCall (Ed.), The Economics of Information and Uncertainty, University of Chicago Press, Chicago (for N.B.E.R.), 1982]. Results show that the conditional variance bounds hold, hence, our hypothesis of the validity of the dividend discount model cannot be rejected. Moreover, in our setting, markets are efficient and stock prices are neither affected by herd psychology nor by the outcome of noise trading by naive investors; thus, we are able to control for market efficiency. Consequently, we show that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.
A model for interprovincial air pollution control based on futures prices.
Zhao, Laijun; Xue, Jian; Gao, Huaizhu Oliver; Li, Changmin; Huang, Rongbing
2014-05-01
Based on the current status of research on tradable emission rights futures, this paper introduces basic market-related assumptions for China's interprovincial air pollution control problem. The authors construct an interprovincial air pollution control model based on futures prices: the model calculated the spot price of emission rights using a classic futures pricing formula, and determined the identities of buyers and sellers for various provinces according to a partitioning criterion, thereby revealing five trading markets. To ensure interprovincial cooperation, a rational allocation result for the benefits from this model was achieved using the Shapley value method to construct an optimal reduction program and to determine the optimal annual decisions for each province. Finally, the Beijing-Tianjin-Hebei region was used as a case study, as this region has recently experienced serious pollution. It was found that the model reduced the overall cost of reducing SO2 pollution. Moreover, each province can lower its cost for air pollution reduction, resulting in a win-win solution. Adopting the model would therefore enhance regional cooperation and promote the control of China's air pollution. The authors construct an interprovincial air pollution control model based on futures prices. The Shapley value method is used to rationally allocate the cooperation benefit. Interprovincial pollution control reduces the overall reduction cost of SO2. Each province can lower its cost for air pollution reduction by cooperation.
Grimm, Sabine E; Dixon, Simon; Stevens, John W
Health technology assessments (HTAs) that take account of future price changes have been examined in the literature, but the important issue of price reductions that are generated by the reimbursement decision has been ignored. To explore the impact of future price reductions caused by increasing uptake on HTAs and decision making for medical devices. We demonstrate the use of a two-stage modeling approach to derive estimates of technology price as a consequence of changes in technology uptake over future periods on the basis of existing theory and supported by empirical studies. We explore the impact on cost-effectiveness and expected value of information analysis in an illustrative example on the basis of a technology in development for preterm birth screening. The application of our approach to the case study technology generates smaller incremental cost-effectiveness ratios compared with the commonly used single cohort approach. The extent of this reduction in the incremental cost-effectiveness ratio depends on the magnitude of the modeled price reduction, the speed of diffusion, and the length of the assumed technology life horizon. Results of value of information analysis are affected through changes in the expected net benefit calculation, the addition of uncertain parameters, and the diffusion-adjusted estimate of the affected patient population. Because modeling future changes in price and uptake has the potential to affect HTA outcomes, modeling techniques that can address such changes should be considered for medical devices that may otherwise be rejected. Copyright © 2016 International Society for Pharmacoeconomics and Outcomes Research (ISPOR). Published by Elsevier Inc. All rights reserved.
Models for the size distribution of businesses in a price driven market
NASA Astrophysics Data System (ADS)
D'Hulst, R.; Rodgers, G. J.
2001-06-01
A microscopic model of aggregation and fragmentation is introduced to investigate the size distribution of businesses. In the model, businesses are constrained to comply with the market price, as expected by the customers, while customers can only buy at the prices offered by the businesses. We show numerically and analytically that the size distribution scales like a power-law. A mean-field version of our model is also introduced and we determine for which value of the parameters the mean-field model agrees with the microscopic model. We discuss to what extent our simple model and its results compare with empirical data on company sizes in the US and debt sizes in Japan. Finally, possible extensions of the mean-field model are discussed, to cope with other empirical data.
Cost accounting models used for price-setting of health services: an international review.
Raulinajtys-Grzybek, Monika
2014-12-01
The aim of the article was to present and compare cost accounting models which are used in the area of healthcare for pricing purposes in different countries. Cost information generated by hospitals is further used by regulatory bodies for setting or updating prices of public health services. The article presents a set of examples from different countries of the European Union, Australia and the United States and concentrates on DRG-based payment systems as they primarily use cost information for pricing. Differences between countries concern the methodology used, as well as the data collection process and the scope of the regulations on cost accounting. The article indicates that the accuracy of the calculation is only one of the factors that determine the choice of the cost accounting methodology. Important aspects are also the selection of the reference hospitals, precise and detailed regulations and the existence of complex healthcare information systems in hospitals. Copyright © 2014 Elsevier Ireland Ltd. All rights reserved.
LONG TERM-PRICE ADJUSTMENT IN A TWO-SECTOR HARROD GROWTH MODEL
there will have to be a long term decline in the price of capital, a long term increase in the wage rate and a constant interest rate but lower than...of growth of output by raising k may lead to a negative interest - rate which may cause a constant inflation in an expanded model which contains a financial structure. (Author)
Spatial-Temporal Models of Insect Growth, Diffusion and Derivative Pricing
USDA-ARS?s Scientific Manuscript database
Insect derivatives represent an important innovation in specialty crop risk management. An active over-the-counter market in insect derivatives will require a transparent pricing method. The paper develops an econometric model of the spatio-temporal process underlying a particular insect populatio...
Price Responsiveness in the AEO2003 NEMS Residential and Commercial Buildings Sector Models
2003-01-01
This paper describes the demand responses to changes in energy prices in the Annual Energy Outlook 2003 versions of the Residential and Commercial Demand Modules of the National Energy Modeling System (NEMS). It updates a similar paper completed for the Annual Energy Outlook 1999 version of the NEMS.
Price Responsiveness in the AEO2003 NEMS Residential and Commercial Buildings Sector Models
2003-01-01
This paper describes the demand responses to changes in energy prices in the Annual Energy Outlook 2003 versions of the Residential and Commercial Demand Modules of the National Energy Modeling System (NEMS). It updates a similar paper completed for the Annual Energy Outlook 1999 version of the NEMS.
Information-time based futures pricing
NASA Astrophysics Data System (ADS)
Yen, Simon; Wang, Jai Jen
2009-09-01
This study follows Clark [P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41 (1973) 135-155] and Chang, Chang and Lim [C.W. Chang, S.K. Chang, K.G. Lim, Information-time option pricing: Theory and empirical evidence, Journal of Financial Economics 48 (1998) 211-242] to subordinate an information-time based directing process into calendar-time based parent processes. A closed-form futures pricing formula is derived after taking into account the information-time setting and the stochasticity of the spot price, interest rate, and convenience yield. According to the empirical results on the TAIEX and TFETX data from 1998/7/21 to 2003/12/31, the information-time based model performs better than its calendar-time based counterpart and the cost of carry model, especially when the information arrival intensity estimates become larger.
NASA Astrophysics Data System (ADS)
Xian, Lu; He, Kaijian; Lai, Kin Keung
2016-07-01
In recent years, the increasing level of volatility of the gold price has received the increasing level of attention from the academia and industry alike. Due to the complexity and significant fluctuations observed in the gold market, however, most of current approaches have failed to produce robust and consistent modeling and forecasting results. Ensemble Empirical Model Decomposition (EEMD) and Independent Component Analysis (ICA) are novel data analysis methods that can deal with nonlinear and non-stationary time series. This study introduces a new methodology which combines the two methods and applies it to gold price analysis. This includes three steps: firstly, the original gold price series is decomposed into several Intrinsic Mode Functions (IMFs) by EEMD. Secondly, IMFs are further processed with unimportant ones re-grouped. Then a new set of data called Virtual Intrinsic Mode Functions (VIMFs) is reconstructed. Finally, ICA is used to decompose VIMFs into statistically Independent Components (ICs). The decomposition results reveal that the gold price series can be represented by the linear combination of ICs. Furthermore, the economic meanings of ICs are analyzed and discussed in detail, according to the change trend and ICs' transformation coefficients. The analyses not only explain the inner driving factors and their impacts but also conduct in-depth analysis on how these factors affect gold price. At the same time, regression analysis has been conducted to verify our analysis. Results from the empirical studies in the gold markets show that the EEMD-ICA serve as an effective technique for gold price analysis from a new perspective.
Dranitsaris, George; Truter, Ilse; Lubbe, Martie S; Sriramanakoppa, Nitin N; Mendonca, Vivian M; Mahagaonkar, Sangameshwar B
2011-01-01
Background: Decision analysis (DA) is commonly used to perform economic evaluations of new pharmaceuticals. Using multiples of Malaysia’s per capita 2010 gross domestic product (GDP) as the threshold for economic value as suggested by the World Health Organization (WHO), DA was used to estimate a price per dose for bevacizumab, a drug that provides a 1.4-month survival benefit in patients with metastatic colorectal cancer (mCRC). Methods: A decision model was developed to simulate progression-free and overall survival in mCRC patients receiving chemotherapy with and without bevacizumab. Costs for chemotherapy and management of side effects were obtained from public and private hospitals in Malaysia. Utility estimates, measured as quality-adjusted life years (QALYs), were determined by interviewing 24 oncology nurses using the time trade-off technique. The price per dose was then estimated using a target threshold of US$44 400 per QALY gained, which is 3 times the Malaysian per capita GDP. Results: A cost-effective price for bevacizumab could not be determined because the survival benefit provided was insufficient According to the WHO criteria, if the drug was able to improve survival from 1.4 to 3 or 6 months, the price per dose would be $567 and $1258, respectively. Conclusion: The use of decision modelling for estimating drug pricing is a powerful technique to ensure value for money. Such information is of value to drug manufacturers and formulary committees because it facilitates negotiations for value-based pricing in a given jurisdiction. PMID:22589671
Use of Programmed Review of Information for Costing and Evaluation (PRICE) model at CNES
NASA Astrophysics Data System (ADS)
Roux, J. B.
The bases of the PRICE model, which calculates a cost-mass relation for a given project from data of thousands of other projects are outlined, and its application to the Ariane project is outlined. Ten to 20 descriptors per project define key elements, like manufacturing processes, and regression analysis calculates their coefficients and range. The model assesses physical parameters and others such as time limits. The few differences between model forecasts and actual production costs for Ariane were due to special circumstances.
ERIC Educational Resources Information Center
Katikireddi, Srinivasa Vittal; Hilton, Shona; Bond, Lyndal
2016-01-01
The minimum unit pricing (MUP) alcohol policy debate has been informed by the Sheffield model, a study which predicts impacts of different alcohol pricing policies. This paper explores the Sheffield model's influences on the policy debate by drawing on 36 semi-structured interviews with policy actors who were involved in the policy debate.…
ERIC Educational Resources Information Center
Katikireddi, Srinivasa Vittal; Hilton, Shona; Bond, Lyndal
2016-01-01
The minimum unit pricing (MUP) alcohol policy debate has been informed by the Sheffield model, a study which predicts impacts of different alcohol pricing policies. This paper explores the Sheffield model's influences on the policy debate by drawing on 36 semi-structured interviews with policy actors who were involved in the policy debate.…
NASA Astrophysics Data System (ADS)
Roşu, M. M.; Tarbă, C. I.; Neagu, C.
2016-11-01
The current models for inventory management are complementary, but together they offer a large pallet of elements for solving complex problems of companies when wanting to establish the optimum economic order quantity for unfinished products, row of materials, goods etc. The main objective of this paper is to elaborate an automated decisional model for the calculus of the economic order quantity taking into account the price regressive rates for the total order quantity. This model has two main objectives: first, to determine the periodicity when to be done the order n or the quantity order q; second, to determine the levels of stock: lighting control, security stock etc. In this way we can provide the answer to two fundamental questions: How much must be ordered? When to Order? In the current practice, the business relationships with its suppliers are based on regressive rates for price. This means that suppliers may grant discounts, from a certain level of quantities ordered. Thus, the unit price of the products is a variable which depends on the order size. So, the most important element for choosing the optimum for the economic order quantity is the total cost for ordering and this cost depends on the following elements: the medium price per units, the stock cost, the ordering cost etc.
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.
NASA Astrophysics Data System (ADS)
Rusakov, Oleg; Laskin, Michael
2017-06-01
We consider a stochastic model of changes of prices in real estate markets. We suppose that in a book of prices the changes happen in points of jumps of a Poisson process with a random intensity, i.e. moments of changes sequently follow to a random process of the Cox process type. We calculate cumulative mathematical expectations and variances for the random intensity of this point process. In the case that the process of random intensity is a martingale the cumulative variance has a linear grows. We statistically process a number of observations of real estate prices and accept hypotheses of a linear grows for estimations as well for cumulative average, as for cumulative variance both for input and output prises that are writing in the book of prises.
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.
An Econometric Model of Healthcare Demand With Nonlinear Pricing.
Kunz, Johannes S; Winkelmann, Rainer
2016-04-04
From 2004 to 2012, the German social health insurance levied a co-payment for the first doctor visit in a calendar quarter. We develop a new model for estimating the effect of such a co-payment on the individual number of visits per quarter. The model combines a one-time increase in the otherwise constant hazard rate determining the timing of doctor visits with a difference-in-differences strategy to identify the reform effect. An extended version of the model accounts for a mismatch between reporting period and calendar quarter. Using data from the German Socio-Economic Panel, we do not find an effect of the co-payment on demand for doctor visits. Copyright © 2016 John Wiley & Sons, Ltd.
Aggregate modeling of fast-acting demand response and control under real-time pricing
Chassin, David P.; Rondeau, Daniel
2016-11-01
This paper develops and assesses the performance of a short-term demand response (DR) model for utility load control with applications to resource planning and control design. Long term response models tend to underestimate short-term demand response when induced by prices. This has two important consequences. First, planning studies tend to undervalue DR and often overlook its benefits in utility demand management program development. Second, when DR is not overlooked, the open-loop DR control gain estimate may be too low. This can result in overuse of load resources, control instability and excessive price volatility. Our objective is therefore to develop a more accurate and better performing short-term demand response model. We construct the model from first principles about the nature of thermostatic load control and show that the resulting formulation corresponds exactly to the Random Utility Model employed in economics to study consumer choice. The model is tested against empirical data collected from field demonstration projects and is shown to perform better than alternative models commonly used to forecast demand in normal operating conditions. The results suggest that (1) existing utility tariffs appear to be inadequate to incentivize demand response, particularly in the presence of high renewables, and (2) existing load control systems run the risk of becoming unstable if utilities close the loop on real-time prices.
Aggregate modeling of fast-acting demand response and control under real-time pricing
Chassin, David P.; Rondeau, Daniel
2016-08-24
This paper develops and assesses the performance of a short-term demand response (DR) model for utility load control with applications to resource planning and control design. Long term response models tend to underestimate short-term demand response when induced by prices. This has two important consequences. First, planning studies tend to undervalue DR and often overlook its benefits in utility demand management program development. Second, when DR is not overlooked, the open-loop DR control gain estimate may be too low. This can result in overuse of load resources, control instability and excessive price volatility. Our objective is therefore to develop a more accurate and better performing short-term demand response model. We construct the model from first principles about the nature of thermostatic load control and show that the resulting formulation corresponds exactly to the Random Utility Model employed in economics to study consumer choice. The model is tested against empirical data collected from field demonstration projects and is shown to perform better than alternative models commonly used to forecast demand in normal operating conditions. Finally, the results suggest that (1) existing utility tariffs appear to be inadequate to incentivize demand response, particularly in the presence of high renewables, and (2) existing load control systems run the risk of becoming unstable if utilities close the loop on real-time prices.
Aggregate modeling of fast-acting demand response and control under real-time pricing
Chassin, David P.; Rondeau, Daniel
2016-08-24
This paper develops and assesses the performance of a short-term demand response (DR) model for utility load control with applications to resource planning and control design. Long term response models tend to underestimate short-term demand response when induced by prices. This has two important consequences. First, planning studies tend to undervalue DR and often overlook its benefits in utility demand management program development. Second, when DR is not overlooked, the open-loop DR control gain estimate may be too low. This can result in overuse of load resources, control instability and excessive price volatility. Our objective is therefore to develop a more accurate and better performing short-term demand response model. We construct the model from first principles about the nature of thermostatic load control and show that the resulting formulation corresponds exactly to the Random Utility Model employed in economics to study consumer choice. The model is tested against empirical data collected from field demonstration projects and is shown to perform better than alternative models commonly used to forecast demand in normal operating conditions. Finally, the results suggest that (1) existing utility tariffs appear to be inadequate to incentivize demand response, particularly in the presence of high renewables, and (2) existing load control systems run the risk of becoming unstable if utilities close the loop on real-time prices.
Aggregate modeling of fast-acting demand response and control under real-time pricing
Chassin, David P.; Rondeau, Daniel
2016-08-24
This paper develops and assesses the performance of a short-term demand response (DR) model for utility load control with applications to resource planning and control design. Long term response models tend to underestimate short-term demand response when induced by prices. This has two important consequences. First, planning studies tend to undervalue DR and often overlook its benefits in utility demand management program development. Second, when DR is not overlooked, the open-loop DR control gain estimate may be too low. This can result in overuse of load resources, control instability and excessive price volatility. Our objective is therefore to develop amore » more accurate and better performing short-term demand response model. We construct the model from first principles about the nature of thermostatic load control and show that the resulting formulation corresponds exactly to the Random Utility Model employed in economics to study consumer choice. The model is tested against empirical data collected from field demonstration projects and is shown to perform better than alternative models commonly used to forecast demand in normal operating conditions. Finally, the results suggest that (1) existing utility tariffs appear to be inadequate to incentivize demand response, particularly in the presence of high renewables, and (2) existing load control systems run the risk of becoming unstable if utilities close the loop on real-time prices.« less
A Perfect Price Discrimination Market Model with Production, and a (Rational) Convex Program for It
NASA Astrophysics Data System (ADS)
Goel, Gagan; Vazirani, Vijay
Recent results showed PPAD-completeness of the problem of computing an equilibrium for Fisher's market model under additively separable, piecewise-linear, concave utilities. We show that introducing perfect price discrimination in this model renders its equilibrium polynomial time computable. Moreover, its set of equilibria are captured by a convex program that generalizes the classical Eisenberg-Gale program, and always admits a rational solution.
3D Weight Matrices in Modeling Real Estate Prices
NASA Astrophysics Data System (ADS)
Mimis, A.
2016-10-01
Central role in spatial econometric models of real estate data has the definition of the weight matrix by which we capture the spatial dependence between the observations. The weight matrices presented in literature so far, treats space in a two dimensional manner leaving out the effect of the third dimension or in our case the difference in height where the property resides. To overcome this, we propose a new definition of the weight matrix including the third dimensional effect by using the Hadamard product. The results illustrated that the level effect can be absorbed into the new weight matrix.
Regime switches induced by supply-demand equilibrium: a model for power-price dynamics
NASA Astrophysics Data System (ADS)
Mari, Carlo; Tondini, Daniela
2010-11-01
Regime-switching models can be used to describe stochastic movements of electricity prices in deregulated markets. This paper shows that regime-switching dynamics arise quite naturally in an equilibrium context in which the functional form of the supply curve is described by a two-state Markov process. This mechanism is responsible for random switches between regimes and it allows one to describe the main features of the price-formation process. With the interplay between demand and supply, the proposed methodology can be used to capture shortages in electricity generation, forced outages, and peaks in electricity demand. As an example of application, a two-regime model specification is proposed, and it will be shown that the empirical analysis, performed by estimating using the model on the California power market, offers an interesting agreement with observed data.
Code of Federal Regulations, 2011 CFR
2011-01-01
... Score Disclosure Exception Notices H Appendix H to Part 222 Banks and Banking FEDERAL RESERVE SYSTEM..., App. H Appendix H to Part 222—Model Forms for Risk-Based Pricing and Credit Score Disclosure Exception... form H-1 is for use in complying with the general risk-based pricing notice requirements in § 222.72...
Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model
Zhu, Qing; Zou, Yingchao; Lai, Kin Keung
2014-01-01
As a typical nonlinear and dynamic system, the crude oil price movement is difficult to predict and its accurate forecasting remains the subject of intense research activity. Recent empirical evidence suggests that the multiscale data characteristics in the price movement are another important stylized fact. The incorporation of mixture of data characteristics in the time scale domain during the modelling process can lead to significant performance improvement. This paper proposes a novel morphological component analysis based hybrid methodology for modeling the multiscale heterogeneous characteristics of the price movement in the crude oil markets. Empirical studies in two representative benchmark crude oil markets reveal the existence of multiscale heterogeneous microdata structure. The significant performance improvement of the proposed algorithm incorporating the heterogeneous data characteristics, against benchmark random walk, ARMA, and SVR models, is also attributed to the innovative methodology proposed to incorporate this important stylized fact during the modelling process. Meanwhile, work in this paper offers additional insights into the heterogeneous market microstructure with economic viable interpretations. PMID:25061614
Day-ahead crude oil price forecasting using a novel morphological component analysis based model.
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.
NASA Astrophysics Data System (ADS)
Kozuki, Naoki; Fuchikami, Nobuko
2003-11-01
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential, where the ‘temperature’ fluctuates slowly. The model generally yields a fat-tailed distribution of the price change. Specifically a Tsallis distribution is obtained if the inverse temperature is χ2-distributed, which qualitatively agrees with intraday data of foreign exchange market. The so-called ‘volatility’, a quantity indicating the risk or activity in financial markets, corresponds to the temperature of markets and its fluctuation leads to intermittency.
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.
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.
Substitution and price elasticity estimates using inter-countrypooled data in a translog cost model
Roy, Joyashree; Sanstad, Alan H.; Sathaye, Jayant A.; Khaddaria,Raman
2006-06-01
Pooled data across several developing countries and the U.S. were used to estimate long-run substitution and price elasticities ina translog framework for the paper, iron and steel, and aggregatemanufacturing industries. While the quality of the estimates variesacross the several industry-specific models, the results suggest highervalues for these elasticities than appear commonly used in integratedassessment models. Estimates of own-price elasticities of energy rangefrom - 0.80 to - 1.76 and are comparable to estimates from previouseconometric studies in the context of developed countries (- 0.77 to -0.87). Substitution elasticities show wider variation across countriesand industries. For energy and capital they range from -1.96 to 9.80, forlabor and energy from 2.61 to 7.11, and for energy and material from -0.26 to 2.07.
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.
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.
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.
Additive and subtractive scrambling in optional randomized response modeling.
Hussain, Zawar; Al-Sobhi, Mashail M; Al-Zahrani, Bander
2014-01-01
This article considers unbiased estimation of mean, variance and sensitivity level of a sensitive variable via scrambled response modeling. In particular, we focus on estimation of the mean. The idea of using additive and subtractive scrambling has been suggested under a recent scrambled response model. Whether it is estimation of mean, variance or sensitivity level, the proposed scheme of estimation is shown relatively more efficient than that recent model. As far as the estimation of mean is concerned, the proposed estimators perform relatively better than the estimators based on recent additive scrambling models. Relative efficiency comparisons are also made in order to highlight the performance of proposed estimators under suggested scrambling technique.
Factors influencing global antiretroviral procurement prices.
Wirtz, Veronika J; Forsythe, Steven; Valencia-Mendoza, Atanacio; Bautista-Arredondo, Sergio
2009-11-18
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. 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. 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. 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 tool to achieve this.
Factors influencing global antiretroviral procurement prices
2009-01-01
Background Antiretroviral medicines (ARVs) are one of the most costly parts of HIV/AIDS treatment. Many countries are struggling to provide universal access to ARVs for all people living with HIV and AIDS. Although substantial price reductions of ARVs have occurred, especially between 2002 and 2008, achieving sustainable access for the next several decades remains a major challenge for most low- and middle-income countries. The objectives of the present study were twofold: first, to analyze global ARV prices between 2005 and 2008 and associated factors, particularly procurement methods and key donor policies on ARV procurement efficiency; second, to discuss the options of procurement processes and policies that should be considered when implementing or reforming access to ARV programs. Methods An ARV-medicines price-analysis was carried out using the Global Price Reporting Mechanism from the World Health Organization. For a selection of 12 ARVs, global median prices and price variation were calculated. Linear regression models for each ARV were used to identify factors that were associated with lower procurement prices. Logistic regression models were used to identify the characteristics of those countries which procure below the highest and lowest direct manufactured costs. Results Three key factors appear to have an influence on a country's ARV prices: (a) whether the product is generic or not; (b) the socioeconomic status of the country; (c) whether the country is a member of the Clinton HIV/AIDS Initiative. Factors which did not influence procurement below the highest direct manufactured costs were HIV prevalence, procurement volume, whether the country belongs to the least developed countries or a focus country of the United States President's Emergency Plan For AIDS Relief. Conclusion One of the principal mechanisms that can help to lower prices for ARV over the next several decades is increasing procurement efficiency. Benchmarking prices could be one useful
Price Responsive Demand in New York Wholesale Electricity Market using OpenADR
Kim, Joyce Jihyun; Kiliccote, Sila
2012-06-01
In New York State, the default electricity pricing for large customers is Mandatory Hourly Pricing (MHP), which is charged based on zonal day-ahead market price for energy. With MHP, retail customers can adjust their building load to an economically optimal level according to hourly electricity prices. Yet, many customers seek alternative pricing options such as fixed rates through retail access for their electricity supply. Open Automated Demand Response (OpenADR) is an XML (eXtensible Markup Language) based information exchange model that communicates price and reliability information. It allows customers to evaluate hourly prices and provide demand response in an automated fashion to minimize electricity costs. This document shows how OpenADR can support MHP and facilitate price responsive demand for large commercial customers in New York City.
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)
Holmes, John; Meng, Yang; Meier, Petra S; Brennan, Alan; Angus, Colin; Campbell-Burton, Alexia; Guo, Yelan; Hill-McManus, Daniel; Purshouse, Robin C
2014-05-10
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. 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. 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 -138.2 units per drinker per year, with a
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
Empirical evaluation of the market price of risk using the CIR model
NASA Astrophysics Data System (ADS)
Bernaschi, M.; Torosantucci, L.; Uboldi, A.
2007-03-01
We describe a simple but effective method for the estimation of the market price of risk. The basic idea is to compare the results obtained by following two different approaches in the application of the Cox-Ingersoll-Ross (CIR) model. In the first case, we apply the non-linear least squares method to cross sectional data (i.e., all rates of a single day). In the second case, we consider the short rate obtained by means of the first procedure as a proxy of the real market short rate. Starting from this new proxy, we evaluate the parameters of the CIR model by means of martingale estimation techniques. The estimate of the market price of risk is provided by comparing results obtained with these two techniques, since this approach makes possible to isolate the market price of risk and evaluate, under the Local Expectations Hypothesis, the risk premium given by the market for different maturities. As a test case, we apply the method to data of the European Fixed Income Market.
Early Prostate Cancer: Hedonic Prices Model of Provider-Patient Interactions and Decisions
Jani, Ashesh B. Hellman, Samuel
2008-03-15
Purpose: To determine the relative influence of treatment features and treatment availabilities on final treatment decisions in early prostate cancer. Methods and Materials: We describe and apply a model, based on hedonic prices, to understand provider-patient interactions in prostate cancer. This model included four treatments (observation, external beam radiotherapy, brachytherapy, and prostatectomy) and five treatment features (one efficacy and four treatment complication features). We performed a literature search to estimate (1) the intersections of the 'bid' functions and 'offer' functions with the price function along different treatment feature axes, and (2) the treatments actually rendered in different patient subgroups based on age. We performed regressions to determine the relative weight of each feature in the overall interaction and the relative availability of each treatment modality to explain differences between observed vs. predicted use of different modalities in different patient subpopulations. Results: Treatment efficacy and potency preservation are the major factors influencing decisions for young patients, whereas preservation of urinary and rectal function is much more important for very elderly patients. Referral patterns seem to be responsible for most of the deviations of observed use of different treatments from those predicted by idealized provider-patient interactions. Specifically, prostatectomy is used far more commonly in young patients and radiotherapy and observation used far more commonly in elderly patients than predicted by a uniform referral pattern. Conclusions: The hedonic prices approach facilitated identifying the relative importance of treatment features and quantification of the impact of the prevailing referral pattern on prostate cancer treatment decisions.
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.
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.
Employment Options for Adults with Developmental Disabilities: A Conceptual Model.
ERIC Educational Resources Information Center
Kiernan, William E.; Stark, Jack A.
1986-01-01
The Pathways to Employment model, designed to help developmentally disabled adults, presents five stages in the career decision-making process: (1) pre-action (not at decision point); (2) action (employment-oriented decision-making); (3) service (job training); (4) outcome (degree of self-support); and (5) review action (changes in current…
Expanding Options in Technology. An Arizona Vocational Education Equity Model.
ERIC Educational Resources Information Center
Packard, Beth
Intended to assist others wishing to adapt the Arizona model, this guide describes the processes of the Summer Technical Institute Project. Chapter 1 is an introduction to the Summer Technical Institutes, career exploration programs directed primarily at young women in their early teens. Chapter 2 is a literature review conducted to ascertain if…
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.
Projecting key benthic processes - new options by species distribution models?
NASA Astrophysics Data System (ADS)
Beisiegel, K.; Darr, A.; Zettler, M. L.
2016-02-01
Macrobenthic communities play a major role in marine nutrient cycles especially in shallow coastal areas. Biodeposition is one of the most relevant activities for benthic-pelagic coupling. It is forced by suspension feeders capturing food particles from the water column and depositing the indigested organic material. Suspension feeders might even control the pelagic primary production by significantly reducing phytoplankton density. The filtering capacity of individual species can be linked to their biomass. One of the main drawbacks both to calculate the nutrient budget and to predict future changes on a regional or subregional scale is the lack of knowledge on the spatial distribution of key species. The aim of our study was to quantify the spatial distribution of filter capacity. We provide quantitative distribution maps of key species and by linking these maps with the available equations we also provide information on spatial distribution and intensity of the filtering capacity. Our study area is the south-western part of the Baltic Sea, one of the largest brackish water systems of the world. Due to reduced salinity, a few large bivalve species dominate the benthic communities in soft substrates both in terms of biomass and in suspension-feeding capacity. For habitat suitability modeling, two approaches were tested: (1) building one model with the response variable "individual biomass" achieved by calculating the mean individual biomass at each station before modeling and (2) building two models for "overall biomass" and "abundance" respectively and calculating the mean individual biomass from the achieved model results. While the first approach failed to find a significant correlation between response variable and available predictors, the latter produced a profound basis for the linkage with filtering capacity. Based on these results we developed grid based maps as a basis to calculate the nutrient fluxes driven by suspension feeding.
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.
Airborne electromagnetic modelling options and their consequences in target definition
NASA Astrophysics Data System (ADS)
Ley-Cooper, Alan Yusen; Viezzoli, Andrea; Guillemoteau, Julien; Vignoli, Giulio; Macnae, James; Cox, Leif; Munday, Tim
2015-10-01
Given the range of geological conditions under which airborne EM surveys are conducted, there is an expectation that the 2D and 3D methods used to extract models that are geologically meaningful would be favoured over 1D inversion and transforms. We do after all deal with an Earth that constantly undergoes, faulting, intrusions, and erosive processes that yield a subsurface morphology, which is, for most parts, dissimilar to a horizontal layered earth. We analyse data from a survey collected in the Musgrave province, South Australia. It is of particular interest since it has been used for mineral prospecting and for a regional hydro-geological assessment. The survey comprises abrupt lateral variations, more-subtle lateral continuous sedimentary sequences and filled palaeovalleys. As consequence, we deal with several geophysical targets of contrasting conductivities, varying geometries and at different depths. We invert the observations by using several algorithms characterised by the different dimensionality of the forward operator. Inversion of airborne EM data is known to be an ill-posed problem. We can generate a variety of models that numerically adequately fit the measured data, which makes the solution non-unique. The application of different deterministic inversion codes or transforms to the same dataset can give dissimilar results, as shown in this paper. This ambiguity suggests the choice of processes and algorithms used to interpret AEM data cannot be resolved as a matter of personal choice and preference. The degree to which models generated by a 1D algorithm replicate/or not measured data, can be an indicator of the data's dimensionality, which perse does not imply that data that can be fitted with a 1D model cannot be multidimensional. On the other hand, it is crucial that codes that can generate 2D and 3D models do reproduce the measured data in order for them to be considered as a plausible solution. In the absence of ancillary information, it could
Fractality of profit landscapes and validation of time series models for stock prices
NASA Astrophysics Data System (ADS)
Yi, Il Gu; Oh, Gabjin; Kim, Beom Jun
2013-08-01
We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters p and q, and the sell (buy) decision is made when the log return is larger (smaller) than p (-q). We discretize the unit square (p,q) ∈ [0,1] × [0,1] into the N × N square grid and the profit Π(p,q) is calculated at the center of each cell. We confirm the previous finding that local maxima in profit landscapes are scattered in a fractal-like fashion: the number M of local maxima follows the power-law form M ˜ Na, but the scaling exponent a is found to differ for different time series. From comparisons of real and artificial stock prices, we find that the fat-tailed return distribution is closely related to the exponent a ≈ 1.6 observed for real stock markets. We suggest that the fractality of profit landscape characterized by a ≈ 1.6 can be a useful measure to validate time series model for stock prices.
No Dog Left Behind: A Hedonic Pricing Model for Animal Shelters.
Reese, Laura A; Skidmore, Mark; Dyar, William; Rosebrook, Erika
2017-01-01
Companion animal overpopulation is a growing problem in the United States. In addition to strays, an average of 324,500 nonhuman animals are relinquished to shelters yearly by their caregivers due to family disruption (divorce, death), foreclosure, economic problems, or minor behavioral issues. As a result, estimates of animals in shelters range from 3 million to 8 million, and due to overcrowding, euthanasia is common. This analysis seeks to determine the appropriate pricing mechanisms to clear animal shelters of dogs in the manner most desirable-that is, through adoption. Based on a survey of Michigan residents, it is clear there are a number of correlations between the traits of dogs and the individuals who care for them. Hedonic pricing models indicate that animal shelters need to proactively vary their pricing systems to discount particular traits, specifically for mixed-breed, older, and black dogs. Premiums can be charged for puppies, purebred dogs, and those who have received specific services such as microchipping.
Age Differences in Consumer Decision Making under Option Framing: From the Motivation Perspective.
Peng, Huamao; Xia, Shiyong; Ruan, Fanglin; Pu, Bingyan
2016-01-01
Option framing effect is the phenomena that participants often accept more options when they are asked to delete undesired options from a full model (subtractive framing) than they do when they are instructed to add desired options to a base model (additive framing). Whether the same effect exists in different age groups is less well known. To explore the roles of age and purchase motivations on the option framing effect for automobiles purchases, this study adopted a 3 (age group: younger, middle-aged, vs. older) × 2 (option framing: additive vs. subtractive) × 2 (focus condition: information vs. emotion) mixed design. To manipulate purchase motivations, participants in the three age groups were instructed to focus on the ratio of utility and price of options (information-focus) or the extent of pleasure induced by the options (emotion-focus) when they made purchase decisions in two framing conditions. The results revealed similar option framing effect across all age groups in the information-focus condition regarding the total price paid for accepted options. In contrast, the framing effect was not found in the emotion-focus condition. In addition, older adults accepted more options and an overall higher price than younger and middle-aged adults in both focus conditions. This difference was more obvious in the emotion-focus condition than in the information-focus condition. Moreover, both the number of accepted options and the total accepted price of the younger group in the information-focus condition were higher than those in the emotion-focus condition, whereas the older and middle-aged groups accepted same number of options and price between two focus conditions. These results imply that purchase motivation is a moderator of the option framing effect and age characteristics linked with motivations must be considered in sales.
Age Differences in Consumer Decision Making under Option Framing: From the Motivation Perspective
Peng, Huamao; Xia, Shiyong; Ruan, Fanglin; Pu, Bingyan
2016-01-01
Option framing effect is the phenomena that participants often accept more options when they are asked to delete undesired options from a full model (subtractive framing) than they do when they are instructed to add desired options to a base model (additive framing). Whether the same effect exists in different age groups is less well known. To explore the roles of age and purchase motivations on the option framing effect for automobiles purchases, this study adopted a 3 (age group: younger, middle-aged, vs. older) × 2 (option framing: additive vs. subtractive) × 2 (focus condition: information vs. emotion) mixed design. To manipulate purchase motivations, participants in the three age groups were instructed to focus on the ratio of utility and price of options (information-focus) or the extent of pleasure induced by the options (emotion-focus) when they made purchase decisions in two framing conditions. The results revealed similar option framing effect across all age groups in the information-focus condition regarding the total price paid for accepted options. In contrast, the framing effect was not found in the emotion-focus condition. In addition, older adults accepted more options and an overall higher price than younger and middle-aged adults in both focus conditions. This difference was more obvious in the emotion-focus condition than in the information-focus condition. Moreover, both the number of accepted options and the total accepted price of the younger group in the information-focus condition were higher than those in the emotion-focus condition, whereas the older and middle-aged groups accepted same number of options and price between two focus conditions. These results imply that purchase motivation is a moderator of the option framing effect and age characteristics linked with motivations must be considered in sales. PMID:27872603
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.
Models to compare management options for a protogynous fish.
Heppell, Selina S; Heppell, Scott A; Coleman, Felicia C; Koenig, Christopher C
2006-02-01
Populations of gag (Mycteroperca microlepis), a hermaphroditic grouper, have experienced a dramatic shift in sex ratio over the past 25 years due to a decline in older age classes. The highly female-skewed sex ratio can be predicted as a consequence of increased fishing mortality that truncates the age distribution, and raises some concern about the overall fitness of the population. Management efforts may need to be directed toward maintenance of sex ratio as well as stock size, with evaluations of recruitment based on sex ratio or male stock size in addition to the traditional female-based stock-recruitment relationship. We used two stochastic, age-structured models to heuristically compare the effects of reducing fishing mortality on different life history stages and the relative impact of reductions in fertilization rates that may occur with highly skewed sex ratios. Our response variables included population size, sex ratio, lost egg fertility, and female spawning stock biomass. Population growth rates were highest for scenarios that reduced mortality for female gag (nearshore closure), while improved sex ratios were obtained most quickly with spawning reserves. The effect of reduced fertility through sex ratio bias was generally low but depended on the management scenario employed. Our results demonstrate the utility of evaluation of fishery management scenarios through model analysis and simulation, the synergistic interaction of life history and response to changes in mortality rates, and the importance of defining management goals.
Unified Program Design: Organizing Existing Programming Models, Delivery Options, and Curriculum
ERIC Educational Resources Information Center
Rubenstein, Lisa DaVia; Ridgley, Lisa M.
2017-01-01
A persistent problem in the field of gifted education has been the lack of categorization and delineation of gifted programming options. To address this issue, we propose Unified Program Design as a structural framework for gifted program models. This framework defines gifted programs as the combination of delivery methods and curriculum models.…
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
Dranitsaris, George; Ortega, Ana; Lubbe, Martie S; Truter, Ilse
2012-03-01
Several European governments have recently mandated price cuts in drugs to reduce health care spending. However, such measures without supportive evidence may compromise patient care because manufacturers may withdraw current products or not launch new agents. A value-based pricing scheme may be a better approach for determining a fair drug price and may be a medium for negotiations between the key stakeholders. To demonstrate this approach, pharmacoeconomic (PE) modeling was used from the Spanish health care system perspective to estimate a value-based price for bevacizumab, a drug that provides a 1.4-month survival benefit to patients with metastatic colorectal cancer (mCRC). The threshold used for economic value was three times the Spanish per capita GDP, as recommended by the World Health Organization (WHO). A PE model was developed to simulate outcomes in mCRC patients receiving chemotherapy ± bevacizumab. Clinical data were obtained from randomized trials and costs from a Spanish hospital. Utility estimates were determined by interviewing 24 Spanish oncology nurses and pharmacists. A price per dose of bevacizumab was then estimated using a target threshold of € 78,300 per quality-adjusted life year gained, which is three times the Spanish per capita GDP. For a 1.4-month survival benefit, a price of € 342 per dose would be considered cost effective from the Spanish public health care perspective. The price may be increased to € 733 or € 843 per dose if the drug were able to improve patient quality of life or enhance survival from 1.4 to 3 months. This study demonstrated that a value-based pricing approach using PE modeling and the WHO criteria for economic value is feasible and perhaps a better alternative to government mandated price cuts. The former approach would be a good starting point for opening dialog between European government payers and the pharmaceutical industry.
Sheu, Mei-Ling; Hu, Teh-Wei; Keeler, Theodore E; Ong, Michael; Sung, Hai-Yen
2004-08-01
The objective of this paper is to determine the price sensitivity of smokers in their consumption of cigarettes, using evidence from a major increase in California cigarette prices due to Proposition 10 and the Tobacco Settlement. The study sample consists of individual survey data from Behavioral Risk Factor Survey (BRFS) and price data from the Bureau of Labor Statistics between 1996 and 1999. A zero-inflated negative binomial (ZINB) regression model was applied for the statistical analysis. The statistical model showed that price did not have an effect on reducing the estimated prevalence of smoking. However, it indicated that among smokers the price elasticity was at the level of -0.46 and statistically significant. Since smoking prevalence is significantly lower than it was a decade ago, price increases are becoming less effective as an inducement for hard-core smokers to quit, although they may respond by decreasing consumption. For those who only smoke occasionally (many of them being young adults) price increases alone may not be an effective inducement to quit smoking. Additional underlying behavioral factors need to be identified so that more effective anti-smoking strategies can be developed.
Al-Mutairi, N.H.; Eltony, M.N.
1995-12-31
This paper estimates the demand for energy in Kuwait for the period 1965-1989 using two econometric models: a cointegration and error correction model (ECM) and a simultaneous-equation model (SEM). The results obtained from both models are similar. It is found that the energy demand is inelastic with respect to price in the short and long run, and while it is elastic in the long run, the energy demand is inelastic with respect to income in the short run. Both models` validation shows that the ECM performed better in replicating the past than the simultaneous model, suggesting the need to use the ECM to identify future prospects for energy demand in Kuwait.
Neural Models: An Option to Estimate Seismic Parameters of Accelerograms
NASA Astrophysics Data System (ADS)
Alcántara, L.; García, S.; Ovando-Shelley, E.; Macías, M. A.
2014-12-01
Seismic instrumentation for recording strong earthquakes, in Mexico, goes back to the 60´s due the activities carried out by the Institute of Engineering at Universidad Nacional Autónoma de México. However, it was after the big earthquake of September 19, 1985 (M=8.1) when the project of seismic instrumentation assumes a great importance. Currently, strong ground motion networks have been installed for monitoring seismic activity mainly along the Mexican subduction zone and in Mexico City. Nevertheless, there are other major regions and cities that can be affected by strong earthquakes and have not yet begun their seismic instrumentation program or this is still in development.Because of described situation some relevant earthquakes (e.g. Huajuapan de León Oct 24, 1980 M=7.1, Tehuacán Jun 15, 1999 M=7 and Puerto Escondido Sep 30, 1999 M= 7.5) have not been registered properly in some cities, like Puebla and Oaxaca, and that were damaged during those earthquakes. Fortunately, the good maintenance work carried out in the seismic network has permitted the recording of an important number of small events in those cities. So in this research we present a methodology based on the use of neural networks to estimate significant duration and in some cases the response spectra for those seismic events. The neural model developed predicts significant duration in terms of magnitude, epicenter distance, focal depth and soil characterization. Additionally, for response spectra we used a vector of spectral accelerations. For training the model we selected a set of accelerogram records obtained from the small events recorded in the strong motion instruments installed in the cities of Puebla and Oaxaca. The final results show that neural networks as a soft computing tool that use a multi-layer feed-forward architecture provide good estimations of the target parameters and they also have a good predictive capacity to estimate strong ground motion duration and response spectra.
McIntyre, Di; Ataguba, John E
2012-03-01
South Africa is considering introducing a universal health care system. A key concern for policy-makers and the general public is whether or not this reform is affordable. Modelling the resource and revenue generation requirements of alternative reform options is critical to inform decision-making. This paper considers three reform scenarios: universal coverage funded by increased allocations to health from general tax and additional dedicated taxes; an alternative reform option of extending private health insurance coverage to all formal sector workers and their dependents with the remainder using tax-funded services; and maintaining the status quo. Each scenario was modelled over a 15-year period using a spreadsheet model. Statistical analyses were also undertaken to evaluate the impact of options on the distribution of health care financing burden and benefits from using health services across socio-economic groups. Universal coverage would result in total health care spending levels equivalent to 8.6% of gross domestic product (GDP), which is comparable to current spending levels. It is lower than the status quo option (9.5% of GDP) and far lower than the option of expanding private insurance cover (over 13% of GDP). However, public funding of health services would have to increase substantially. Despite this, universal coverage would result in the most progressive financing system if the additional public funding requirements are generated through a surcharge on taxable income (but not if VAT is increased). The extended private insurance scheme option would be the least progressive and would impose a very high payment burden; total health care payments on average would be 10.7% of household consumption expenditure compared with the universal coverage (6.7%) and status quo (7.5%) options. The least pro-rich distribution of service benefits would be achieved under universal coverage. Universal coverage is affordable and would promote health system equity, but
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.
Green, D.J.
1984-04-01
A small scale model of natural gas markets explains regulated gas prices using past changes in residual fuel oil prices. The study examines three different accelerated, complete wellhead gas decontrol scenarios to find the impact of current law, immediate decontrol, and accelerated decontrol. It finds that accelerated decontrol simply shifts price increases forward with minor impact, while the revenue transfers are fairly substantial. A windfall profits tax could capture much of this transfer, but the revenues from such a tax would decrease sharply by the end of the period. 23 references, 4 figures, 8 tables.
A real options approach to clinical faculty salary structure.
Kahn, Marc J; Long, Hugh W
2012-01-01
One can use the option theory model originally developed to price financial opportunities in security markets to analyze many other economic arrangements such as the salary structures of clinical faculty in an academic medical center practice plan. If one views the underlying asset to be the portion (labeled "salary") of the economic value of the collections made for the care provided patients by the physician, then a salary guarantee can be considered a put option provided the physician, the guarantee having value to the physician only when the actual salary earned is less than the salary guarantee. Similarly, within an incentive plan, a salary cap can be thought of as a call option provided to the practice plan since a salary cap only has value to the practice plan when a physician's earnings exceed the cap. Further, based on analysis of prior earnings, the Black-Scholes options pricing model can be used both to price each option and to determine a financially neutral balance between a salary guarantee and a salary cap by equating the prices of the implied put and call options. We suggest that such analysis is superior to empirical methods for setting clinical faculty salary structure in the academic practice plan setting.
NASA Astrophysics Data System (ADS)
Denzler, Stefan M.; Dacorogna, Michel M.; Muller, Ulrich A.; McNeil, Alexander J.
2005-05-01
Credit risk models like Moody's KMV are now well established in the market and give bond managers reliable default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds. Inspired by the existence of scaling laws in financial markets by Dacorogna et al. 2001 and DiMatteo et al. 2005 deviating from the Gaussian behavior, we develop a model that quantitatively links those default probabilities to credit spreads (market prices). The main input quantities to this study are merely industry yield data of different times to maturity and expected default frequencies (EDFs) of Moody's KMV. The empirical results of this paper clearly indicate that the model can be used to calculate approximate credit spreads (market prices) from EDFs, independent of the time to maturity and the industry sector under consideration. Moreover, the model is effective in an out-of-sample setting, it produces consistent results on the European bond market where data are scarce and can be adequately used to approximate credit spreads on the corporate level.
A dual theory of price and value in a meso-scale economic model with stochastic profit rate
NASA Astrophysics Data System (ADS)
Greenblatt, R. E.
2014-12-01
The problem of commodity price determination in a market-based, capitalist economy has a long and contentious history. Neoclassical microeconomic theories are based typically on marginal utility assumptions, while classical macroeconomic theories tend to be value-based. In the current work, I study a simplified meso-scale model of a commodity capitalist economy. The production/exchange model is represented by a network whose nodes are firms, workers, capitalists, and markets, and whose directed edges represent physical or monetary flows. A pair of multivariate linear equations with stochastic input parameters represent physical (supply/demand) and monetary (income/expense) balance. The input parameters yield a non-degenerate profit rate distribution across firms. Labor time and price are found to be eigenvector solutions to the respective balance equations. A simple relation is derived relating the expected value of commodity price to commodity labor content. Results of Monte Carlo simulations are consistent with the stochastic price/labor content relation.
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)
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)
Agent-based models for latent liquidity and concave price impact.
Mastromatteo, Iacopo; Tóth, Bence; Bouchaud, Jean-Philippe
2014-04-01
We revisit the "ɛ-intelligence" model of Tóth et al. [Phys. Rev. X 1, 021006 (2011)], which was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes linearly around the current price, as a consequence of the diffusion of the price itself. However, the numerical implementation of Tóth et al. (2011) was criticized as being unrealistic, in particular because all the "intelligence" was conferred to market orders, while limit orders were passive and random. In this work, we study various alternative specifications of the model, for example, allowing limit orders to react to the order flow or changing the execution protocols. By and large, our study lends strong support to the idea that the square-root impact law is a very generic and robust property that requires very few ingredients to be valid. We also show that the transition from superdiffusion to subdiffusion reported in Tóth et al. (2011) is in fact a crossover but that the original model can be slightly altered in order to give rise to a genuine phase transition, which is of interest on its own. We finally propose a general theoretical framework to understand how a nonlinear impact may appear even in the limit where the bias in the order flow is vanishingly small.
Stochastic modeling of economic injury levels with respect to yearly trends in price commodity.
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.
Stochastic Modeling of Economic Injury Levels with Respect to Yearly Trends in Price Commodity
2014-01-01
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. PMID:25373206
Price-Dynamics of Shares and Bohmian Mechanics: Deterministic or Stochastic Model?
NASA Astrophysics Data System (ADS)
Choustova, Olga
2007-02-01
We apply the mathematical formalism of Bohmian mechanics to describe dynamics of shares. The main distinguishing feature of the financial Bohmian model is the possibility to take into account market psychology by describing expectations of traders by the pilot wave. We also discuss some objections (coming from conventional financial mathematics of stochastic processes) against the deterministic Bohmian model. In particular, the objection that such a model contradicts to the efficient market hypothesis which is the cornerstone of the modern market ideology. Another objection is of pure mathematical nature: it is related to the quadratic variation of price trajectories. One possibility to reply to this critique is to consider the stochastic Bohm-Vigier model, instead of the deterministic one. We do this in the present note.
NASA Astrophysics Data System (ADS)
Chen, Dar-Hsin; Chou, Heng-Chih; Wang, David; Zaabar, Rim
2011-06-01
Most empirical research of the path-dependent, exotic-option credit risk model focuses on developed markets. Taking Taiwan as an example, this study investigates the bankruptcy prediction performance of the path-dependent, barrier option model in the emerging market. We adopt Duan's (1994) [11], (2000) [12] transformed-data maximum likelihood estimation (MLE) method to directly estimate the unobserved model parameters, and compare the predictive ability of the barrier option model to the commonly adopted credit risk model, Merton's model. Our empirical findings show that the barrier option model is more powerful than Merton's model in predicting bankruptcy in the emerging market. Moreover, we find that the barrier option model predicts bankruptcy much better for highly-leveraged firms. Finally, our findings indicate that the prediction accuracy of the credit risk model can be improved by higher asset liquidity and greater financial transparency.
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.
Incentives for new antibiotics: the Options Market for Antibiotics (OMA) model.
Brogan, David M; Mossialos, Elias
2013-11-07
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. 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. 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. 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.
Incentives for new antibiotics: the Options Market for Antibiotics (OMA) model
2013-01-01
Background Antimicrobial resistance is a growing threat resulting from the convergence of biological, economic and political pressures. Investment in research and development of new antimicrobials has suffered secondary to these pressures, leading to an emerging crisis in antibiotic resistance. Methods Current policies to stimulate antibiotic development have proven inadequate to overcome market failures. Therefore innovative ideas utilizing market forces are necessary to stimulate new investment efforts. Employing the benefits of both the previously described Advanced Market Commitment and a refined Call Options for Vaccines model, we describe herein a novel incentive mechanism, the Options Market for Antibiotics. Results This model applies the benefits of a financial call option to the investment in and purchase of new antibiotics. The goal of this new model is to provide an effective mechanism for early investment and risk sharing while maintaining a credible purchase commitment and incentives for companies to ultimately bring new antibiotics to market. Conclusions We believe that the Options Market for Antibiotics (OMA) may help to overcome some of the traditional market failures associated with the development of new antibiotics. Additional work must be done to develop a more robust mathematical model to pave the way for practical implementation. PMID:24199835
Katikireddi, Srinivasa Vittal; Hilton, Shona; Bond, Lyndal
2016-11-01
The minimum unit pricing (MUP) alcohol policy debate has been informed by the Sheffield model, a study which predicts impacts of different alcohol pricing policies. This paper explores the Sheffield model's influences on the policy debate by drawing on 36 semi-structured interviews with policy actors who were involved in the policy debate. Although commissioned by policy makers, the model's influence has been far broader than suggested by views of 'rational' policy making. While findings from the Sheffield model have been used in instrumental ways, they have arguably been more important in helping debate competing values underpinning policy goals.
Operation of Distributed Generation Under Stochastic Prices
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.
Patricia K. Lebow; Henry Spelter; Peter J. Ince
2003-01-01
This report provides documentation and user information for FPL-PELPS, a personal computer price endogenous linear programming system for economic modeling. Originally developed to model the North American pulp and paper industry, FPL-PELPS follows its predecessors in allowing the modeling of any appropriate sector to predict consumption, production and capacity by...
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.
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.
2014-03-01
method to the numerical solution of nonlinear and variable coefficient wave equations ,” SIAM, vol. 15, no. 2, pp. 423, Apr. 1973. [3] D. Lee and S. T...DIFFERENT IMPLEMENTATION OPTIONS FOR DENSITY DISCONTINUITY IN SPLIT– STEP FOURIER PARABOLIC EQUATION MODELS by Matthew D. Owens March 2014...FOR DENSITY DISCONTINUITY IN SPLIT–STEP FOURIER PARABOLIC EQUATION MODELS 5. FUNDING NUMBERS 6. AUTHOR(S) Matthew D. Owens 7. PERFORMING
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
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.
A New ’Availability-Payment’ Model for Pricing Performance-Based Logistics Contracts
2014-04-30
which will ideally be close to zero after responding to demands in each period. The model involves the integration of the event- based structure... methods based on the theory of continuous-time Markov chains on a finite or countable infinite state space. DES is capable of representing the...bäÉîÉåíÜ=^ååì~ä=^Åèìáëáíáçå= oÉëÉ~êÅÜ=póãéçëáìã= tÉÇåÉëÇ~ó=pÉëëáçåë= sçäìãÉ=f= = A New “Availability-Payment” Model for Pricing Performance- Based
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.
NASA Astrophysics Data System (ADS)
Choustova, Olga
2008-01-01
We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Through comparing properties of trajectories we come to the conclusion that the only possibility to proceed with real financial data is to apply the stochastic version of the pilot wave theory—the model of Bohm Vigier.
NASA Astrophysics Data System (ADS)
Vicente, Renato; de Toledo, Charles M.; Leite, Vitor B. P.; Caticha, Nestor
2006-02-01
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics.
Agent-based models for latent liquidity and concave price impact
NASA Astrophysics Data System (ADS)
Mastromatteo, Iacopo; Tóth, Bence; Bouchaud, Jean-Philippe
2014-04-01
We revisit the "ɛ-intelligence" model of Tóth et al. [Phys. Rev. X 1, 021006 (2011), 10.1103/PhysRevX.1.021006], which was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes linearly around the current price, as a consequence of the diffusion of the price itself. However, the numerical implementation of Tóth et al. (2011) was criticized as being unrealistic, in particular because all the "intelligence" was conferred to market orders, while limit orders were passive and random. In this work, we study various alternative specifications of the model, for example, allowing limit orders to react to the order flow or changing the execution protocols. By and large, our study lends strong support to the idea that the square-root impact law is a very generic and robust property that requires very few ingredients to be valid. We also show that the transition from superdiffusion to subdiffusion reported in Tóth et al. (2011) is in fact a crossover but that the original model can be slightly altered in order to give rise to a genuine phase transition, which is of interest on its own. We finally propose a general theoretical framework to understand how a nonlinear impact may appear even in the limit where the bias in the order flow is vanishingly small.
Marinelli, J.; Hanson, D.A.; South, D.W.
1988-11-01
A forecast of energy prices is required in most studies of energy and economic activity. This report documents a systematic method to translate national energy prices by fuel type and sector into regional and state prices. This procedure is accomplished through AREPS. The report delineates the rationale underlying AREPS, together with its algorithm. It also provides a description of the resulting price forecasts for several fuel types in the macroeconomic reference scenario. AREPS is a flexible model that employs a systematic and transparent method to produce regional and state fuel prices. The model retains spatial price differences between regions or states, although it accounts for an observed pattern---subnational prices regressing toward the national mean. The rate at which prices regress toward the national mean is variable and can be exogenously specified. Because AREPS uses a top-down approach to produce these subnational prices, these prices do not necessarily truly reflect regional conditions. Also, coal prices are not discussed in this report. 5 refs.
Katikireddi, Srinivasa Vittal; Hilton, Shona; Bond, Lyndal
2017-01-01
The minimum unit pricing (MUP) alcohol policy debate has been informed by the Sheffield model, a study which predicts impacts of different alcohol pricing policies. This paper explores the Sheffield model’s influences on the policy debate by drawing on 36 semi-structured interviews with policy actors who were involved in the policy debate. Although commissioned by policy makers, the model’s influence has been far broader than suggested by views of ‘rational’ policy making. While findings from the Sheffield model have been used in instrumental ways, they have arguably been more important in helping debate competing values underpinning policy goals. PMID:28111593
A quantum mechanical model for the relationship between stock price and stock ownership
Cotfas, Liviu-Adrian
2012-11-01
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is, only in the case when the owner is unknown. We show that the stock price can be better described by a function indicating at any moment of time the probabilities for the possible values of price if a transaction takes place. This more general description contains partial information on the stock price, but it also contains partial information on the stock owner. By following the analogy with quantum mechanics, we assume that the time evolution of the function describing the stock price can be described by a Schroedinger type equation.
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.
Mathieu, Johanna L.; Callaway, Duncan S.; Kiliccote, Sila
2011-08-15
Controlling electric loads to deliver power system services presents a number of interesting challenges. For example, changes in electricity consumption of Commercial and Industrial (C&I) facilities are usually estimated using counterfactual baseline models, and model uncertainty makes it difficult to precisely quantify control responsiveness. Moreover, C&I facilities exhibit variability in their response. This paper seeks to understand baseline model error and demand-side variability in responses to open-loop control signals (i.e. dynamic prices). Using a regression-based baseline model, we define several Demand Response (DR) parameters, which characterize changes in electricity use on DR days, and then present a method for computing the error associated with DR parameter estimates. In addition to analyzing the magnitude of DR parameter error, we develop a metric to determine how much observed DR parameter variability is attributable to real event-to-event variability versus simply baseline model error. Using data from 38 C&I facilities that participated in an automated DR program in California, we find that DR parameter errors are large. For most facilities, observed DR parameter variability is likely explained by baseline model error, not real DR parameter variability; however, a number of facilities exhibit real DR parameter variability. In some cases, the aggregate population of C&I facilities exhibits real DR parameter variability, resulting in implications for the system operator with respect to both resource planning and system stability.
A Kramers-Moyal Approach to the Analysis of Third-Order Noise with Applications in Option Valuation
Popescu, Dan M.; Lipan, Ovidiu
2015-01-01
We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula’s theorem, which states that a truncated model may exhibit poor statistical properties, we show that for a third-order Kramers-Moyal truncation model of an option’s and its underlier’s price, important properties emerge: (i) the option price can be written in a closed analytical form that involves the Airy function, (ii) the price is a positive function for positive skewness in the distribution, (iii) for negative skewness, the price becomes negative only for price values that are close to zero. Moreover, using third-order noise in option valuation reveals additional properties: (iv) the inconsistencies between two popular option pricing approaches (using a “delta-hedged” portfolio and using an option replicating portfolio) that are otherwise equivalent up to the second moment, (v) the ability to develop a measure R of how accurately an option can be replicated by a mixture of the underlying stocks and cash, (vi) further limitations of second-order models revealed by introducing third-order noise. PMID:25625856
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.
Food price policy can favorably alter macronutrient intake in China.
Guo, X; Popkin, B M; Mroz, T A; Zhai, F
1999-05-01
The rapid change in diets, physical activity and body composition in low income countries has led to the coexistence of large pockets of undernutrition and overnutrition. Public health strategies for addressing this situation may be necessary, and price policy options are examined for China. Longitudinal dietary data collected in China in 1989-1993 on a sample of 5625 adults aged 20-45 y were examined. Three-day averages of food group consumption and nutrient intake were used in longitudinal statistical models to examine separately the effects of food prices on the decision to consume each food group and then the amount consumed. The effects of changes in six food prices on the consumption of each of six food groups, not just the food group whose price had changed, and on three macronutrients were estimated. The effects show large and significant price effects. If the joint effects of the nutrition transition are to be considered, then there are clear tradeoffs among which foods to tax and which to subsidize. Most important is the effect of prices in reducing fat intake of the rich but not adversely affecting protein intake for the poor. Increases in the prices of pork, eggs and edible oils are predicted to lower fat intake. Only increases in pork prices led to reduced protein intakes. This raises questions about earlier policy changes being implemented in China and provides insight into an important and controversial area for public health policy.
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…
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.
Heather Sander; Stephen Polasky; Robert. Haight
2010-01-01
Urban tree cover benefits communities. These benefits' economic values, however, are poorly recognized and often ignored by landowners and planners. We use hedonic property price modeling to estimate urban tree cover's value in Dakota and Ramsey Counties, MN, USA, predicting housing value as a function of structural, neighborhood, and environmental variables...
Golden, Shelley D; Farrelly, Matthew C; Luke, Douglas A; Ribisl, Kurt M
2016-10-01
About half of all US states have cigarette minimum price laws (MPLs) that require a per cent mark-up on prices, but research suggests they may not be very effective in raising prices. An alternative type of MPL sets a floor price below which packs cannot be sold, and may be more promising. This new type of MPL policy has only been implemented in 1 city, therefore its benefits relative to excise taxes is difficult to assess. We constructed a set of possible state floor price MPL options, and matched them to possible state excise tax hikes designed to produce similar average price increases. Using self-reported price and cigarette consumption data from 23 521 participants in the 2010-2011 Tobacco Use Supplement of the Current Population Survey, we projected changes in pack prices and cigarette consumption following implementation of each paired MPL and tax option, for lower and higher income groups. We project that state MPLs set at the average reported pack price would raise prices by $0.33 and reduce cigarette consumption by about 4%; a tax with a similar average price effect would reduce consumption by 2.3%. MPLs and taxes that raise average prices by more than $2.00 would reduce consumption by 15.9% and 13.5%, respectively. In all models, we project that MPLs will reduce income-based smoking disparities more than their comparable excise taxes. Floor price cigarette MPLs set at or above what consumers currently report paying could reduce both tobacco use and socioeconomic disparities in smoking. Published by the BMJ Publishing Group Limited. For permission to use (where not already granted under a licence) please go to http://www.bmj.com/company/products-services/rights-and-licensing/.
Golden, Shelley D; Farrelly, Matthew C; Luke, Douglas A; Ribisl, Kurt M
2016-01-01
Background About half of all US states have cigarette minimum price laws (MPLs) that require a per cent mark-up on prices, but research suggests they may not be very effective in raising prices. An alternative type of MPL sets a floor price below which packs cannot be sold, and may be more promising. This new type of MPL policy has only been implemented in 1 city, therefore its benefits relative to excise taxes is difficult to assess. Methods We constructed a set of possible state floor price MPL options, and matched them to possible state excise tax hikes designed to produce similar average price increases. Using self-reported price and cigarette consumption data from 23 521 participants in the 2010–2011 Tobacco Use Supplement of the Current Population Survey, we projected changes in pack prices and cigarette consumption following implementation of each paired MPL and tax option, for lower and higher income groups. Results We project that state MPLs set at the average reported pack price would raise prices by $0.33 and reduce cigarette consumption by about 4%; a tax with a similar average price effect would reduce consumption by 2.3%. MPLs and taxes that raise average prices by more than $2.00 would reduce consumption by 15.9% and 13.5%, respectively. In all models, we project that MPLs will reduce income-based smoking disparities more than their comparable excise taxes. Conclusions Floor price cigarette MPLs set at or above what consumers currently report paying could reduce both tobacco use and socioeconomic disparities in smoking. PMID:27697949
Animal Models of Secondary Lymphedema: New Approaches in the Search for Therapeutic Options.
Hadrian, Rebecca; Palmes, Daniel
2017-03-01
Secondary lymphedema is still a worldwide problem. Symptomatic approaches to lymphedema therapy have been mainly used, with complete decongestive therapy as the cornerstone. Due to a lack of regenerative therapy, researchers have established various animal models to obtain insights into pathomechanisms and to reveal the best therapeutic option. Since the first reproducible and reliable animal model of lymphedema was reported in dogs, the technique of circumferential excision of lymphatic tissue has been translated mainly to rodents to induce secondary lymphedema. In these models, various promising pharmacological and surgical approaches have been investigated to improve secondary lymphedema therapy. Imaging modalities are crucial to detect the extent of lymphatic dysfunction and decide the best therapy. The gold standard of lymphoscintigraphy is currently limited by poor spatial resolution and lack of quantification. Animal models could help to bridge a gap in improving morphological correlation and quantifying lymphatic functionality. This review summarizes the animal models used in lymphatic research and focuses on new therapeutic options and requirements for imaging modalities to visualize the lymphatic system.
Beheshti, Rahmatollah; Jones-Smith, Jessica C; Igusa, Takeru
2017-01-01
Computational models have gained popularity as a predictive tool for assessing proposed policy changes affecting dietary choice. Specifically, they have been used for modeling dietary changes in response to economic interventions, such as price and income changes. Herein, we present a novel addition to this type of model by incorporating habitual behaviors that drive individuals to maintain or conform to prior eating patterns. We examine our method in a simulated case study of food choice behaviors of low-income adults in the US. We use data from several national datasets, including the National Health and Nutrition Examination Survey (NHANES), the US Bureau of Labor Statistics and the USDA, to parameterize our model and develop predictive capabilities in 1) quantifying the influence of prior diet preferences when food budgets are increased and 2) simulating the income elasticities of demand for four food categories. Food budgets can increase because of greater affordability (due to food aid and other nutritional assistance programs), or because of higher income. Our model predictions indicate that low-income adults consume unhealthy diets when they have highly constrained budgets, but that even after budget constraints are relaxed, these unhealthy eating behaviors are maintained. Specifically, diets in this population, before and after changes in food budgets, are characterized by relatively low consumption of fruits and vegetables and high consumption of fat. The model results for income elasticities also show almost no change in consumption of fruit and fat in response to changes in income, which is in agreement with data from the World Bank's International Comparison Program (ICP). Hence, the proposed method can be used in assessing the influences of habitual dietary patterns on the effectiveness of food policies.
Modeling HIV/AIDS drug price determinants in Brazil: is generic competition a myth?
Meiners, Constance; Sagaon-Teyssier, Luis; Hasenclever, Lia; Moatti, Jean-Paul
2011-01-01
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. 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. 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.
Modeling HIV/AIDS Drug Price Determinants in Brazil: Is Generic Competition a Myth?
Meiners, Constance; Sagaon-Teyssier, Luis; Hasenclever, Lia; Moatti, Jean-Paul
2011-01-01
Background Brazil became the first developing country to guarantee free and universal access to HIV/AIDS treatment, with antiretroviral drugs (ARVs) being delivered to nearly 190,000 patients. The analysis of ARV price evolution and market dynamics in Brazil can help anticipate issues soon to afflict other developing countries, as the 2010 revision of the World Health Organization guidelines shifts demand towards more expensive treatments, and, at the same time, current evolution of international legislation and trade agreements on intellectual property rights may reduce availability of generic drugs for HIV care. Methods and Findings Our analyses are based on effective prices paid for ARV procurement in Brazil between 1996 and 2009. Data panel structure was exploited to gather ex-ante and ex-post information and address various sources of statistical bias. In-difference estimation offered in-depth information on ARV market characteristics which significantly influence prices. Although overall ARV prices follow a declining trend, changing characteristics in the generic segment help explain recent increase in generic ARV prices. Our results show that generic suppliers are more likely to respond to factors influencing demand size and market competition, while originator suppliers tend to set prices strategically to offset compulsory licensing threats and generic competition. Significance In order to guarantee the long term sustainability of access to antiretroviral treatment, our findings highlight the importance of preserving and stimulating generic market dynamics to sustain developing countries' bargaining power in price negotiations undertaken with originator companies. PMID:21858138
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.
Price elasticity and pharmaceutical selection: the influence of managed care.
Domino, Marisa Elena; Salkever, David S
2003-07-01
State Medicaid programs are turning increasingly to managed care to control expenditures, although the types of managed care programs in use have changed dramatically. Little is known about the influence of the shifting Medicaid managed care arena on treatment decisions. This paper investigates factors affecting the selection of treatments for depression by providers participating in either of two Medicaid managed care programs. Of particular interest is the influence of medication price on the choice of treatment, since one vehicle through which managed care organizations can reduce total expenditures is by increasing the price sensitivity of participating providers. We take a new approach by phrasing the problem as a discrete choice, using a nested multinomial logit model for the analyses. Contrary to earlier literature, we find some evidence that physicians in both programs do take price into consideration when selecting among treatment options. HMO providers in particular demonstrate increased price sensitivity in the two most commonly prescribed categories of antidepressants.
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.
Options of system integrated environment modelling in the predicated dynamic cyberspace
Janková, Martina; Dvořák, Jiří
2015-03-10
In this article there are briefly mentioned some selected options of contemporary conception of cybernetic system models in the corresponding and possible integratable environment with modern system dynamics thinking and all this in the cyberspace of possible projecting of predicted system characteristics. The key to new capabilities of system integration modelling in the considered cyberspace is mainly the ability to improve the environment and the system integration options, all this with the aim of modern control in the hierarchically arranged dynamic cyberspace, e.g. in the currently desired electronic business with information. The aim of this article is to assess generally the trends in the use of modern modelling methods considering the cybernetics applications verified in practice, modern concept of project management and also the potential integration of artificial intelligence in the new projecting and project management of integratable and intelligent models, e.g. with the optimal structures and adaptable behaviour.The article results from the solution of a specific research partial task at the faculty; especially the moments proving that the new economics will be based more and more on information, knowledge system defined cyberspace of modern management, are stressed in the text.
The future flight deck: Modelling dual, single and distributed crewing options.
Stanton, Neville A; Harris, Don; Starr, Alison
2016-03-01
It is argued that the barrier to single pilot operation is not the technology, but the failure to consider the whole socio-technical system. To better understand the socio-technical system we model alternative single pilot operations using Cognitive Work Analysis (CWA) and analyse those models using Social Network Analysis (SNA). Four potential models of single pilot operations were compared to existing two pilot operations. Using SOCA-CAT from CWA, we were able to identify the potential functional loading and interactions between networks of agents. The interactions formed the basis on the SNA. These analyses potentially form the basis for distributed system architecture for the operation of a future aircraft. The findings from the models suggest that distributed crewing option could be at least as resilient, in network architecture terms, as the current dual crewing operations.
Impact of energy prices on agricultural and energy markets: an integrated modeling approach
The accelerated growth in biofuels markets has both created and reinforced linkages between agricultural and energy markets. This study investigates the dynamics in biofuel and agricultural markets under alternative price scenarios for both crude oil and natural gas. Two energy ...
Impact of energy prices on agricultural and energy markets: an integrated modeling approach
The accelerated growth in biofuels markets has both created and reinforced linkages between agricultural and energy markets. This study investigates the dynamics in biofuel and agricultural markets under alternative price scenarios for both crude oil and natural gas. Two energy ...
Can hydro-economic river basin models simulate water shadow prices under asymmetric access?
Kuhn, A; Britz, W
2012-01-01
Hydro-economic river basin models (HERBM) based on mathematical programming are conventionally formulated as explicit 'aggregate optimization' problems with a single, aggregate objective function. Often unintended, this format implicitly assumes that decisions on water allocation are made via central planning or functioning markets such as to maximize social welfare. In the absence of perfect water markets, however, individually optimal decisions by water users will differ from the social optimum. Classical aggregate HERBMs cannot simulate that situation and thus might be unable to describe existing institutions governing access to water and might produce biased results for alternative ones. We propose a new solution format for HERBMs, based on the format of the mixed complementarity problem (MCP), where modified shadow price relations express spatial externalities resulting from asymmetric access to water use. This new problem format, as opposed to commonly used linear (LP) or non-linear programming (NLP) approaches, enables the simultaneous simulation of numerous 'independent optimization' decisions by multiple water users while maintaining physical interdependences based on water use and flow in the river basin. We show that the alternative problem format allows the formulation HERBMs that yield more realistic results when comparing different water management institutions.
Construction of Discrete Time Shadow Price
Rogala, Tomasz Stettner, Lukasz
2015-12-15
In the paper expected utility from consumption over finite time horizon for discrete time markets with bid and ask prices and strictly concave utility function is considered. The notion of weak shadow price, i.e. an illiquid price, depending on the portfolio, under which the model without bid and ask price is equivalent to the model with bid and ask price is introduced. Existence and the form of weak shadow price is shown. Using weak shadow price usual (called in the paper strong) shadow price is then constructed.
Modeling of NOx Destruction Options for INEEL Sodium-Bearing Waste Vitrification
Wood, Richard Arthur
2001-09-01
Off-gas NOx concentrations in the range of 1-5 mol% are expected as a result of the proposed vitrification of sodium-bearing waste at the Idaho National Engineering and Environmental Laboratory. An existing kinetic model for staged combustion (originally developed for NOx abatement from the calcination process) was updated for application to vitrification offgas. In addition, two new kinetic models were developed to assess the feasibility of using selective non-catalytic reduction (SNCR) or high-temperature alone for NOx abatement. Each of the models was developed using the Chemkin code. Results indicate that SNCR is a viable option, reducing NOx levels to below 1000 ppmv. In addition, SNCR may be capable of simultaneously reducing CO emissions to below 100 ppmv. Results for using high-temperature alone were not as promising, indicating that a minimum NOx concentration of 3950 ppmv is achievable at 3344°F.
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.
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
Brennan, Alan; Meng, Yang; Holmes, John; Hill-McManus, Daniel; Meier, Petra S
2014-09-30
To evaluate the potential impact of two alcohol control policies under consideration in England: banning below cost selling of alcohol and minimum unit pricing. Modelling study using the Sheffield Alcohol Policy Model version 2.5. England 2014-15. Adults and young people aged 16 or more, including subgroups of moderate, hazardous, and harmful drinkers. 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), 45 p, and 50 p per unit (7.9 g/10 mL) of pure alcohol. 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. 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 45 p 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 45 p 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 45 p 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. 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 expected levels between 40 p and 50 p per unit, is estimated to have an approximately 40-50 times
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.
Valuation of exotic options in the framework of Levy processes
NASA Astrophysics Data System (ADS)
Milev, Mariyan; Georgieva, Svetla; Markovska, Veneta
2013-12-01
In this paper we explore a straightforward procedure to price derivatives by using the Monte Carlo approach when the underlying process is a jump-diffusion. We have compared the Black-Scholes model with one of its extensions that is the Merton model. The latter model is better in capturing the market's phenomena and is comparative to stochastic volatility models in terms of pricing accuracy. We have presented simulations of asset paths and pricing of barrier options for both Geometric Brownian motion and exponential Levy processes as it is the concrete case of the Merton model. A desired level of accuracy is obtained with simple computer operations in MATLAB for efficient computational time.
Valuation of exotic options in the framework of Levy processes
Milev, Mariyan Georgieva, Svetla Markovska, Veneta
2013-12-18
In this paper we explore a straightforward procedure to price derivatives by using the Monte Carlo approach when the underlying process is a jump-diffusion. We have compared the Black-Scholes model with one of its extensions that is the Merton model. The latter model is better in capturing the market’s phenomena and is comparative to stochastic volatility models in terms of pricing accuracy. We have presented simulations of asset paths and pricing of barrier options for both Geometric Brownian motion and exponential Levy processes as it is the concrete case of the Merton model. A desired level of accuracy is obtained with simple computer operations in MATLAB for efficient computational time.
Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models
Yamazaki, Kazutoshi
2015-08-15
This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Lévy process. This allows the model to incorporate sudden declines of the project values, generalizing greatly the classical geometric Brownian motion model. We solve the one-stage case as well as the extension to the multiple-stage case. The optimal stopping times are of threshold-type and the value function admits an expression in terms of the scale function. A series of numerical experiments are conducted to verify the optimality and to evaluate the efficiency of the algorithm.
Modelling mitigation options to reduce diffuse nitrogen water pollution from agriculture.
Bouraoui, Fayçal; Grizzetti, Bruna
2014-01-15
Agriculture is responsible for large scale water quality degradation and is estimated to contribute around 55% of the nitrogen entering the European Seas. The key policy instrument for protecting inland, transitional and coastal water resources is the Water Framework Directive (WFD). Reducing nutrient losses from agriculture is crucial to the successful implementation of the WFD. There are several mitigation measures that can be implemented to reduce nitrogen losses from agricultural areas to surface and ground waters. For the selection of appropriate measures, models are useful for quantifying the expected impacts and the associated costs. In this article we review some of the models used in Europe to assess the effectiveness of nitrogen mitigation measures, ranging from fertilizer management to the construction of riparian areas and wetlands. We highlight how the complexity of models is correlated with the type of scenarios that can be tested, with conceptual models mostly used to evaluate the impact of reduced fertilizer application, and the physically-based models used to evaluate the timing and location of mitigation options and the response times. We underline the importance of considering the lag time between the implementation of measures and effects on water quality. Models can be effective tools for targeting mitigation measures (identifying critical areas and timing), for evaluating their cost effectiveness, for taking into consideration pollution swapping and considering potential trade-offs in contrasting environmental objectives. Models are also useful for involving stakeholders during the development of catchments mitigation plans, increasing their acceptability.
NASA Astrophysics Data System (ADS)
Tokimatsu, K.; Asaoka, Y.; Konishi, S.; Fujino, J.; Ogawa, Y.; Okano, K.; Nishio, S.; Yoshida, T.; Hiwatari, R.; Yamaji, K.
2002-11-01
In response to social demand, this paper investigates the breakeven price (BP) and potential electricity supply of nuclear fusion energy in the 21st century by means of a world energy and environment model. We set the following objectives in this paper: (i) to reveal the economics of the introduction conditions of nuclear fusion; (ii) to know when tokamak-type nuclear fusion reactors are expected to be introduced cost-effectively into future energy systems; (iii) to estimate the share in 2100 of electricity produced by the presently designed reactors that could be economically selected in the year. The model can give in detail the energy and environment technologies and price-induced energy saving, and can illustrate optimal energy supply structures by minimizing the costs of total discounted energy systems at a discount rate of 5%. The following parameters of nuclear fusion were considered: cost of electricity (COE) in the nuclear fusion introduction year, annual COE reduction rates, regional introduction year, and regional nuclear fusion capacity projection. The investigations are carried out for three nuclear fusion projections one of which includes tritium breeding constraints, four future CO2 concentration constraints, and technological assumptions on fossil fuels, nuclear fission, CO2 sequestration, and anonymous innovative technologies. It is concluded that: (1) the BPs are from 65 to 125 mill kW-1 h-1 depending on the introduction year of nuclear fusion under the 550 ppmv CO2 concentration constraints; those of a business-as-usual (BAU) case are from 51 to 68 mill kW-1h-1. Uncertainties resulting from the CO2 concentration constraints and the technological options influenced the BPs by plus/minus some 10 30 mill kW-1h-1, (2) tokamak-type nuclear fusion reactors (as presently designed, with a COE range around 70 130 mill kW-1h-1) would be favourably introduced into energy systems after 2060 based on the economic criteria under the 450 and 550 ppmv CO2
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.
Modeling of waiting times and price changes in currency exchange data
NASA Astrophysics Data System (ADS)
Repetowicz, Przemysław; Richmond, Peter
2004-11-01
A theory which describes the share price evolution at financial markets as a continuous-time random walk (Physica A 287 (2000) 468, Physica A 314 (2002) 749, Eur. Phys. J. B 27 (2002) 273, Physica A 376 (2000) 284) has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density function (pdf) φ(x,t) which uses the concept of a Lévy stable distribution is worked out. The theory is fitted to high-frequency US $/Japanese Yen exchange rate and low-frequency 19th century Irish stock data. The theory has been fitted both to price return and to waiting time data and the adherence to data, in terms of the χ2 test statistic, has been improved when compared to the old theory.
Federal Register 2010, 2011, 2012, 2013, 2014
2013-03-22
... Effectiveness of Proposed Rule Change To Permit the Minimum Price Variation for Mini Options To Be the Same as..., with the exception of three classes,\\6\\ the minimum price variation for all participating options...
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.
Estimated Nutritive Value of Low-Price Model Lunch Sets Provided to Garment Workers in Cambodia
Makurat, Jan; Pillai, Aarati; Wieringa, Frank T.; Chamnan, Chhoun; Krawinkel, Michael B.
2017-01-01
Background: The establishment of staff canteens is expected to improve the nutritional situation of Cambodian garment workers. The objective of this study is to assess the nutritive value of low-price model lunch sets provided at a garment factory in Phnom Penh, Cambodia. Methods: Exemplary lunch sets were served to female workers through a temporary canteen at a garment factory in Phnom Penh. Dish samples were collected repeatedly to examine mean serving sizes of individual ingredients. Food composition tables and NutriSurvey software were used to assess mean amounts and contributions to recommended dietary allowances (RDAs) or adequate intake of energy, macronutrients, dietary fiber, vitamin C (VitC), iron, vitamin A (VitA), folate and vitamin B12 (VitB12). Results: On average, lunch sets provided roughly one third of RDA or adequate intake of energy, carbohydrates, fat and dietary fiber. Contribution to RDA of protein was high (46% RDA). The sets contained a high mean share of VitC (159% RDA), VitA (66% RDA), and folate (44% RDA), but were low in VitB12 (29% RDA) and iron (20% RDA). Conclusions: Overall, lunches satisfied recommendations of caloric content and macronutrient composition. Sets on average contained a beneficial amount of VitC, VitA and folate. Adjustments are needed for a higher iron content. Alternative iron-rich foods are expected to be better suited, compared to increasing portions of costly meat/fish components. Lunch provision at Cambodian garment factories holds the potential to improve food security of workers, approximately at costs of <1 USD/person/day at large scale. Data on quantitative total dietary intake as well as physical activity among workers are needed to further optimize the concept of staff canteens. PMID:28754003
2014-01-01
Background The continuing increase of pharmaceutical expenditure calls for new approaches to pricing and reimbursement of pharmaceuticals. Value based pricing of pharmaceuticals is emerging as a useful tool and possess theoretical attributes to help health system cope with rising pharmaceutical expenditure. Aim To assess the feasibility of introducing a value-based pricing scheme of pharmaceuticals in Cyprus and explore the integrative framework. Methods A probabilistic Markov chain Monte Carlo model was created to simulate progression of advanced renal cell cancer for comparison of sorafenib to standard best supportive care. Literature review was performed and efficacy data were transferred from a published landmark trial, while official pricelists and clinical guidelines from Cyprus Ministry of Health were utilised for cost calculation. Based on proposed willingness to pay threshold the maximum price of sorafenib for the indication of second line renal cell cancer was assessed. Results Sorafenib value based price was found to be significantly lower compared to its current reference price. Conclusion Feasibility of Value Based Pricing is documented and pharmacoeconomic modelling can lead to robust results. Integration of value and affordability in the price are its main advantages which have to be weighed against lack of documentation for several theoretical parameters that influence outcome. Smaller countries such as Cyprus may experience adversities in establishing and sustaining essential structures for this scheme. PMID:24910539
Anderson, D P; McMurtrie, P; Edge, K-A; Baxter, P W J; Byrom, A E
2016-12-01
Successful pest-mammal eradications from remote islands have resulted in important biodiversity benefits. Near-shore islands can also serve as refuges for native biota but require ongoing effort to maintain low-pest or pest-free status. Three management options are available in the presence of reinvasion risk: (1) control-to-zero density, in which immigration may occur but reinvaders are removed; (2) sustained population suppression (to relatively low numbers); or (3) no action. Biodiversity benefits can result from options one and two. The management challenge is to make evidence-based decisions on the selection of an appropriate objective and to identify a financially feasible control strategy that has a high probability of success. This requires understanding the pest species population dynamics and how it will respond to a range of potential management strategies, each with an associated financial cost. We developed a two-stage modeling approach that consisted of (1) Bayesian inferential modeling to estimate parameters for a model of pest population dynamics and control, and (2) a forward projection model to simulate a range of plausible management scenarios and quantify the probability of obtaining zero density within four years. We applied the model to an ongoing, six-year trapping program to control stoats (Mustela erminea) on Resolution Island, New Zealand. Zero density has not yet been achieved. Results demonstrate that management objectives were impeded by a combination of a highly fecund population, insufficient trap attractiveness, and a substantial proportion of the population that did not enter traps. Immigration is known to occur because the founding population arrived on the island by swimming from the mainland. However, immigration rate during this study was indistinguishable from zero. The forward projection modeling showed that control-to-zero density was feasible but required greater than a two-fold budget increase to intensify the trapping
48 CFR 517.202 - Use of options.
Code of Federal Regulations, 2010 CFR
2010-10-01
... initial contract will be used to evaluate the performance of an emerging small business. (3) Do not use an option if the market price is likely to change substantially and an economic price adjustment clause...
48 CFR 517.202 - Use of options.
Code of Federal Regulations, 2011 CFR
2011-10-01
... initial contract will be used to evaluate the performance of an emerging small business. (3) Do not use an option if the market price is likely to change substantially and an economic price adjustment clause...
Bounds for Asian basket options
NASA Astrophysics Data System (ADS)
Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle
2008-09-01
In this paper we propose pricing bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework. We start from methods used for basket options and Asian options. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums of non-independent random variables as in Kaas et al. [Upper and lower bounds for sums of random variables, Insurance Math. Econom. 27 (2000) 151-168] or Dhaene et al. [The concept of comonotonicity in actuarial science and finance: theory, Insurance Math. Econom. 31(1) (2002) 3-33]. We generalize the methods in Deelstra et al. [Pricing of arithmetic basket options by conditioning, Insurance Math. Econom. 34 (2004) 55-57] and Vanmaele et al. [Bounds for the price of discrete sampled arithmetic Asian options, J. Comput. Appl. Math. 185(1) (2006) 51-90]. Afterwards we show how to derive an analytical closed-form expression for a lower bound in the non-comonotonic case. Finally, we derive upper bounds for Asian basket options by applying techniques as in Thompson [Fast narrow bounds on the value of Asian options, Working Paper, University of Cambridge, 1999] and Lord [Partially exact and bounded approximations for arithmetic Asian options, J. Comput. Finance 10 (2) (2006) 1-52]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and time-to-maturity.
Price dynamics in political prediction markets.
Majumder, Saikat Ray; Diermeier, Daniel; Rietz, Thomas A; Amaral, Luís A Nunes
2009-01-20
Prediction markets, in which contract prices are used to forecast future events, are increasingly applied to various domains ranging from political contests to scientific breakthroughs. However, the dynamics of such markets are not well understood. Here, we study the return dynamics of the oldest, most data-rich prediction markets, the Iowa Electronic Presidential Election "winner-takes-all" markets. As with other financial markets, we find uncorrelated returns, power-law decaying volatility correlations, and, usually, power-law decaying distributions of returns. However, unlike other financial markets, we find conditional diverging volatilities as the contract settlement date approaches. We propose a dynamic binary option model that captures all features of the empirical data and can potentially provide a tool with which one may extract true information events from a price time series.
Price dynamics in political prediction markets
Majumder, Saikat Ray; Diermeier, Daniel; Rietz, Thomas A.; Amaral, Luís A. Nunes
2009-01-01
Prediction markets, in which contract prices are used to forecast future events, are increasingly applied to various domains ranging from political contests to scientific breakthroughs. However, the dynamics of such markets are not well understood. Here, we study the return dynamics of the oldest, most data-rich prediction markets, the Iowa Electronic Presidential Election “winner-takes-all” markets. As with other financial markets, we find uncorrelated returns, power-law decaying volatility correlations, and, usually, power-law decaying distributions of returns. However, unlike other financial markets, we find conditional diverging volatilities as the contract settlement date approaches. We propose a dynamic binary option model that captures all features of the empirical data and can potentially provide a tool with which one may extract true information events from a price time series. PMID:19155442
Milne, Matthew S W; Holodinsky, Jessalyn K; Hill, Michael D; Nygren, Anders; Qiu, Chao; Goyal, Mayank; Kamal, Noreen
2017-03-01
There is uncertainty regarding the best way for patients outside of endovascular-capable or Comprehensive Stroke Centers (CSC) to access endovascular treatment for acute ischemic stroke. The role of the nonendovascular-capable Primary Stroke Centers (PSC) that can offer thrombolysis with alteplase but not endovascular treatment is unclear. A key question is whether average benefit is greater with early thrombolysis at the closest PSC before transportation to the CSC (Drip 'n Ship) or with PSC bypass and direct transport to the CSC (Mothership). Ideal transportation options were mapped based on the location of their endovascular-capable CSCs and nonendovascular-capable PSCs. Probability models for endovascular treatment were developed from the ESCAPE trial's (Endovascular Treatment for Small Core and Anterior Circulation Proximal Occlusion With Emphasis on Minimizing CT to Recanalization Times) decay curves and for alteplase treatment were extracted from the Get With The Guidelines decay curve. The time on-scene, needle-to-door-out time at the PSC, door-to-needle time at the CSC, and door-to-reperfusion time were assumed constant at 25, 20, 30, and 115 minutes, respectively. Emergency medical services transportation times were calculated using Google's Distance Matrix Application Programming Interface interfaced with MATLAB's Mapping Toolbox to create map visualizations. Maps were generated for multiple onset-to-first medical response times and door-to-needle times at the PSCs of 30, 60, and 90. These figures demonstrate the transportation option that yields the better modeled outcome in specific regions. The probability of good outcome is shown. Drip 'n Ship demonstrates that a PSC that is in close proximity to a CSC remains significant only when the PSC is able to achieve a door-to-needle time of ≤30 minutes when the CSC is also efficient. © 2017 American Heart Association, Inc.
Modelling Pasture-based Automatic Milking System Herds: Grazeable Forage Options
Islam, M. R.; Garcia, S. C.; Clark, C. E. F.; Kerrisk, K. L.
2015-01-01
One of the challenges to increase milk production in a large pasture-based herd with an automatic milking system (AMS) is to grow forages within a 1-km radius, as increases in walking distance increases milking interval and reduces yield. The main objective of this study was to explore sustainable forage option technologies that can supply high amount of grazeable forages for AMS herds using the Agricultural Production Systems Simulator (APSIM) model. Three different basic simulation scenarios (with irrigation) were carried out using forage crops (namely maize, soybean and sorghum) for the spring-summer period. Subsequent crops in the three scenarios were forage rape over-sown with ryegrass. Each individual simulation was run using actual climatic records for the period from 1900 to 2010. Simulated highest forage yields in maize, soybean and sorghum- (each followed by forage rape-ryegrass) based rotations were 28.2, 22.9, and 19.3 t dry matter/ha, respectively. The simulations suggested that the irrigation requirement could increase by up to 18%, 16%, and 17% respectively in those rotations in El-Niño years compared to neutral years. On the other hand, irrigation requirement could increase by up to 25%, 23%, and 32% in maize, soybean and sorghum based rotations in El-Nino years compared to La-Nina years. However, irrigation requirement could decrease by up to 8%, 7%, and 13% in maize, soybean and sorghum based rotations in La-Nina years compared to neutral years. The major implication of this study is that APSIM models have potentials in devising preferred forage options to maximise grazeable forage yield which may create the opportunity to grow more forage in small areas around the AMS which in turn will minimise walking distance and milking interval and thus increase milk production. Our analyses also suggest that simulation analysis may provide decision support during climatic uncertainty. PMID:25924963
SimRNAweb: a web server for RNA 3D structure modeling with optional restraints.
Magnus, Marcin; Boniecki, Michał J; Dawson, Wayne; Bujnicki, Janusz M
2016-07-08
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. © The Author(s) 2016. Published by Oxford University Press on behalf of Nucleic Acids Research.
SimRNAweb: a web server for RNA 3D structure modeling with optional restraints
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
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
Code of Federal Regulations, 2012 CFR
2012-01-01
... (REGULATION V) Pt. 222, App. H Appendix H to Part 222—Appendix H—Model Forms for Risk-Based Pricing and Credit.... Corrections or updates to telephone numbers, mailing addresses, or Web site addresses that may change...
Federal Register 2010, 2011, 2012, 2013, 2014
2013-11-18
... Immediate Effectiveness of a Proposed Rule Change Relating to Fees for the Customized Option Pricing Service... Customized Option Pricing Service (``COPS'') to add a fee for historical COPS data. The text of the proposed... is now referred to as the ``Customized Option Pricing Service''. Background COPS provides subscribers...
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…
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…
For the last time: stock options are an expense.
Bodie, Zvi; Kaplan, Robert S; Merton, Robert C
2003-03-01
Should stock options be recorded as an expense on a company's income statement and balance sheet, or should they remain where they are, relegated to footnotes? The extraordinary boom in share prices during the Internet bubble made critics of option expensing look like spoilsports. But since the crash, the debate has returned with a vengeance. And no wonder: The authors believe the case for expensing options is overwhelming. In this article, Nobel Iaureate Robert Merton, one of the inventors of the Black-Scholes option-pricing model; his coauthor on the classic textbook Finance, Zvi Bodie; and Robert Kaplan, creator of the Balanced Scorecard, examine and dismiss the principal claims put forward by those who continue to oppose options expensing. They demonstrate that stock-option grants do indeed have real cash-flow implications that need to be reported. They show that effective ways certainly exist to quantify those implications. They detail the distortions that relegating stock-option accounting to footnotes creates. And they show why reporting option costs should in no way hamper young companies in their efforts to provide incentives. Options are indeed a powerful incentive, the authors agree, and failing to record a transaction that creates such powerful effects is economically indefensible. Worse, it encourages companies to favor options over alternative incentive systems. It is not the proper role of accounting standards, the authors argue, to distort executive and employee compensation by subsidizing one particular form of compensation and no other. Companies should choose compensation methods according to their economic benefits--not the way they are reported.
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.
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
NASA Astrophysics Data System (ADS)
Canhanga, Betuel; Ni, Ying; Rančić, Milica; Malyarenko, Anatoliy; Silvestrov, Sergei
2017-01-01
After Black-Scholes proposed a model for pricing European Options in 1973, Cox, Ross and Rubinstein in 1979, and Heston in 1993, showed that the constant volatility assumption made by Black-Scholes was one of the main reasons for the model to be unable to capture some market details. Instead of constant volatilities, they introduced stochastic volatilities to the asset dynamic modeling. In 2009, Christoffersen empirically showed "why multifactor stochastic volatility models work so well". Four years later, Chiarella and Ziveyi solved the model proposed by Christoffersen. They considered an underlying asset whose price is governed by two factor stochastic volatilities of mean reversion type. Applying Fourier transforms, Laplace transforms and the method of characteristics they presented a semi-analytical formula to compute an approximate price for American options. The huge calculation involved in the Chiarella and Ziveyi approach motivated the authors of this paper in 2014 to investigate another methodology to compute European Option prices on a Christoffersen type model. Using the first and second order asymptotic expansion method we presented a closed form solution for European option, and provided experimental and numerical studies on investigating the accuracy of the approximation formulae given by the first order asymptotic expansion. In the present paper we will perform experimental and numerical studies for the second order asymptotic expansion and compare the obtained results with results presented by Chiarella and Ziveyi.
A spectral transform dynamical core option within the Community Atmosphere Model (CAM4)
Evans, Katherine J; Mahajan, Salil; Branstetter, Marcia L; McClean, Julie L.; Caron, Julie M.; Maltrud, Matthew E.; Hack, James J; Bader, David C; Neale, Rich
2014-01-01
A spectral transform dynamical core with an 85 spectral truncation resolution (T85) within the Community Atmosphere Model (CAM), version 4, is evaluated within the recently released Community Earth System Model, version 1.0 (CESM) global climate model. The spectral dynamical core option provides a well-known base within the climate model community from which to assess climate behavior and statistics, and its relative computational efficiency for smaller computing platforms allows it to be extended to perform climate length simulations using high-resolution configurations in the near term. To establish the characteristics of the CAM4 T85, an ensemble of simulations covering the present day observational period using forced sea surface temperatures and prescribed sea-ice extent are evaluated. Overall, the T85 ensemble attributes and biases are similar to a companion ensemble of simulations using the one degree finite volume (FV1) dynamical core, relative to observed and model derived datasets. Notable improvements with T85 compared to FV1 include the representation of wintertime Arctic sea level pressure and summer precipitation over the Western Indian subcontinent. The mean and spatial patterns of the land surface temperature trends over the AMIP period are generally well simulated with the T85 ensemble relative to observations, however the model is not able to capture the extent nor magnitude of changes in temperature extremes over the boreal summer, where the changes are most dramatic. Biases in the wintertime Arctic surface temperature and annual mean surface stress fields persist with T85 as with the CAM3 version of T85.
1981-01-01
portfolio response may not be trivial to changes in deposit costs, expected rates of return , variances, loan to deposit feedback rates , and risk aversion...asset markets must also be questioned. Existing price distortions in the fiuancial system, e.g., interest rate ceilings, have led to a degree of... return from real estate physical assets (approxiziated as the rate of growth of land prices ). Only the coefficient of the income variable was
Flexibility and Project Value: Interactions and Multiple Real Options
NASA Astrophysics Data System (ADS)
Čulík, Miroslav
2010-06-01
This paper is focused on a project valuation with embedded portfolio of real options including their interactions. Valuation is based on the criterion of Net Present Value on the simulation basis. Portfolio includes selected types of European-type real options: option to expand, contract, abandon and temporarily shut down and restart a project. Due to the fact, that in reality most of the managerial flexibility takes the form of portfolio of real options, selected types of options are valued not only individually, but also in combination. The paper is structured as follows: first, diffusion models for forecasting of output prices and variable costs are derived. Second, project value is estimated on the assumption, that no real options are present. Next, project value is calculated with the presence of selected European-type options; these options and their impact on project value are valued first in isolation and consequently in different combinations. Moreover, intrinsic value evolution of given real options with respect to the time of exercising is analysed. In the end, results are presented graphically; selected statistics and risk measures (Value at Risk, Expected Shortfall) of the NPV's distributions are calculated and commented.
Optimal Pricing and Advertising Policies for New Product Oligopoly Models. Revision.
1981-08-01
The problem of characterizing an optimal pricing and advertising policy over time is an important question in the field of marketing as well as in the...the effects of the learning curve phenomenon and market saturation are most pronounced. We isider first the monopoly case with linear advertising cost...Another sur- prising result i that, after the market is at least half saturated, a pulse of advertising must be preceded by a significant drop in
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.
Building political will for HIV response: an operational model and strategy options.
Brinkerhoff, Derick W
2016-10-01
As global programs for HIV response look to transfer responsibility and financing increasingly to country governments, the political will to take on these responsibilities becomes increasingly prominent. However, defining and assessing political will are problematic; it involves intent and motivation, and thus is inherently difficult to observe. It is intimately connected to capacity and is contextually embedded. This article describes an operational model of political will comprised of seven components that are observable and measurable. Two case studies illustrate the application of the model and shed light on the interconnections among commitment, capacity and context: South Africa and China. Strategy options to build political will for HIV response identify possible actions for both government and civil society. Political will as a concept is most usefully viewed as integrated within larger political and bureaucratic processes, as a product of the complex array of incentives and disincentives that those processes create. However, this conclusion is not a recipe for discouragement or inaction. Agent-based conceptualizations of policy change offer a solid grounding for building political will that supports HIV policy and programs. Copyright © 2015 John Wiley & Sons, Ltd. Copyright © 2015 John Wiley & Sons, Ltd.
Numerical modelling to assess maintenance strategy management options for a small tidal inlet
NASA Astrophysics Data System (ADS)
Shaeri, Saeed; Tomlinson, Rodger; Etemad-Shahidi, Amir; Strauss, Darrell
2017-03-01
Small tidal inlets are found to be more sensitive to anthropogenic alteration than their larger counterparts. Such alterations, although typically supported by technical design reports, sometimes require amendments or modification. One of the most suitable tools to conduct the necessary studies in this regard is numerical modelling, since the behaviour of the inlet system in response to proposed remedial actions, can easily be identified. In this paper, various alternative proposals are investigated to determine the most practical and viable option to mitigate the need for ongoing maintenance at a typical small, jettied tidal inlet. The main tool to investigate the alternatives is the hydro-sedimentological modelling of the inlet system, which was performed using the Delft3D software package. The proposed alternative entrance modifications were based upon structural alterations of the inlet system (such as a jetty extension or submerged weir) and non-structural scenarios (such as a change of the time of the dredging campaign or the deposition location of the dredged material). It was concluded that whilst a detailed study is inevitable in order to achieve a comprehensive design plan, based upon the results of this study the construction of a submerged weir at the entrance channel can satisfy the needs of most of the stakeholders, with justifiable costs over a longer period.
Price sensitive demand with random sales price - a newsboy problem
NASA Astrophysics Data System (ADS)
Sankar Sana, Shib
2012-03-01
Up to now, many newsboy problems have been considered in the stochastic inventory literature. Some assume that stochastic demand is independent of selling price (p) and others consider the demand as a function of stochastic shock factor and deterministic sales price. This article introduces a price-dependent demand with stochastic selling price into the classical Newsboy problem. The proposed model analyses the expected average profit for a general distribution function of p and obtains an optimal order size. Finally, the model is discussed for various appropriate distribution functions of p and illustrated with numerical examples.
... 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 ...
Expensing options solves nothing.
Sahlman, William A
2002-12-01
The use of stock options for executive compensation has become a lightning rod for public anger, and it's easy to see why. Many top executives grew hugely rich on the back of the gains they made on their options, profits they've been able to keep even as the value they were supposed to create disappeared. The supposed scam works like this: Current accounting regulations let companies ignore the cost of option grants on their income statements, so they can award valuable option packages without affecting reported earnings. Not charging the cost of the grants supposedly leads to overstated earnings, which purportedly translate into unrealistically high share prices, permitting top executives to realize big gains when they exercise their options. If an accounting anomaly is the problem, then the solution seems obvious: Write off executive share options against the current year's revenues. The trouble is, Sahlman writes, expensing option grants won't give us a more accurate view of earnings, won't add any information not already included in the financial statements, and won't even lead to equal treatment of different forms of executive pay. Far worse, expensing evades the real issue, which is whether compensation (options and other-wise) does what it's supposed to do--namely, help a company recruit, retain, and provide the right people with appropriate performance incentives. Any performance-based compensation system has the potential to encourage cheating. Only ethical management, sensible governance, adequate internal control systems, and comprehensive disclosure will save the investor from disaster. If, Sahlman warns, we pass laws that require the expensing of options, thinking that's fixed the fundamental flaws in corporate America's accounting, we will have missed a golden opportunity to focus on the much more extensive defects in the present system.
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.
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.
Promoting self-directed learning using a menu of assessment options: the investment model.
Rangachari, P K
2006-12-01
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 problem-solving exercises. Each option had a specific maximum mark (percentage or grade point) associated with it. Students were permitted to select any set of options to obtain their total grade for the course. From the student's perspective, the course provided a valuable learning experience and enabled them to recognize the complexities involved in the process of generating scientific information and making it useful and relevant to the public. The opportunity given to select their own assessment options enhanced their learning. For me, as the sole instructor managing 51 students, the experience was rewarding.
How Medicare could get better prices on prescription drugs.
Outterson, Kevin; Kesselheim, Aaron S
2009-01-01
Congress may reform drug pricing policies under Medicare Part D as part of a larger health reform effort. Currently, the "noninterference" provision prevents the government from negotiating drug prices on behalf of Medicare Part D prescription drug plans. Commonly considered reform proposals borrow ideas from Medicaid, either through returning dual eligibles to Medicaid drug pricing or by imposing mandatory rebates across the Part D population. We examine a menu of other options, including value-based pricing; expansion of generic and therapeutically equivalent substitution; increased formulary diversity; importation; and limited antitrust waivers. These latter options may reduce federal spending without direct government price negotiations.
NASA Astrophysics Data System (ADS)
Yang, Z.
2011-12-01
Noah-MP, which improves over the standard Noah land surface model, is unique among all land surface models in that it has multi-parameterization options (hence Noah-MP), capable of producing thousands of parameterization schemes, in addition to its improved physical realism (multi-layer snowpack, groundwater dynamics, and vegetation dynamics). All these features are critical for ensemble hydrological simulations and climate predictions at intraseasonal to decadal timescales. This talk will focus on evaluation of the Noah-MP simulations of energy, water and carbon balances for different sub-basins in the Mississippi River in comparison with various observations. The analysis is performed on daily and monthly scales spanning from January 2000 to December 2009. We will show how different runoff schemes in Noah-MP affect the scatter patterns between runoff and water table depth and between gross primary productivity and total water storage change, a type of analysis that would help us identify the relationships between key water storage terms (groundwater, soil moisture, snow) and fluxes (GPP, sensible heat, evapotranspiration, runoff). Similarly, we want to see how other options affect the patterns, such as the beta parameter (i.e. the soil moisture parameter controlling transpiration of plants), the Ball-Berry and Jarvis options for stomatal resistance, and the dynamic vegetation options (on or off). We will compare the water storage simulations from Noah-MP, observations and other model estimates, which would help determine the strengths and limitations of the Noah-MP groundwater and hydrological schemes.
2017-01-01
The U.S. Energy Information Administration's Short-Term Energy Outlook (STEO) produces monthly projections of energy supply, demand, trade, and prices over a 13-24 month period. Every January, the forecast horizon is extended through December of the following year. The STEO model is an integrated system of econometric regression equations and identities that link data on the various components of the U.S. energy industry together in order to develop consistent forecasts. The regression equations are estimated and the STEO model is solved using the EViews 9.5 econometric software package from IHS Global Inc. The model consists of various modules specific to each energy resource. All modules provide projections for the United States, and some modules provide more detailed forecasts for different regions of the country.
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.
Using the Cancer Risk Management Model to evaluate colorectal cancer screening options for Canada
Coldman, A.J.; Phillips, N.; Brisson, J.; Flanagan, W.; Wolfson, M.; Nadeau, C.; Fitzgerald, N.; Miller, A.B.
2015-01-01
Background Several screening methods for colorectal cancer (crc) are available, and some have been shown by randomized trials to be effective. In the present study, we used a well-developed population health simulation model to compare the risks and benefits of a variety of screening scenarios. Tests considered were the fecal occult blood test (fobt), the fecal immunochemical test (fit), flexible sigmoidoscopy, and colonoscopy. Outcomes considered included years of life gained, crc cases and deaths prevented, and direct health system costs. Methods A natural history model of crc was implemented and calibrated to specified targets within the framework of the Cancer Risk Management Model (crmm) from the Canadian Partnership Against Cancer. The crmm-crc permits users to enter their own parameter values or to use program-specified base values. For each of 23 screening scenarios, we used the crmm-crc to run 10 million replicate simulations. Results Using base parameter values and some user-specified values in the crmm-crc, and comparing our screening scenarios with no screening, all screening scenarios were found to reduce the incidence of and mortality from crc. The fobt was the least effective test; it was not associated with lower net cost. Colonoscopy screening was the most effective test; it had net costs comparable to those for several other strategies considered, but required more than 3 times the colonoscopy resources needed by other approaches. After colonoscopy, strategies based on the fit were predicted to be the most effective. In sensitivity analyses performed for the fobt and fit screening strategies, fobt parameter values associated with high-sensitivity formulations were associated with a substantial increase in test effectiveness. The fit was more cost-effective at the 50 ng/mL threshold than at the 100 ng/mL threshold. Conclusions The crmm-crc provides a sophisticated and flexible environment in which to evaluate crc control options. All screening
NASA Technical Reports Server (NTRS)
Bui, Trong T.
1993-01-01
New turbulence modeling options recently implemented for the 3-D version of Proteus, a Reynolds-averaged compressible Navier-Stokes code, are described. The implemented turbulence models include: the Baldwin-Lomax algebraic model, the Baldwin-Barth one-equation model, the Chien k-epsilon model, and the Launder-Sharma k-epsilon model. Features of this turbulence modeling package include: well documented and easy to use turbulence modeling options, uniform integration of turbulence models from different classes, automatic initialization of turbulence variables for calculations using one- or two-equation turbulence models, multiple solid boundaries treatment, and fully vectorized L-U solver for one- and two-equation models. Validation test cases include the incompressible and compressible flat plate turbulent boundary layers, turbulent developing S-duct flow, and glancing shock wave/turbulent boundary layer interaction. Good agreement is obtained between the computational results and experimental data. Sensitivity of the compressible turbulent solutions with the method of y(sup +) computation, the turbulent length scale correction, and some compressibility corrections are examined in detail. The test cases show that the highly optimized one-and two-equation turbulence models can be used in routine 3-D Navier-Stokes computations with no significant increase in CPU time as compared with the Baldwin-Lomax algebraic model.
NASA Technical Reports Server (NTRS)
Bui, Trong T.
1993-01-01
New turbulence modeling options recently implemented for the 3D version of Proteus, a Reynolds-averaged compressible Navier-Stokes code, are described. The implemented turbulence models include: the Baldwin-Lomax algebraic model, the Baldwin-Barth one-equation model, the Chien k-epsilon model, and the Launder-Sharma k-epsilon model. Features of this turbulence modeling package include: well documented and easy to use turbulence modeling options, uniform integration of turbulence models from different classes, automatic initialization of turbulence variables for calculations using one- or two-equation turbulence models, multiple solid boundaries treatment, and fully vectorized L-U solver for one- and two-equation models. Good agreements are obtained between the computational results and experimental data. Sensitivity of the compressible turbulent solutions with the method of y(+) computation, the turbulent length scale correction, and some compressibility corrections are examined in detail. Test cases show that the highly optimized one- and two-equation turbulence models can be used in routine 3D Navier-Stokes computations with no significant increase in CPU time as compared with the Baldwin-Lomax algebraic model.
NASA Astrophysics Data System (ADS)
Hong, S.; Park, S. K.; Choi, Y.; Myoung, B.
2013-12-01
As the importance of the land surface models (LSMs) has been increasingly magnified due to their pivotal role in the complete Earth environmental system, linking the atmosphere, hydrosphere, and biosphere, modeling accuracy at regional scales has been important to ensure better representations of increased land surface heterogeneities with the increase of spatial resolutions. However, every model has its own weaknesses induced by such problems as the reality of physical schemes by uncertain parameterizing methods and even structural unreality by simplified model designs. One of the major uncertainties is Interrelationships between implemented physical schemes and their impact on simulation accuracy. Using the new version of Noah land surface model with multi-physics option (Noah-MP) that enables to create various scheme combinations, we examined how each scheme in different scheme combinations contributes to better simulations and how their interrelationships vary with uncertain parameter changes. Targeting long term (5 year) monthly surface hydrology of Han River watershed in South Korea, we mainly explored the simulation accuracy of runoff and evapotranspiration, and additionally that of leaf area index in order to see the vegetation impact on surface water partitioning. The result indicates that the primary contributor for simulation accuracies were the schemes of surface heat exchange coefficient. These schemes are very sensitive to vegetation amount due to their different treatment of heat transfer between on bare and vegetated surface. Showing that further improvement through uncertain parameter calibration, this study also demonstrated that the combination of analyses of scheme interrelationships and parameter calibration promises improved model calibration. In addition, revealing remained uncertainty about the vegetation effect on surface energy and water partitioning, this study also showed that the scheme interrelationship analyses is useful for model
Tweya, Hannock; Keiser, Olivia; Haas, Andreas D.; Tenthani, Lyson; Phiri, Sam; Egger, Matthias; Estill, Janne
2016-01-01
Objective To estimate the cost-effectiveness of prevention of mother to child transmission (MTCT) of HIV with lifelong antiretroviral therapy (ART) for pregnant and breastfeeding women (‘Option B+’) compared to ART during pregnancy or breastfeeding only unless clinically indicated (‘Option B’). Design Mathematical modelling study of first and second pregnancy, informed by data from the Malawi Option B+ programme. Methods Individual-based simulation model. We simulated cohorts of 10,000 women and their infants during two subsequent pregnancies, including the breastfeeding period, with either Option B+ or B. We parameterised the model with data from the literature and by analysing programmatic data. We compared total costs of ante-natal and post-natal care, and lifetime costs and disability-adjusted life-years (DALYs) of the infected infants between Option B+ and Option B. Results During the first pregnancy, 15% of the infants born to HIV-infected mothers acquired the infection. With Option B+, 39% of the women were on ART at the beginning of the second pregnancy, compared to 18% with Option B. For second pregnancies, the rates MTCT were 11.3% with Option B+ and 12.3% with Option B. The incremental cost-effectiveness ratio comparing the two options ranged between about US$ 500 and US$ 1300 per DALY averted. Conclusion Option B+ prevents more vertical transmissions of HIV than Option B, mainly because more women are already on ART at the beginning of the next pregnancy. Option B+ is a cost-effective strategy for PMTCT if the total future costs and lost lifetime of the infected infants are taken into account. PMID:26691682
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.
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
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
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.
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)
Felder, Stefan
2004-12-01
Drug price differences across national markets as they exist in the EU are often justified by the concept of Ramsey prices: with fixed costs for R&D, the optimal mark-ups on marginal costs are inversely related to the price elasticity in the individual markets. This well-known result prevails if consumer moral hazard is taken into account. Contrary to the situation without moral hazard, the uniform price does not necessarily dominate discriminatory pricing in welfare terms. The two-part tariff is a better alternative as it allows governments to address moral hazard. A uniform price combined with lump-payments reflecting differences in the willingness to pay and the moral hazard in member states appears to be an attractive option for a common EU drug market.
NASA Astrophysics Data System (ADS)
Giri, B. C.; Maiti, T.
2013-05-01
This article develops a single-manufacturer and single-retailer supply chain model under two-level permissible delay in payments when the manufacturer follows a lot-for-lot policy in response to the retailer's demand. The manufacturer offers a trade credit period to the retailer with the contract that the retailer must share a fraction of the profit earned during the trade credit period. On the other hand, the retailer provides his customer a partial trade credit which is less than that of the manufacturer. The demand at the retailer is assumed to be dependent on the selling price and the trade credit period offered to the customers. The average net profit of the supply chain is derived and an algorithm for finding the optimal solution is developed. Numerical examples are given to demonstrate the coordination policy of the supply chain and examine the sensitivity of key model-parameters.
NASA Astrophysics Data System (ADS)
Liu, Zhiyuan; Meng, Qiang
2014-05-01
This paper focuses on modelling the network flow equilibrium problem on a multimodal transport network with bus-based park-and-ride (P&R) system and congestion pricing charges. The multimodal network has three travel modes: auto mode, transit mode and P&R mode. A continuously distributed value-of-time is assumed to convert toll charges and transit fares to time unit, and the users' route choice behaviour is assumed to follow the probit-based stochastic user equilibrium principle with elastic demand. These two assumptions have caused randomness to the users' generalised travel times on the multimodal network. A comprehensive network framework is first defined for the flow equilibrium problem with consideration of interactions between auto flows and transit (bus) flows. Then, a fixed-point model with unique solution is proposed for the equilibrium flows, which can be solved by a convergent cost averaging method. Finally, the proposed methodology is tested by a network example.
Pitt, Allison; Bendavid, Eran
2017-01-01
Introduction There are large differences in the burden and health implications of obesity by race and gender in the US. It is unclear to what extent policies modifying caloric consumption change the distribution of the burden of obesity and related health outcomes. Meat is a large component of the American diet. We investigate how changing meat prices (that may result from policies or from exogenous factors that reduce supply) might impact the burden of obesity by race and gender. Methods We construct a microsimulation model that evaluates the 15-year body-mass index (BMI) and mortality impact of changes in meat price (5, 10, 25, and 50% increase) in the US adult population stratified by age, gender, race, and BMI. Results Under each price change evaluated, relative to the status quo, white males, black males, and black females are expected to realize more dramatic reduction in 2030 obesity prevalence than white females. Life expectancy gains are also projected to differ by subpopulation, with black males far less likely to benefit from an increase in meat prices than other groups. Conclusions Changing meat prices has considerable potential to affect population health differently by race and gender. In designing interventions that alter the price of foods to consumers, it is not sufficient to assess health effects based solely on the population as a whole, since differential effects across subpopulations may be substantial. PMID:28045931
Pitt, Allison; Bendavid, Eran
2017-01-01
There are large differences in the burden and health implications of obesity by race and gender in the US. It is unclear to what extent policies modifying caloric consumption change the distribution of the burden of obesity and related health outcomes. Meat is a large component of the American diet. We investigate how changing meat prices (that may result from policies or from exogenous factors that reduce supply) might impact the burden of obesity by race and gender. We construct a microsimulation model that evaluates the 15-year body-mass index (BMI) and mortality impact of changes in meat price (5, 10, 25, and 50% increase) in the US adult population stratified by age, gender, race, and BMI. Under each price change evaluated, relative to the status quo, white males, black males, and black females are expected to realize more dramatic reduction in 2030 obesity prevalence than white females. Life expectancy gains are also projected to differ by subpopulation, with black males far less likely to benefit from an increase in meat prices than other groups. Changing meat prices has considerable potential to affect population health differently by race and gender. In designing interventions that alter the price of foods to consumers, it is not sufficient to assess health effects based solely on the population as a whole, since differential effects across subpopulations may be substantial.
NASA Astrophysics Data System (ADS)
Berg, Matthew; Hartley, Brian; Richters, Oliver
2015-01-01
By synthesizing stock-flow consistent models, input-output models, and aspects of ecological macroeconomics, a method is developed to simultaneously model monetary flows through the financial system, flows of produced goods and services through the real economy, and flows of physical materials through the natural environment. This paper highlights the linkages between the physical environment and the economic system by emphasizing the role of the energy industry. A conceptual model is developed in general form with an arbitrary number of sectors, while emphasizing connections with the agent-based, econophysics, and complexity economics literature. First, we use the model to challenge claims that 0% interest rates are a necessary condition for a stationary economy and conduct a stability analysis within the parameter space of interest rates and consumption parameters of an economy in stock-flow equilibrium. Second, we analyze the role of energy price shocks in contributing to recessions, incorporating several propagation and amplification mechanisms. Third, implied heat emissions from energy conversion and the effect of anthropogenic heat flux on climate change are considered in light of a minimal single-layer atmosphere climate model, although the model is only implicitly, not explicitly, linked to the economic model.
Assessment of optional sediment transport functions via the complex watershed simulation model SWAT
USDA-ARS?s Scientific Manuscript database
The Soil and Water Assessment Tool 2012 (SWAT2012) offers four sediment routing methods as optional alternatives to the default simplified Bagnold method. Previous studies compared only one of these alternative sediment routing methods with the default method. The proposed study evaluated the impac...
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…
Electric retail market options: The customer perspective
Hadley, S.W.; Hillsman, E.L.
1995-07-01
This report describes various options that are now available for retail electric customers, or that may become available during the next few years as the electric utility industry restructures. These options include different ways of meeting demand for energy services, different providers of service or points of contact with providers, and different pricing structures for purchased services. Purpose of this document is to examine these options from the customer`s perspective: how might being a retail electric customer in 5--10 years differ from now? Seizing opportunities to reduce cost of electric service is likely to entail working with different service providers; thus, transaction costs are involved. Some of the options considered are speculative. Some transitional options include relocation, customer-built/operated transmission lines, municipalization, self-generation, and long-term contracts with suppliers. All these may change or diminish in a restructured industry. Brokers seem likely to become more common unless restructuring takes the form of mandatory poolcos (wholesale). Some options appear robust, ie, they are likely to become more common regardless of how restructuring is accomplished: increased competition among energy carriers (gas vs electric), real-time pricing, etc. This report identified some of the qualitative differences among the various options. For customers using large amounts of electricity, different alternatives are likely to affect greatly service price, transaction costs, tailoring service to customer preferences, and risks for customer. For retail customers using small amounts of electricity, there may be little difference among the options except service price.
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.
Modelling the returns on options for improving malaria case management in Ethiopia.
Gaumer, Gary; Zeng, Wu; Nandakumar, Allyala Krishna
2014-12-01
Diverse opinions have emerged about the best way to scale up malaria interventions. Three controversies seem most important: (1) should the scale-up focus on a broader target of febrile illness (including infectious disease and pneumonia)? (2) should the scale-up feature a single intervention or be targeted to the situation? (3) should scale-up have a preference for one kind of delivery mechanism or another? A decision model of 576 nodes describes the patterns of access, treatment and outcomes of an episode of febrile illness for a child below 5 years. Incremental costs and outcomes relative to baseline (2010) are computed for particular scenarios for Ethiopia using data from the literature. Two perspectives define the relevant costs: society at large and financiers (government and donors) where the costs borne by households are not included. Scaling up malaria interventions by one means or another is a very inexpensive way of saving young lives in poor countries. The low cost per life saved stems from two main reasons: the excessive baseline costs of presumptive use of antimalarial drugs for non-malaria cases, and the excessive costs of delayed treatment of pneumonia. A very limited policy of supplying antibiotics to facilities to eliminate stockouts would save 2100 lives, at a cost of only $615 a life. A much broader programme option, bundling malaria and pneumonia together for patients presenting with febrile illness [including rapid diagnostic test (RDT) for malaria, respiratory rate timers (RRTs) and free antibiotics], would save tens of thousands of young lives at and still cost society less than child fever management in the baseline situation! It is not clear that scale-up via community health workers (CHWs) is to be preferred to a facility-based intervention. The delivery through CHWs allows for a broader coverage of using RDT and RRT, but with limited effectiveness due to limited skills of CHWs in treating and managing patients. Published by Oxford