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

PubMed Central

Popescu, Dan M.; Lipan, Ovidiu

2015-01-01

We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula’s theorem, which states that a truncated model may exhibit poor statistical properties, we show that for a third-order Kramers-Moyal truncation model of an option’s and its underlier’s price, important properties emerge: (i) the option price can be written in a closed analytical form that involves the Airy function, (ii) the price is a positive function for positive skewness in the distribution, (iii) for negative skewness, the price becomes negative only for price values that are close to zero. Moreover, using third-order noise in option valuation reveals additional properties: (iv) the inconsistencies between two popular option pricing approaches (using a “delta-hedged” portfolio and using an option replicating portfolio) that are otherwise equivalent up to the second moment, (v) the ability to develop a measure R of how accurately an option can be replicated by a mixture of the underlying stocks and cash, (vi) further limitations of second-order models revealed by introducing third-order noise. PMID:25625856

Time-changed geometric fractional Brownian motion and option pricing with transaction costs

NASA Astrophysics Data System (ADS)

Gu, Hui; Liang, Jin-Rong; Zhang, Yun-Xiu

2012-08-01

This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black-Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is obtained.

A 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.

A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model

NASA Astrophysics Data System (ADS)

Hozman, J.; Tichý, T.

2017-12-01

Stochastic volatility models enable to capture the real world features of the options better than the classical Black-Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.

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.

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.

Pricing geometric Asian rainbow options under fractional Brownian motion

NASA Astrophysics Data System (ADS)

Wang, Lu; Zhang, Rong; Yang, Lin; Su, Yang; Ma, Feng

2018-03-01

In this paper, we explore the pricing of the assets of Asian rainbow options under the condition that the assets have self-similar and long-range dependence characteristics. Based on the principle of no arbitrage, stochastic differential equation, and partial differential equation, we obtain the pricing formula for two-asset rainbow options under fractional Brownian motion. Next, our Monte Carlo simulation experiments show that the derived pricing formula is accurate and effective. Finally, our sensitivity analysis of the influence of important parameters, such as the risk-free rate, Hurst exponent, and correlation coefficient, on the prices of Asian rainbow options further illustrate the rationality of our pricing model.

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.

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.

The Pricing of European Options Under the Constant Elasticity of Variance with Stochastic Volatility

NASA Astrophysics Data System (ADS)

Bock, Bounghun; Choi, Sun-Yong; Kim, Jeong-Hoon

This paper considers a hybrid risky asset price model given by a constant elasticity of variance multiplied by a stochastic volatility factor. A multiscale analysis leads to an asymptotic pricing formula for both European vanilla option and a Barrier option near the zero elasticity of variance. The accuracy of the approximation is provided in a rigorous manner. A numerical experiment for implied volatilities shows that the hybrid model improves some of the well-known models in view of fitting the data for different maturities.

Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model

PubMed Central

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

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.

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 parabolic variational inequality arising from the valuation of strike reset options

NASA Astrophysics Data System (ADS)

Yang, Zhou; Yi, Fahuai; Dai, Min

A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a one-dimensional parabolic variational inequality, or equivalently, a free boundary problem, where the free boundary just corresponds to the optimal reset strategy adopted by the holder of the option. This paper is concerned with the theoretical analysis of the model. The existence and uniqueness of the solution are established. Furthermore, we study properties of the free boundary. The monotonicity and C smoothness of the free boundary are proven in some situations.

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

NASA Astrophysics Data System (ADS)

Klibanov, Michael V.; Kuzhuget, Andrey V.; Golubnichiy, Kirill V.

2016-01-01

A new empirical mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock, new initial and new boundary conditions. Conventional notions of maturity time and strike prices are not used. The Black-Scholes equation is solved as a parabolic equation with the reversed time, which is an ill-posed problem. Thus, a regularization method is used to solve it. To verify the validity of our model, real market data for 368 randomly selected liquid options are used. A new trading strategy is proposed. Our results indicates that our method is profitable on those options. Furthermore, it is shown that the performance of two simple extrapolation-based techniques is much worse. We conjecture that our method might lead to significant profits of those financial insitutions which trade large amounts of options. We caution, however, that further studies are necessary to verify this conjecture.

Valuing natural gas power generation assets in the new competitive marketplace

NASA Astrophysics Data System (ADS)

Hsu, Michael Chun-Wei

1999-10-01

The profitability of natural gas fired power plants depends critically on the spread between electricity and natural gas prices. The price levels of these two energy commodities are the key uncertain variables in determining the operating margin and therefore the value of a power plant. The owner of a generation unit has the decision of dispatching the plant only when profit margins are positive. This operating flexibility is a real option with real value. In this dissertation I introduce the spark spread call options and illustrate how such paper contracts replicate the uncertain payoff space facing power asset owners and, therefore, how the financial options framework can be applied in estimating the value of natural gas generation plants. The intrinsic value of gas power plants is approximated as the sum of a series of spark spread call options with succeeding maturity dates. The Black-Scholes spread option pricing model, with volatility and correlation term structure adjustments, is utilized to price the spark spread options. Sensitivity analysis is also performed on the BS spread option formulation to compare different asset types. In addition I explore the potential of using compound and compound-exchange option concepts to evaluate, respectively, the benefits of delaying investment in new generation and in repowering existing antiquated units. The compound option designates an option on top of another option. In this case the series of spark spread call options is the 'underlying' option while the option to delay new investments is the 'overlying.' The compound-exchange option characterizes the opportunity to 'exchange' the old power plant, with its series of spark spread call options, for a set of new spark spread call options that comes with the new generation unit. The strike price of the compound-exchange option is the repowering capital investment and typically includes the purchase of new steam generators and combustion turbines, as well as other facility upgrades. The pricing results using the proposed repowering option approach is compared to the sale prices from recent power plant auctions. Sensitivity of the repowering option model is also examined and the critical parameters al parameters identified.

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.

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.

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

NASA Astrophysics Data System (ADS)

Utama, Briandhika; Purqon, Acep

2016-08-01

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

Using Priced Options to Solve the Exposure Problem in Sequential Auctions

NASA Astrophysics Data System (ADS)

Mous, Lonneke; Robu, Valentin; La Poutré, Han

This paper studies the benefits of using priced options for solving the exposure problem that bidders with valuation synergies face when participating in multiple, sequential auctions. We consider a model in which complementary-valued items are auctioned sequentially by different sellers, who have the choice of either selling their good directly or through a priced option, after fixing its exercise price. We analyze this model from a decision-theoretic perspective and we show, for a setting where the competition is formed by local bidders, that using options can increase the expected profit for both buyers and sellers. Furthermore, we derive the equations that provide minimum and maximum bounds between which a synergy buyer's bids should fall in order for both sides to have an incentive to use the options mechanism. Next, we perform an experimental analysis of a market in which multiple synergy bidders are active simultaneously.

Estimation and prediction under local volatility jump-diffusion model

NASA Astrophysics Data System (ADS)

Kim, Namhyoung; Lee, Younhee

2018-02-01

Volatility is an important factor in operating a company and managing risk. In the portfolio optimization and risk hedging using the option, the value of the option is evaluated using the volatility model. Various attempts have been made to predict option value. Recent studies have shown that stochastic volatility models and jump-diffusion models reflect stock price movements accurately. However, these models have practical limitations. Combining them with the local volatility model, which is widely used among practitioners, may lead to better performance. In this study, we propose a more effective and efficient method of estimating option prices by combining the local volatility model with the jump-diffusion model and apply it using both artificial and actual market data to evaluate its performance. The calibration process for estimating the jump parameters and local volatility surfaces is divided into three stages. We apply the local volatility model, stochastic volatility model, and local volatility jump-diffusion model estimated by the proposed method to KOSPI 200 index option pricing. The proposed method displays good estimation and prediction performance.

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.

Oscillatory Reduction in Option Pricing Formula Using Shifted Poisson and Linear Approximation

NASA Astrophysics Data System (ADS)

Nur Rachmawati, Ro'fah; Irene; Budiharto, Widodo

2014-03-01

Option is one of derivative instruments that can help investors improve their expected return and minimize the risks. However, the Black-Scholes formula is generally used in determining the price of the option does not involve skewness factor and it is difficult to apply in computing process because it produces oscillation for the skewness values close to zero. In this paper, we construct option pricing formula that involve skewness by modified Black-Scholes formula using Shifted Poisson model and transformed it into the form of a Linear Approximation in the complete market to reduce the oscillation. The results are Linear Approximation formula can predict the price of an option with very accurate and successfully reduce the oscillations in the calculation processes.

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.

Age Differences in Consumer Decision Making under Option Framing: From the Motivation Perspective

PubMed Central

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

Age Differences in Consumer Decision Making under Option Framing: From the Motivation Perspective.

PubMed

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.

The valuation of currency options by fractional Brownian motion.

PubMed

Shokrollahi, Foad; Kılıçman, Adem

2016-01-01

This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. In addition, some properties of our pricing formula and simulation studies are presented, which demonstrate that the FBM model is easy to use.

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.

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.

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.

Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion

NASA Astrophysics Data System (ADS)

Zhang, Wei-Guo; Li, Zhe; Liu, Yong-Jun

2018-01-01

In this paper, we study the pricing problem of the continuously monitored fixed and floating strike geometric Asian power options in a mixed fractional Brownian motion environment. First, we derive both closed-form solutions and mixed fractional partial differential equations for fixed and floating strike geometric Asian power options based on delta-hedging strategy and partial differential equation method. Second, we present the lower and upper bounds of the prices of fixed and floating strike geometric Asian power options under the assumption that both risk-free interest rate and volatility are interval numbers. Finally, numerical studies are performed to illustrate the performance of our proposed pricing model.

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.

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.

Confidence limits for data mining models of options prices

NASA Astrophysics Data System (ADS)

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

2004-12-01

Non-parametric methods such as artificial neural nets can successfully model prices of financial options, out-performing the Black-Scholes analytic model (Eur. Phys. J. B 27 (2002) 219). However, the accuracy of such approaches is usually expressed only by a global fitting/error measure. This paper describes a robust method for determining prediction intervals for models derived by non-linear regression. We have demonstrated it by application to a standard synthetic example (29th Annual Conference of the IEEE Industrial Electronics Society, Special Session on Intelligent Systems, pp. 1926-1931). The method is used here to obtain prediction intervals for option prices using market data for LIFFE “ESX” FTSE 100 index options ( http://www.liffe.com/liffedata/contracts/month_onmonth.xls). We avoid special neural net architectures and use standard regression procedures to determine local error bars. The method is appropriate for target data with non constant variance (or volatility).

path integral approach to closed form pricing formulas in the Heston framework.

NASA Astrophysics Data System (ADS)

Lemmens, Damiaan; Wouters, Michiel; Tempere, Jacques; Foulon, Sven

2008-03-01

We present a path integral approach for finding closed form formulas for option prices in the framework of the Heston model. The first model for determining option prices was the Black-Scholes model, which assumed that the logreturn followed a Wiener process with a given drift and constant volatility. To provide a realistic description of the market, the Black-Scholes results must be extended to include stochastic volatility. This is achieved by the Heston model, which assumes that the volatility follows a mean reverting square root process. Current applications of the Heston model are hampered by the unavailability of fast numerical methods, due to a lack of closed-form formulae. Therefore the search for closed form solutions is an essential step before the qualitatively better stochastic volatility models will be used in practice. To attain this goal we outline a simplified path integral approach yielding straightforward results for vanilla Heston options with correlation. Extensions to barrier options and other path-dependent option are discussed, and the new derivation is compared to existing results obtained from alternative path-integral approaches (Dragulescu, Kleinert).

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.

A real options approach to clinical faculty salary structure.

PubMed

Kahn, Marc J; Long, Hugh W

2012-01-01

One can use the option theory model originally developed to price financial opportunities in security markets to analyze many other economic arrangements such as the salary structures of clinical faculty in an academic medical center practice plan. If one views the underlying asset to be the portion (labeled "salary") of the economic value of the collections made for the care provided patients by the physician, then a salary guarantee can be considered a put option provided the physician, the guarantee having value to the physician only when the actual salary earned is less than the salary guarantee. Similarly, within an incentive plan, a salary cap can be thought of as a call option provided to the practice plan since a salary cap only has value to the practice plan when a physician's earnings exceed the cap. Further, based on analysis of prior earnings, the Black-Scholes options pricing model can be used both to price each option and to determine a financially neutral balance between a salary guarantee and a salary cap by equating the prices of the implied put and call options. We suggest that such analysis is superior to empirical methods for setting clinical faculty salary structure in the academic practice plan setting.

Binomial tree method for pricing a regime-switching volatility stock loans

NASA Astrophysics Data System (ADS)

Putri, Endah R. M.; Zamani, Muhammad S.; Utomo, Daryono B.

2018-03-01

Binomial model with regime switching may represents the price of stock loan which follows the stochastic process. Stock loan is one of alternative that appeal investors to get the liquidity without selling the stock. The stock loan mechanism resembles that of American call option when someone can exercise any time during the contract period. From the resembles both of mechanism, determination price of stock loan can be interpreted from the model of American call option. The simulation result shows the behavior of the price of stock loan under a regime-switching with respect to various interest rate and maturity.

Pricing Employee Stock Options (ESOs) with Random Lattice

NASA Astrophysics Data System (ADS)

Chendra, E.; Chin, L.; Sukmana, A.

2018-04-01

Employee Stock Options (ESOs) are stock options granted by companies to their employees. Unlike standard options that can be traded by typical institutional or individual investors, employees cannot sell or transfer their ESOs to other investors. The sale restrictions may induce the ESO’s holder to exercise them earlier. In much cited paper, Hull and White propose a binomial lattice in valuing ESOs which assumes that employees will exercise voluntarily their ESOs if the stock price reaches a horizontal psychological barrier. Due to nonlinearity errors, the numerical pricing results oscillate significantly so they may lead to large pricing errors. In this paper, we use the random lattice method to price the Hull-White ESOs model. This method can reduce the nonlinearity error by aligning a layer of nodes of the random lattice with a psychological barrier.

Numerical methods on European option second order asymptotic expansions for multiscale stochastic volatility

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.

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

NASA Astrophysics Data System (ADS)

Baaquie, Belal E.

2007-01-01

European options on coupon bonds are studied in a quantum field theory model of forward interest rates. Swaptions are briefly reviewed. An approximation scheme for the coupon bond option price is developed based on the fact that the volatility of the forward interest rates is a small quantity. The field theory for the forward interest rates is Gaussian, but when the payoff function for the coupon bond option is included it makes the field theory nonlocal and nonlinear. A perturbation expansion using Feynman diagrams gives a closed form approximation for the price of coupon bond option. A special case of the approximate bond option is shown to yield the industry standard one-factor HJM formula with exponential volatility.

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

PubMed

Baaquie, Belal E

2007-01-01

European options on coupon bonds are studied in a quantum field theory model of forward interest rates. Swaptions are briefly reviewed. An approximation scheme for the coupon bond option price is developed based on the fact that the volatility of the forward interest rates is a small quantity. The field theory for the forward interest rates is Gaussian, but when the payoff function for the coupon bond option is included it makes the field theory nonlocal and nonlinear. A perturbation expansion using Feynman diagrams gives a closed form approximation for the price of coupon bond option. A special case of the approximate bond option is shown to yield the industry standard one-factor HJM formula with exponential volatility.

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

NASA Astrophysics Data System (ADS)

Baaquie, Belal E.; Liang, Cui

2007-01-01

The quantum finance pricing formulas for coupon bond options and swaptions derived by Baaquie [Phys. Rev. E 75, 016703 (2006)] are reviewed. We empirically study the swaption market and propose an efficient computational procedure for analyzing the data. Empirical results of the swaption price, volatility, and swaption correlation are compared with the predictions of quantum finance. The quantum finance model generates the market swaption price to over 90% accuracy.

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

PubMed

Baaquie, Belal E; Liang, Cui

2007-01-01

The quantum finance pricing formulas for coupon bond options and swaptions derived by Baaquie [Phys. Rev. E 75, 016703 (2006)] are reviewed. We empirically study the swaption market and propose an efficient computational procedure for analyzing the data. Empirical results of the swaption price, volatility, and swaption correlation are compared with the predictions of quantum finance. The quantum finance model generates the market swaption price to over 90% accuracy.

5 CFR 591.213 - What prices does OPM collect?

Code of Federal Regulations, 2010 CFR

2010-01-01

... time of the survey. The price includes any sales, excise, or general business tax passed on to the...-business prices, or area-wide distress sale prices. (2) OPM prices automobiles at dealers and obtains the sticker (i.e., non-negotiated) price for the model and specified options. The prices are the manufacturer...

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.

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…

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.

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.

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 solution of our general quantum model of option pricing.

A Real Options Approach to Valuing the Risk Transfer in a Multi-Year Procurement Contract

DTIC Science & Technology

2009-10-01

asset follows a Brownian motion process where the returns have a lognormal distribution. H. BLACK-SCHOLES MODEL The value of the put option p on...risk in a firm-fixed-price contract. The government also provides interest-free financing that can greatly reduce the amount of capital a contractor...structured finance and credit default swap applications. 8 E. OPTIONS THEORY We will use closed form BS-type option pricing methods to estimate the

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

NASA Astrophysics Data System (ADS)

Abdullah, Mimi Hafizah; Harun, Hanani Farhah

2014-10-01

Volatility implied by an option pricing model is seen as the market participants' assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study examines the implied volatility smiles and term structures in the Australian S&P/ASX 200 index options from the year 2001 to 2010, which covers the global financial crisis in the mid-2007 until the end of 2008. The results show that the implied volatility rises significantly during the crisis period, which is three time the rate before crisis.

An approach to quantify the heat wave strength and price a heat derivative for risk hedging

NASA Astrophysics Data System (ADS)

Shen, Samuel S. P.; Kramps, Benedikt; Sun, Shirley X.; Bailey, Barbara

2012-01-01

Mitigating the heat stress via a derivative policy is a vital financial option for agricultural producers and other business sectors to strategically adapt to the climate change scenario. This study has provided an approach to identifying heat stress events and pricing the heat stress weather derivative due to persistent days of high surface air temperature (SAT). Cooling degree days (CDD) are used as the weather index for trade. In this study, a call-option model was used as an example for calculating the price of the index. Two heat stress indices were developed to describe the severity and physical impact of heat waves. The daily Global Historical Climatology Network (GHCN-D) SAT data from 1901 to 2007 from the southern California, USA, were used. A major California heat wave that occurred 20-25 October 1965 was studied. The derivative price was calculated based on the call-option model for both long-term station data and the interpolated grid point data at a regular 0.1°×0.1° latitude-longitude grid. The resulting comparison indicates that (a) the interpolated data can be used as reliable proxy to price the CDD and (b) a normal distribution model cannot always be used to reliably calculate the CDD price. In conclusion, the data, models, and procedures described in this study have potential application in hedging agricultural and other risks.

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.

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.

Quantum finance Hamiltonian for coupon bond European and barrier options.

PubMed

Baaquie, Belal E

2008-03-01

Coupon bond European and barrier options are financial derivatives that can be analyzed in the Hamiltonian formulation of quantum finance. Forward interest rates are modeled as a two-dimensional quantum field theory and its Hamiltonian and state space is defined. European and barrier options are realized as transition amplitudes of the time integrated Hamiltonian operator. The double barrier option for a financial instrument is "knocked out" (terminated with zero value) if the price of the underlying instrument exceeds or falls below preset limits; the barrier option is realized by imposing boundary conditions on the eigenfunctions of the forward interest rates' Hamiltonian. The price of the European coupon bond option and the zero coupon bond barrier option are calculated. It is shown that, is general, the constraint function for a coupon bond barrier option can -- to a good approximation -- be linearized. A calculation using an overcomplete set of eigenfunctions yields an approximate price for the coupon bond barrier option, which is given in the form of an integral of a factor that results from the barrier condition times another factor that arises from the payoff function.

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.

The pricing of European options on two underlying assets with delays

NASA Astrophysics Data System (ADS)

Lin, Lisha; Li, Yaqiong; Wu, Jing

2018-04-01

In the paper, the pricing of European options on two underlying assets with delays is discussed. By using the approach of equivalent martingale measure transformation, the market is proved to be complete. With exchange option as a particular example, we obtain the explicit pricing formula in a subinterval of option period. The robust Euler-Maruyama method is combined with the Monte Carlo simulation to compute exchange option prices within the whole option period. Numerical experiments indicate that there is an increasing possibility of the difference between the delayed and Black-Scholes option prices with the increase of delay.

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.

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.

On CAPM and Black-Scholes differing risk-return strategies

NASA Astrophysics Data System (ADS)

McCauley, Joseph L.; Gunaratne, Gemunu H.

2003-11-01

In their path-finding 1973 paper, Black and Scholes presented two separate derivations of their famous option pricing partial differential equation. The second derivation was from the standpoint that was Black's original motivation, namely, the capital asset pricing model (CAPM). We show here, in contrast, that the option valuation is not uniquely determined; in particular, strategies based on the delta-hedge and CAPM provide different valuations of an option although both hedges are instantaneouly riskfree. Second, we show explicitly that CAPM is not, as economists claim, an equilibrium theory.

48 CFR 52.222-43 - Fair Labor Standards Act and Service Contract Act-Price Adjustment (Multiple Year and Option...

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 both...

Study on Amortization Time and Rationality in Real Estate Investment

NASA Astrophysics Data System (ADS)

Li, Yancang; Zhou, Shujing; Suo, Juanjuan

Amortization time and rationality has been discussed a lot in real estate investment research. As the price of real estate is driven by Geometric Brown Motion (GBM), whether the mortgagors should amortize in advance has become a key issue in amortization time research. This paper presents a new method to solve the problem by using the optimal stopping time theory and option pricing theory models. We discuss the option value in amortizing decision based on this model. A simulation method is used to test this method.

A non-Gaussian option pricing model based on Kaniadakis exponential deformation

NASA Astrophysics Data System (ADS)

Moretto, Enrico; Pasquali, Sara; Trivellato, Barbara

2017-09-01

A way to make financial models effective is by letting them to represent the so called "fat tails", i.e., extreme changes in stock prices that are regarded as almost impossible by the standard Gaussian distribution. In this article, the Kaniadakis deformation of the usual exponential function is used to define a random noise source in the dynamics of price processes capable of capturing such real market phenomena.

Continuous time Black-Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime

NASA Astrophysics Data System (ADS)

Wang, Jun; Liang, Jin-Rong; Lv, Long-Jin; Qiu, Wei-Yuan; Ren, Fu-Yao

2012-02-01

In this paper, we study the problem of continuous time option pricing with transaction costs by using the homogeneous subdiffusive fractional Brownian motion (HFBM) Z(t)=X(Sα(t)), 0<α<1, here dX(τ)=μX(τ)(2H+σX(τ)dBH(τ), as a model of asset prices, which captures the subdiffusive characteristic of financial markets. We find the corresponding subdiffusive Black-Scholes equation and the Black-Scholes formula for the fair prices of European option, the turnover and transaction costs of replicating strategies. We also give the total transaction costs.

Option Pricing with a Levy-Type Stochastic Dynamic Model for Stock Price Process Under Semi-Markovian Structural Perturbations

DTIC Science & Technology

2015-11-30

of interest are currently being investigated: (1) an evaluation of the effects of the backward recurrence time, the sojourn time distribution and the...Statistical Mechanics and Its Applications 407, 350–359. W. Schachermayer (2010) Fundamental theorem of asset pricing, Encyclopedia of Quanti - tative

77 FR 7225 - Self-Regulatory Organizations; EDGA Exchange, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-02-10

... particular venue to be excessive. The proposed rule change reflects a competitive pricing structure designed... BATS + NYSE Arca destination specific routing option to continue to offer a ``one under'' pricing model... exchange that is routed to plus or minus a certain differential. EDGA's pricing is consistent with this...

48 CFR 552.217-70 - Evaluation of Options.

Code of Federal Regulations, 2010 CFR

2010-10-01

... 48 Federal Acquisition Regulations System 4 2010-10-01 2010-10-01 false Evaluation of Options. 552... Evaluation of Options. As prescribed in 517.208(a), insert the following provision: Evaluation of Options... period price. When option year pricing is based on a formula (e.g., changes in the Producer Price Index...

Financial methods in competitive electricity markets

NASA Astrophysics Data System (ADS)

Deng, Shijie

The restructuring of electric power industry has become a global trend. As reforms to the electricity supply industry spread rapidly across countries and states, many political and economical issues arise as a result of people debating over which approach to adopt in restructuring the vertically integrated electricity industry. This dissertation addresses issues of transmission pricing, electricity spot price modeling, as well as risk management and asset valuation in a competitive electricity industry. A major concern in the restructuring of the electricity industries is the design of a transmission pricing scheme that will ensure open-access to the transmission networks. I propose a priority-pricing scheme for zonal access to the electric power grid that is uniform across all buses in each zone. The Independent System Operator (ISO) charges bulk power traders a per unit ex ante transmission access fee based on the expected option value of the generated power with respect to the random zonal spot prices. The zonal access fee depends on the injection zone and a self-selected strike price determining the scheduling priority of the transaction. Inter zonal transactions are charged (or credited) with an additional ex post congestion fee that equals the zonal spot price difference. The unit access fee entitles a bulk power trader to either physical injection of one unit of energy or a compensation payment that equals to the difference between the realized zonal spot price and the selected strike price. The ISO manages congestion so as to minimize net compensation payments and thus, curtailment probabilities corresponding to a particular strike price may vary by bus. The rest of the dissertation deals with the issues of modeling electricity spot prices, pricing electricity financial instruments and the corresponding risk management applications. Modeling the spot prices of electricity is important for the market participants who need to understand the risk factors in pricing electricity financial instruments such as electricity forwards, options and cross-commodity derivatives. It is also essential for the analysis of financial risk management, asset valuation, and project financing. In the setting of diffusion processes with multiple types of jumps, I examine three mean-reversion models for modeling the electricity spot prices. I impose some structure on the coefficients of the diffusion processes, which allows me to easily compute the prices of contingent claims (or, financial instruments) on electricity by Fourier methods. I derive the pricing formulas for various electricity derivatives and examine how the prices vary with different modeling assumptions. I demonstrate a couple of risk management applications of the electricity financial instruments. I also construct a real options approach to value electric power generation and transmission assets both with and without accounting for the operating characteristics of the assets. The implications of the mean-reversion jump-diffusion models on financial risk management and real asset valuation in competitive electricity markets are illustrated. With a discrete trinomial lattice modeling the underlying commodity prices, I estimate the effects of operational characteristics on the asset valuation by means of numerical examples that incorporate these aspects using stochastic dynamic programming. (Abstract shortened by UMI.)

Stochastic volatility models and Kelvin waves

NASA Astrophysics Data System (ADS)

Lipton, Alex; Sepp, Artur

2008-08-01

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

Investigation of non-Gaussian effects in the Brazilian option market

NASA Astrophysics Data System (ADS)

Sosa-Correa, William O.; Ramos, Antônio M. T.; Vasconcelos, Giovani L.

2018-04-01

An empirical study of the Brazilian option market is presented in light of three option pricing models, namely the Black-Scholes model, the exponential model, and a model based on a power law distribution, the so-called q-Gaussian distribution or Tsallis distribution. It is found that the q-Gaussian model performs better than the Black-Scholes model in about one third of the option chains analyzed. But among these cases, the exponential model performs better than the q-Gaussian model in 75% of the time. The superiority of the exponential model over the q-Gaussian model is particularly impressive for options close to the expiration date, where its success rate rises above ninety percent.

[The Probabilistic Efficiency Frontier: A Value Assessment of Treatment Options in Hepatitis C].

PubMed

Mühlbacher, Axel C; Sadler, Andrew

2017-06-19

Background The German Institute for Quality and Efficiency in Health Care (IQWiG) recommends the concept of the efficiency frontier to assess health care interventions. The efficiency frontier supports regulatory decisions on reimbursement prices for the appropriate allocation of health care resources. Until today this cost-benefit assessment framework has only been applied on the basis of individual patient-relevant endpoints. This contradicts the reality of a multi-dimensional patient benefit. Objective The objective of this study was to illustrate the operationalization of multi-dimensional benefit considering the uncertainty in clinical effects and preference data in order to calculate the efficiency of different treatment options for hepatitis C (HCV). This case study shows how methodological challenges could be overcome in order to use the efficiency frontier for economic analysis and health care decision-making. Method The operationalization of patient benefit was carried out on several patient-relevant endpoints. Preference data from a discrete choice experiment (DCE) study and clinical data based on clinical trials, which reflected the patient and the clinical perspective, respectively, were used for the aggregation of an overall benefit score. A probabilistic efficiency frontier was constructed in a Monte Carlo simulation with 10000 random draws. Patient-relevant endpoints were modeled with a beta distribution and preference data with a normal distribution. The assessment of overall benefit and costs provided information about the adequacy of the treatment prices. The parameter uncertainty was illustrated by the price-acceptability-curve and the net monetary benefit. Results Based on the clinical and preference data in Germany, the interferon-free treatment options proved to be efficient for the current price level. The interferon-free therapies of the latest generation achieved a positive net cost-benefit. Within the decision model, these therapies showed a maximum overall benefit. Due to their high additional benefit and approved prices, the therapies lie above of the extrapolated efficiency frontier, which suggests that these options have efficient reimbursement prices. Considering uncertainty, even a higher price would have resulted in a positive cost-benefit ratio. Conclusion IQWiG's efficiency frontier was used to assess the value of different treatment options in HCV. This study demonstrates that the probabilistic efficiency frontier, price-acceptability-curve and the net monetary benefit can contribute essential information to reimbursement decisions and price negotiations. © Georg Thieme Verlag KG Stuttgart · New York.

Integrating forest growth and harvesting cost models to improve forest management planning

Treesearch

J.E. Baumgras; C.B. LeDoux

1991-01-01

Two methods of estimating harvesting revenue--reported stumpage prices - and delivered prices minus estimated harvesting and haul costs were compared by estimating entry cash flows and rotation net present value for three simulated even-aged forest management options that included 1 to 3 thinnings over a 90 year rotation. Revenue estimates derived from stumpage prices...

D-brane solutions under market panic

NASA Astrophysics Data System (ADS)

Pincak, Richard

The relativistic quantum mechanic approach is used to develop stock market dynamics. The relativistic is conceptional here as the meaning of big external volatility or volatility shock on a financial market. We used a differential geometry approach with the parallel transport of prices to obtain a direct shift of the stock price movement. The prices are represented here as electrons with different spin orientation. Up and down orientations of the spin particle are likened here to an increase or a decrease of stock prices. The parallel transport of stock prices is enriched by Riemann curvature, which describes some arbitrage opportunities in the market. To solve the stock-price dynamics, we used the Dirac equation for bispinors on the spherical brane-world. We found out that when a spherical brane is abbreviated to the disk on the equator, we converge to the ideal behavior of financial market where Black-Scholes as well as semi-classical equations are sufficient. Full spherical brane-world scenarios can describe non-equilibrium market behavior where all arbitrage opportunities as well as transaction costs are taken into account. Real application of the model to the option pricing was done. The model developed in this paper brings quantitative different results of option pricing dynamics in the case of nonzero Riemann curvature.

77 FR 76572 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-12-28

... Substance of the Proposed Rule Change NASDAQ proposes to modify Chapter XV, entitled ``Options Pricing,'' governing pricing for NASDAQ members using the NASDAQ Options Market (``NOM''), NASDAQ's facility for... modify Chapter XV, entitled ``Options Pricing,'' at Section 3 entitled ``NASDAQ Options Market--Access...

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.

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.

An Accurate and Stable FFT-based Method for Pricing Options under Exp-Lévy Processes

NASA Astrophysics Data System (ADS)

Ding, Deng; Chong U, Sio

2010-05-01

An accurate and stable method for pricing European options in exp-Lévy models is presented. The main idea of this new method is combining the quadrature technique and the Carr-Madan Fast Fourier Transform methods. The theoretical analysis shows that the overall complexity of this new method is still O(N log N) with N grid points as the fast Fourier transform methods. Numerical experiments for different exp-Lévy processes also show that the numerical algorithm proposed by this new method has an accuracy and stability for the small strike prices K. That develops and improves the Carr-Madan method.

Implied adjusted volatility functions: Empirical evidence from Australian index option market

NASA Astrophysics Data System (ADS)

Harun, Hanani Farhah; Hafizah, Mimi

2015-02-01

This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuation accuracy. The implied adjusted volatility is investigated in the context of Standard and Poor/Australian Stock Exchange (S&P/ASX) 200 index options over the course of 2001-2010, which covers the global financial crisis in the mid-2007 until the end of 2008. Both in- and out-of-sample resulted in approximately similar pricing error along the different Leland models. Results indicate that symmetric and asymmetric models of both moneyness ratio and logarithmic transformation of moneyness provide the overall best result in both during and post-crisis periods. We find that in the different period of interval (pre-, during and post-crisis) is subject to a different implied adjusted volatility function which best explains the index options. Hence, it is tremendously important to identify the intervals beforehand in investigating the implied adjusted volatility function.

78 FR 17738 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-22

... customer bases of potential product users have indicated a preference that premium pricing for Mini Options... market participants clarity as to the minimum pricing increments for Mini Options, the filing would harmonize penny pricing between Mini Options and standard options on the same security. \\4\\ See Securities...

78 FR 17970 - Self-Regulatory Organizations; Miami International Securities Exchange LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-25

... product users and they have indicated a preference that premium pricing for mini-options match what is... market participants clarity as to the minimum pricing increments for mini-options, the filing would harmonize penny pricing between mini-options and standard options on the same security. \\3\\ See Securities...

26 CFR 1.6039-1 - Returns required in connection with certain options.

Code of Federal Regulations, 2011 CFR

2011-04-01

... the person; (v) The exercise price per share; (vi) The date the option was exercised by the person...) The actual exercise price paid per share; (vi) The exercise price per share determined as if the... exercise price per share is not fixed or determinable on the date the option was granted); (vii) The date...

26 CFR 1.6039-1 - Returns required in connection with certain options.

Code of Federal Regulations, 2010 CFR

2010-04-01

...) The exercise price per share; (vi) The date the option was exercised by the person; (vii) The fair...) The actual exercise price paid per share; (vi) The exercise price per share determined as if the... exercise price per share is not fixed or determinable on the date the option was granted); (vii) The date...

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.

77 FR 65241 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-10-25

... pursuant to the same strike price interval parameters that exist for Weekly options. Thus a related non... non-Weekly options and the availability of more granular strike price intervals. The Exchange notes... harmonization between of strike prices between Weekly and non-Weekly options on the same classes. With regard to...

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.

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

Federal Register 2010, 2011, 2012, 2013, 2014

2010-02-10

... Change Relating to Options for Which the Premium and Exercise Price Are Expressed as a Multiple of the... Rules to accommodate options for which the premium and exercise price are expressed on other than a per... (definition of ``Aggregate Exercise Price'') and OCC Rule 805(d)(2) to accommodate options for which the...

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

Code of Federal Regulations, 2010 CFR

2010-10-01

... 48 Federal Acquisition Regulations System 6 2010-10-01 2010-10-01 true Option to extend the term... Provisions and Clauses 1552.217-77 Option to extend the term of the contract fixed price. As prescribed in 1517.208(g), insert the following clause: Option To Extend the Term of the Contract Fixed Price (OCT...

Airport and Airway Costs: Allocation and Recovery in the 1980’s.

DTIC Science & Technology

1987-02-01

1997 [8]. 3*X S.% Volume 4, FAA Cost Recovery Options [9). Volume 5, Econometric Cost Functions for FAA Cost Allocation Model [10]. Volume 6, Users...and relative price elasticities ( Ramsey pricing technique). User fees based on the Ramsey pricing tend to be less burdensome on users and minimize...full discussion of the Ramsey pricing techniques is provided in Allocation of Federal Airport and Airway Costs for FY 1985 [6]. -12- In step 5

DOE Office of Scientific and Technical Information (OSTI.GOV)

Klimsiak, Tomasz, E-mail: tomas@mat.umk.pl; Rozkosz, Andrzej, E-mail: rozkosz@mat.umk.pl

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.

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.

Numerical pricing of options using high-order compact finite difference schemes

NASA Astrophysics Data System (ADS)

Tangman, D. Y.; Gopaul, A.; Bhuruth, M.

2008-09-01

We consider high-order compact (HOC) schemes for quasilinear parabolic partial differential equations to discretise the Black-Scholes PDE for the numerical pricing of European and American options. We show that for the heat equation with smooth initial conditions, the HOC schemes attain clear fourth-order convergence but fail if non-smooth payoff conditions are used. To restore the fourth-order convergence, we use a grid stretching that concentrates grid nodes at the strike price for European options. For an American option, an efficient procedure is also described to compute the option price, Greeks and the optimal exercise curve. Comparisons with a fourth-order non-compact scheme are also done. However, fourth-order convergence is not experienced with this strategy. To improve the convergence rate for American options, we discuss the use of a front-fixing transformation with the HOC scheme. We also show that the HOC scheme with grid stretching along the asset price dimension gives accurate numerical solutions for European options under stochastic volatility.

Valuation of buyout options in comprehensive development agreements : final report, December 2009.

DOT National Transportation Integrated Search

2009-12-01

This project investigates the feasibility of and develops an economic valuation model for buyout options in : Comprehensive Development Agreements (CDAs). A CDA is a form of public-private partnership in which : the right to price and collect revenue...

78 FR 11916 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-02-20

... of the Proposed Rule Change The Exchange proposes to amend the Exchange's Pricing Schedule at Section...\\ Pricing'' of the Pricing Schedule. \\3\\ Multiply Listed Options Fees include options overlying equities... and add certain rule text in the Pricing Schedule to provide additional clarity to the Pricing...

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.

Models of supply function equilibrium with applications to the electricity industry

NASA Astrophysics Data System (ADS)

Aromi, J. Daniel

Electricity market design requires tools that result in a better understanding of incentives of generators and consumers. Chapter 1 and 2 provide tools and applications of these tools to analyze incentive problems in electricity markets. In chapter 1, models of supply function equilibrium (SFE) with asymmetric bidders are studied. I prove the existence and uniqueness of equilibrium in an asymmetric SFE model. In addition, I propose a simple algorithm to calculate numerically the unique equilibrium. As an application, a model of investment decisions is considered that uses the asymmetric SFE as an input. In this model, firms can invest in different technologies, each characterized by distinct variable and fixed costs. In chapter 2, option contracts are introduced to a supply function equilibrium (SFE) model. The uniqueness of the equilibrium in the spot market is established. Comparative statics results on the effect of option contracts on the equilibrium price are presented. A multi-stage game where option contracts are traded before the spot market stage is considered. When contracts are optimally procured by a central authority, the selected profile of option contracts is such that the spot market price equals marginal cost for any load level resulting in a significant reduction in cost. If load serving entities (LSEs) are price takers, in equilibrium, there is no trade of option contracts. Even when LSEs have market power, the central authority's solution cannot be implemented in equilibrium. In chapter 3, we consider a game in which a buyer must repeatedly procure an input from a set of firms. In our model, the buyer is able to sign long term contracts that establish the likelihood with which the next period contract is awarded to an entrant or the incumbent. We find that the buyer finds it optimal to favor the incumbent, this generates more intense competition between suppliers. In a two period model we are able to completely characterize the optimal mechanism.

Option pricing: a flexible tool to disseminate shared savings contracts.

PubMed

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.

Cubature on Wiener Space: Pathwise Convergence

DOE Office of Scientific and Technical Information (OSTI.GOV)

Bayer, Christian, E-mail: christian.bayer@wias-berlin.de; Friz, Peter K., E-mail: friz@math.tu-berlin.de

2013-04-15

Cubature on Wiener space (Lyons and Victoir in Proc. R. Soc. Lond. A 460(2041):169-198, 2004) provides a powerful alternative to Monte Carlo simulation for the integration of certain functionals on Wiener space. More specifically, and in the language of mathematical finance, cubature allows for fast computation of European option prices in generic diffusion models.We give a random walk interpretation of cubature and similar (e.g. the Ninomiya-Victoir) weak approximation schemes. By using rough path analysis, we are able to establish weak convergence for general path-dependent option prices.

78 FR 17985 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-25

... with customer bases of potential product users have indicated a preference that premium pricing for... options on the same security. In addition to giving market participants clarity as to the minimum pricing increments for Mini Options, the filing would harmonize penny pricing between Mini Options and standard...

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

PubMed

Shabri, Ani; Samsudin, Ruhaidah

2014-01-01

Crude oil prices do play significant role in the global economy and are a key input into option pricing formulas, portfolio allocation, and risk measurement. In this paper, a hybrid model integrating wavelet and multiple linear regressions (MLR) is proposed for crude oil price forecasting. In this model, Mallat wavelet transform is first selected to decompose an original time series into several subseries with different scale. Then, the principal component analysis (PCA) is used in processing subseries data in MLR for crude oil price forecasting. The particle swarm optimization (PSO) is used to adopt the optimal parameters of the MLR model. To assess the effectiveness of this model, daily crude oil market, West Texas Intermediate (WTI), has been used as the case study. Time series prediction capability performance of the WMLR model is compared with the MLR, ARIMA, and GARCH models using various statistics measures. The experimental results show that the proposed model outperforms the individual models in forecasting of the crude oil prices series.

Crude Oil Price Forecasting Based on Hybridizing Wavelet Multiple Linear Regression Model, Particle Swarm Optimization Techniques, and Principal Component Analysis

PubMed Central

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

Modeling asset price processes based on mean-field framework

NASA Astrophysics Data System (ADS)

Ieda, Masashi; Shiino, Masatoshi

2011-12-01

We propose a model of the dynamics of financial assets based on the mean-field framework. This framework allows us to construct a model which includes the interaction among the financial assets reflecting the market structure. Our study is on the cutting edge in the sense of a microscopic approach to modeling the financial market. To demonstrate the effectiveness of our model concretely, we provide a case study, which is the pricing problem of the European call option with short-time memory noise.

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.

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.

77 FR 33543 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-06-06

... Term Option Series Program (``STOS Program'') to permit, during the expiration week of an option class... rule to open for trading Short Term Option Series at $0.50 strike price intervals for option classes... Short Term Option Series at $0.50 strike price intervals for option classes that trade in one dollar...

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

Federal Register 2010, 2011, 2012, 2013, 2014

2012-09-12

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-67791; File No. SR-OPRA-2012-05] Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment to the Plan for...'') \\1\\ and Rule 608 thereunder,\\2\\ notice is hereby given that on August 27, 2012, the Options Price...

75 FR 27608 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-05-17

... Change To Establish Strike Price Intervals and Trading Hours for Options on Index Linked Securities May....4 Commentary .05 to establish strike price intervals for options on Index Linked Securities,\\3\\ and... Rule 7.1 Commentary .02 to establish strike price intervals and trading hours for options on Index...

78 FR 13105 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-02-26

... Relating to a Pricing Clarification February 19, 2013. Pursuant to Section 19(b)(1) of the Securities... Exchange proposes to add references to certain terms in Chapter XV, entitled ``Options Pricing.'' The... Options Market Maker pricing in all securities, the Participant must be registered as a BX Options Market...

76 FR 74105 - Self-Regulatory Organizations; Financial Industry Regulatory Authority, Inc.; Notice of Filing...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... call options.\\10\\ Like options, the price of rights and warrants are affected by the price of the... of rights and warrants may move more dramatically than the price of the underlying stock, even when.... Given the fact that the price of rights and warrants may move more dramatically than the prices of the...

Financial Data Analysis by means of Coupled Continuous-Time Random Walk in Rachev-Rűschendorf Model

NASA Astrophysics Data System (ADS)

Jurlewicz, A.; Wyłomańska, A.; Żebrowski, P.

2008-09-01

We adapt the continuous-time random walk formalism to describe asset price evolution. We expand the idea proposed by Rachev and Rűschendorf who analyzed the binomial pricing model in the discrete time with randomization of the number of price changes. As a result, in the framework of the proposed model we obtain a mixture of the Gaussian and a generalized arcsine laws as the limiting distribution of log-returns. Moreover, we derive an European-call-option price that is an extension of the Black-Scholes formula. We apply the obtained theoretical results to model actual financial data and try to show that the continuous-time random walk offers alternative tools to deal with several complex issues of financial markets.

Transportation pricing and finance options for California.

DOT National Transportation Integrated Search

2006-06-01

The objective of this research project was to conduct research on the merits, costs and application potential of various transportation pricing approaches, to better inform decision makers and the public about transportation financing/pricing option ...

Price and healthfulness of snacks in 32 YMCA after-school programs in 4 US metropolitan areas, 2006-2008.

PubMed

Mozaffarian, Rebecca S; Andry, Analisa; Lee, Rebekka M; Wiecha, Jean L; Gortmaker, Steven L

2012-01-01

A common perception is that healthful foods are more expensive than less healthful foods. We assessed the cost of beverages and foods served at YMCA after-school programs, determined whether healthful snacks were more expensive, and identified inexpensive, healthful options. We collected daily snack menus from 32 YMCAs nationwide from 2006 to 2008 and derived prices of beverages and foods from the US Department of Agriculture price database. Multiple linear regression was used to assess associations of healthful snacks and of beverage and food groups with price (n = 1,294 snack-days). We identified repeatedly served healthful snacks consistent with Child and Adult Care Food Program guidelines and reimbursement rate ($0.74/snack). On average, healthful snacks were approximately 50% more expensive than less healthful snacks ($0.26/snack; SE, 0.08; P = .003). Compared to water, 100% juice significantly increased average snack price, after controlling for other variables in the model. Similarly, compared to refined grains with trans fats, refined grains without trans fat significantly increased snack price, as did fruit and canned or frozen vegetables. Fresh vegetables (mostly carrots or celery) or whole grains did not alter price. Twenty-two repeatedly served snacks met nutrition guidelines and the reimbursement rate. In this sample of after-school programs, healthful snacks were typically more expensive than less healthful options; however, we identified many healthful snacks served at or below the price of less healthful options. Substituting tap water for 100% juice yielded price savings that could be used toward purchasing more healthful foods (eg, an apple). Our findings have practical implications for selecting snacks that meet health and reimbursement guidelines.

78 FR 28912 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-05-16

... Proposed Rule Change Relating to Penny Pilot Options and Non-Penny Pilot Options May 10, 2013. Pursuant to... ``Options Pricing,'' at Section 2 governing pricing for NASDAQ members using the NASDAQ Options Market (``NOM''), NASDAQ's facility for executing and routing standardized equity and index options...

Policy options for alcohol price regulation: the importance of modelling population heterogeneity.

PubMed

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.

17 CFR 240.15c3-1f - Optional market and credit risk requirements for OTC derivatives dealers (Appendix F to 17 CFR...

Code of Federal Regulations, 2013 CFR

2013-04-01

... observations cannot be less than six months. Historical data sets must be updated at least every three months... quantitative aspects of the model which at a minimum must adhere to the criteria set forth in paragraph (e) of..., a description of how its own theoretical pricing model contains the minimum pricing factors set...

Variable step random walks, self-similar distributions, and pricing of options (Invited Paper)

NASA Astrophysics Data System (ADS)

Gunaratne, Gemunu H.; McCauley, Joseph L.

2005-05-01

A new theory for pricing of options is presented. It is based on the assumption that successive movements depend on the value of the return. The solution to the Fokker-Planck equation is shown to be an asymmetric exponential distribution, similar to those observed in intra-day currency markets. The "volatility smile", used by traders to correct the Black-Scholes pricing is shown to be a heuristic mechanism to implement options pricing formulae derived from our theory.

A Dynamic, Stochastic, Computational Model of Preference Reversal Phenomena

ERIC Educational Resources Information Center

Johnson, Joseph G.; Busemeyer, Jerome R.

2005-01-01

Preference orderings among a set of options may depend on the elicitation method (e.g., choice or pricing); these preference reversals challenge traditional decision theories. Previous attempts to explain these reversals have relied on allowing utility of the options to change across elicitation methods by changing the decision weights, the…

On the source of stochastic volatility: Evidence from CAC40 index options during the subprime crisis

NASA Astrophysics Data System (ADS)

Slim, Skander

2016-12-01

This paper investigates the performance of time-changed Lévy processes with distinct sources of return volatility variation for modeling cross-sectional option prices on the CAC40 index during the subprime crisis. Specifically, we propose a multi-factor stochastic volatility model: one factor captures the diffusion component dynamics and two factors capture positive and negative jump variations. In-sample and out-of-sample tests show that our full-fledged model significantly outperforms nested lower-dimensional specifications. We find that all three sources of return volatility variation, with different persistence, are needed to properly account for market pricing dynamics across moneyness, maturity and volatility level. Besides, the model estimation reveals negative risk premium for both diffusive volatility and downward jump intensity whereas a positive risk premium is found to be attributed to upward jump intensity.

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

NASA Astrophysics Data System (ADS)

Wang, Mulan Xiaofeng

My dissertation concentrates on several aspects of supply chain management and economic valuation of real options in the natural gas and liquefied natural gas (LNG) industry, including gas pipeline transportations, ocean LNG shipping logistics, and downstream storage. Chapter 1 briefly introduces the natural gas and LNG industries, and the topics studied in this thesis. Chapter 2 studies how to value U.S. natural gas pipeline network transport contracts as real options. It is common for natural gas shippers to value and manage contracts by simple adaptations of financial spread option formulas that do not fully account for the implications of the capacity limits and the network structure that distinguish these contracts. In contrast, we show that these operational features can be fully captured and integrated with financial considerations in a fairly easy and managerially significant manner by a model that combines linear programming and simulation. We derive pathwise estimators for the so called deltas and structurally characterize them. We interpret them in a novel fashion as discounted expectations, under a specific weighing distribution, of the amounts of natural gas to be procured/marketed when optimally using pipeline capacity. Based on the actual prices of traded natural gas futures and basis swaps, we show that an enhanced version of the common approach employed in practice can significantly underestimate the true value of natural gas pipeline network capacity. Our model also exhibits promising financial (delta) hedging performance. Thus, this model emerges as an easy to use and useful tool that natural gas shippers can employ to support their valuation and delta hedging decisions concerning natural gas pipeline network transport capacity contracts. Moreover, the insights that follow from our data analysis have broader significance and implications in terms of the management of real options beyond our specific application. Motivated by current developments in the LNG industry, Chapter 3 studies the operations of LNG supply chains facing both supply and price risk. To model the supply uncertainty, we employ a closed-queuing-network (CQN) model to represent upstream LNG production and shipping, via special oceans-going tankers, to a downstream re-gasification facility in the U.S, which sells natural gas into the wholesale spot market. The CQN shipping model analytically generates the unloaded amount probability distribution. Price uncertainty is captured by the spot price, which experiences both volatility and significant seasonality, i.e., higher prices in winter. We use a trinomial lattice to model the price uncertainty, and calibrate to the extended forward curves. Taking the outputs from the CQN model and the spot price model as stochastic inputs, we formulate a real option inventory-release model to study the benefit of optimally managing a downstream LNG storage facility. This allows characterization of the structure of the optimal inventory management policy. An interesting finding is that when it is optimal to sell, it is not necessarily optimal to sell the entire available inventory. The model can be used by LNG players to value and manage the real option to store LNG at a re-gasification facility, and is easy to be implemented. For example, this model is particularly useful to value leasing contracts for portions of the facility capacity. Real data is used to assess the value of the real option to store LNG at the downstream re-gasification facility, and, contrary to what has been claimed by some practitioners, we find that it has significant value (several million dollars). Chapter 4 studies the importance of modeling the shipping variability when valuing and managing a downstream LNG storage facility. The shipping model presented in Chapter 3 uses a "rolling forward" method to generate the independent and identically distributed (i.i.d.) unloaded amount in each decision period. We study the merit of the i.i.d. assumption by using simulation and developing an upper bound. We show that the model, which uses the i.i.d. unloaded amount, provides a good estimation of the storage value, and yields a near optimal inventory control policy. We also test the performance of a model that uses constant throughput to determine the inventory release policy. This model performs worse than the model of Chapter 3 for storage valuation purposes, but can be used to suggest the optimal inventory control policy, especially when the ratio of flow rate to storage size is high, i.e., storage is scarce. Chapter 5 summarizes the contributions of this thesis.

76 FR 74113 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... options. Rights and warrants entitle owners to purchase shares of stock at predetermined prices subject to various timing and other conditions. Like options, the price of rights and warrants are affected by the... consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying...

77 FR 74037 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-12-12

... the Pricing Schedule.\\4\\ The Exchange is also proposing a technical amendment to its Pricing Schedule. While changes to the Pricing Schedule pursuant to this proposal are effective upon filing, the Exchange... Listed Option becomes Multiply Listed, the option would be assessed the fees in Section II of the Pricing...

17 CFR 240.15c3-1f - Optional market and credit risk requirements for OTC derivatives dealers (Appendix F to 17 CFR...

Code of Federal Regulations, 2014 CFR

2014-04-01

... less than six months. Historical data sets must be updated at least every three months and reassessed... model which at a minimum must adhere to the criteria set forth in paragraph (e) of this Appendix F. The... theoretical pricing model contains the minimum pricing factors set forth in Appendix A (§ 240.15c3-1a). The...

Comparing projected impacts of cigarette floor price and excise tax policies on socioeconomic disparities in smoking

PubMed Central

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

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

PubMed Central

Rao, Mayuree; Afshin, Ashkan; Singh, Gitanjali; Mozaffarian, Dariush

2013-01-01

Objective To conduct a systematic review and meta-analysis of prices of healthier versus less healthy foods/diet patterns while accounting for key sources of heterogeneity. Data sources MEDLINE (2000–2011), supplemented with expert consultations and hand reviews of reference lists and related citations. Design Studies reviewed independently and in duplicate were included if reporting mean retail price of foods or diet patterns stratified by healthfulness. We extracted, in duplicate, mean prices and their uncertainties of healthier and less healthy foods/diet patterns and rated the intensity of health differences for each comparison (range 1–10). Prices were adjusted for inflation and the World Bank purchasing power parity, and standardised to the international dollar (defined as US$1) in 2011. Using random effects models, we quantified price differences of healthier versus less healthy options for specific food types, diet patterns and units of price (serving, day and calorie). Statistical heterogeneity was quantified using I2 statistics. Results 27 studies from 10 countries met the inclusion criteria. Among food groups, meats/protein had largest price differences: healthier options cost $0.29/serving (95% CI $0.19 to $0.40) and $0.47/200 kcal ($0.42 to $0.53) more than less healthy options. Price differences per serving for healthier versus less healthy foods were smaller among grains ($0.03), dairy (−$0.004), snacks/sweets ($0.12) and fats/oils ($0.02; p<0.05 each) and not significant for soda/juice ($0.11, p=0.64). Comparing extremes (top vs bottom quantile) of food-based diet patterns, healthier diets cost $1.48/day ($1.01 to $1.95) and $1.54/2000 kcal ($1.15 to $1.94) more. Comparing nutrient-based patterns, price per day was not significantly different (top vs bottom quantile: $0.04; p=0.916), whereas price per 2000 kcal was $1.56 ($0.61 to $2.51) more. Adjustment for intensity of differences in healthfulness yielded similar results. Conclusions This meta-analysis provides the best evidence until today of price differences of healthier vs less healthy foods/diet patterns, highlighting the challenges and opportunities for reducing financial barriers to healthy eating. PMID:24309174

Investment in hydrogen tri-generation for wastewater treatment plants under uncertainties

NASA Astrophysics Data System (ADS)

Gharieh, Kaveh; Jafari, Mohsen A.; Guo, Qizhong

2015-11-01

In this article, we present a compound real option model for investment in hydrogen tri-generation and onsite hydrogen dispensing systems for a wastewater treatment plant under price and market uncertainties. The ultimate objective is to determine optimal timing and investment thresholds to exercise initial and subsequent options such that the total savings are maximized. Initial option includes investment in a 1.4 (MW) Molten Carbonate Fuel Cell (MCFC) fed by mixture of waste biogas from anaerobic digestion and natural gas, along with auxiliary equipment. Produced hydrogen in MCFC via internal reforming, is recovered from the exhaust gas stream using Pressure Swing Adsorption (PSA) purification technology. Therefore the expansion option includes investment in hydrogen compression, storage and dispensing (CSD) systems which creates additional revenue by selling hydrogen onsite in retail price. This work extends current state of investment modeling within the context of hydrogen tri-generation by considering: (i) Modular investment plan for hydrogen tri-generation and dispensing systems, (ii) Multiple sources of uncertainties along with more realistic probability distributions, (iii) Optimal operation of hydrogen tri-generation is considered, which results in realistic saving estimation.

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

PubMed

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.

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

PubMed Central

Sun, Jiao-Jiao; Zhou, Shengwu; Zhang, Yan; Han, Miao; Wang, Fei

2014-01-01

The pricing problem of lookback option with a fixed proportion of transaction costs is investigated when the underlying asset price follows a fractional Brownian motion process. Firstly, using Leland's hedging method a partial differential equation satisfied by the value of the lookback option is derived. Then we obtain its numerical solution by constructing a Crank-Nicolson format. Finally, the effectiveness of the proposed form is verified through a numerical example. Meanwhile, the impact of transaction cost rate and volatility on lookback option value is discussed. PMID:27433525

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

NASA Astrophysics Data System (ADS)

Wu, Feng

This dissertation contains three essays. In the first essay I use a volatility spillover model to find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices become more energy-driven as the ethanol gasoline consumption ratio increases. Based on this strong volatility link between crude oil and corn prices, a new cross hedging strategy for managing corn price risk using oil futures is examined and its performance studied. Results show that this cross hedging strategy provides only slightly better hedging performance compared to traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. The second essay studies the spillover effect of biofuel policy on participation in the Conservation Reserve Program. Landowners' participation decisions are modeled using a real options framework. A novel aspect of the model is that it captures the structural change in agriculture caused by rising biofuel production. The resulting model is used to simulate the spillover effect under various conditions. In particular, I simulate how increased growth in agricultural returns, persistence of the biofuel production boom, and the volatility surrounding agricultural returns, affect conservation program participation decisions. Policy implications of these results are also discussed. The third essay proposes a methodology to construct a risk-adjusted implied volatility measure that removes the forecasting bias of the model-free implied volatility measure. The risk adjustment is based on a closed-form relationship between the expectation of future volatility and the model-free implied volatility assuming a jump-diffusion model. I use a GMM estimation framework to identify the key model parameters needed to apply the model. An empirical application to corn futures implied volatility is used to illustrate the methodology and demonstrate differences between my approach and the model-free implied volatility using observed corn option prices. I compare the risk-adjusted forecast with the unadjusted forecast as well as other alternatives; and results suggest that the risk-adjusted volatility is unbiased, informationally more efficient, and has superior predictive power over the alternatives considered.

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.

Modelled female sale options demonstrate improved profitability in northern beef herds.

PubMed

Niethe, G E; Holmes, W E

2008-12-01

To examine the impact of improving the average value of cows sold, the risk of decreasing the number weaned, and total sales on the profitability of northern Australian cattle breeding properties. Gather, model and interpret breeder herd performances and production parameters on properties from six beef-producing regions in northern Australia. Production parameters, prices, costs and herd structure were entered into a herd simulation model for six northern Australian breeding properties that spay females to enhance their marketing options. After the data were validated by management, alternative management strategies were modelled using current market prices and most likely herd outcomes. The model predicted a close relationship between the average sale value of cows, the total herd sales and the gross margin/adult equivalent. Keeping breeders out of the herd to fatten generally improves their sale value, and this can be cost-effective, despite the lower number of progeny produced and the subsequent reduction in total herd sales. Furthermore, if the price of culled cows exceeds the price of culled heifers, provided there are sufficient replacement pregnant heifers available to maintain the breeder herd nucleus, substantial gains in profitability can be obtained by decreasing the age at which cows are culled from the herd. Generalised recommendations on improving reproductive performance are not necessarily the most cost-effective strategy to improve breeder herd profitability. Judicious use of simulation models is essential to help develop the best turnoff strategies for females and to improve station profitability.

26 CFR 1.422-5 - Permissible provisions.

Code of Federal Regulations, 2010 CFR

2010-04-01

... reference to the fair market value of the stock at the time of exercise or to the option price. (d) Option... fair market value of the stock exceeds the exercise price of the option and the option is otherwise... disqualifying disposition of 75 shares is $1,500 (the difference between the fair market value of the stock on...

Efficient numerical method for solving Cauchy problem for the Gamma equation

NASA Astrophysics Data System (ADS)

Koleva, Miglena N.

2011-12-01

In this work we consider Cauchy problem for the so called Gamma equation, derived by transforming the fully nonlinear Black-Scholes equation for option price into a quasilinear parabolic equation for the second derivative (Greek) Γ = VSS of the option price V. We develop an efficient numerical method for solving the model problem concerning different volatility terms. Using suitable change of variables the problem is transformed on finite interval, keeping original behavior of the solution at the infinity. Then we construct Picard-Newton algorithm with adaptive mesh step in time, which can be applied also in the case of non-differentiable functions. Results of numerical simulations are given.

Analysis of the discontinuous Galerkin method applied to the European option pricing problem

NASA Astrophysics Data System (ADS)

Hozman, J.

2013-12-01

In this paper we deal with a numerical solution of a one-dimensional Black-Scholes partial differential equation, an important scalar nonstationary linear convection-diffusion-reaction equation describing the pricing of European vanilla options. We present a derivation of the numerical scheme based on the space semidiscretization of the model problem by the discontinuous Galerkin method with nonsymmetric stabilization of diffusion terms and with the interior and boundary penalty. The main attention is paid to the investigation of a priori error estimates for the proposed scheme. The appended numerical experiments illustrate the theoretical results and the potency of the method, consequently.

Pricing 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.

Comparing projected impacts of cigarette floor price and excise tax policies on socioeconomic disparities in smoking.

PubMed

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/.

Children's purchase behavior in the snack market: Can branding or lower prices motivate healthier choices?

PubMed

Hartmann, Monika; Cash, Sean B; Yeh, Ching-Hua; Landwehr, Stefanie C; McAlister, Anna R

2017-10-01

Children's dietary-related diseases and their associated costs have expanded dramatically in many countries, making children's food choice a policy issue of increasing relevance. As children spend a considerable amount of money on energy-dense, nutrient-poor (EDNP) products, a better understanding of the main drivers of children's independent food purchase decisions is crucial to move this behavior toward healthier options. The objective of the study is to investigate the role of branding and price in motivating children to choose healthier snack options. The study investigates snack choices of children ages 8 to 11, using a survey and a purchase experiment. The research took place in after-school programs of selected schools in the Boston area. Participants included 116 children. Products in the choice experiment differed on three factors: product type, brand, and price. Data were analyzed using aggregated and mixed logit models. Children's purchase decisions are primarily determined by product type (Importance Value (IV) 56.6%), while brand (IV 22.8%) and price (IV 20.6%) prove to be of less relevance. Only those children who state that they like the familiar brand reveal a preference for the branded product in their purchase decision. Price is a significant predictor of choice when controlling for whether or not children obtain an allowance. It is not simple brand awareness but a child's liking of the brand that determines whether a brand is successful in motivating a child to choose a product. The extent of children's experience with money influences their price responsiveness. To the extent that children who receive an allowance are primarily the ones buying food snacks, higher prices for EDNP snacks could be successful in motivating children to choose a healthier option. Copyright © 2017 Elsevier Ltd. All rights reserved.

76 FR 64984 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-10-19

... trading day's last sale price was greater than $100) in premium in each of the front two expiration months... options whose underlying stock's previous trading day's last sale price was greater than $100) in premium... other exchanges employing similar pricing schemes.\\18\\ \\18\\ The Boston Options Exchange currently...

75 FR 77925 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-12-14

... Establish Strike Price Intervals and Trading Hours for Options on Index-Linked Securities December 8, 2010... Business) of the Rules of the Boston Options Exchange Group, LLC (``BOX'') to establish strike price... proposing to establish strike price intervals and trading hours for these products. The Securities and...

75 FR 21689 - Self-Regulatory Organizations; NASDAQ OMX PHLX, Inc.; Order Granting Accelerated Approval of...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-04-26

... To Establish Strike Price Intervals and Trading Hours for Options on Index-Linked Securities April 20... establish strike-price intervals for options on Index-Linked Securities and to establish trading hours for... exchange-traded notes (``ETN'')), Phlx has proposed to establish strike price intervals and trading hours...

75 FR 80869 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-12-23

... promotional pricing period for options overlying the NASDAQ Internet Index (``QNET''). The text of the... pricing is to assess a fixed rate across all market participants for a specified period of time to... promotional pricing after December 30, 2010, and instead assesses members the applicable sector index options...

Strategies for reducing implant costs in the revision total knee arthroplasty episode of care.

PubMed

Elbuluk, Ameer M; Old, Andrew B; Bosco, Joseph A; Schwarzkopf, Ran; Iorio, Richard

2017-12-01

Implant price has been identified as a significant contributing factor to high costs associated with revision total knee arthroplasty (rTKA). The goal of this study is to analyze the cost of implants used in rTKAs and to compare this pricing with 2 alternative pricing models. Using our institutional database, we identified 52 patients from January 1, 2014 to December 31, 2014. Average cost of components for each case was calculated and compared to the total hospital cost for that admission. Costs for an all-component revision were then compared to a proposed "direct to hospital" (DTH) standardized pricing model and a fixed price revision option. Potential savings were calculated from these figures. On average, 28% of the total hospital cost was spent on implants for rTKA. The average cost for revision of all components was $13,640 and ranged from $3000 to $28,000. On average, this represented 32.7% of the total hospital cost. Direct to hospital implant pricing could potentially save approximately $7000 per rTKA, and the fixed pricing model could provide a further $1000 reduction per rTKA-potentially saving $8000 per case on implants alone. Alternative implant pricing models could help lower the total cost of rTKA, which would allow hospitals to achieve significant cost containment.

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.

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.

An empirical analysis of the corporate call decision

NASA Astrophysics Data System (ADS)

Carlson, Murray Dean

1998-12-01

In this thesis we provide insights into the behavior of financial managers of utility companies by studying their decisions to redeem callable preferred shares. In particular, we investigate whether or not an option pricing based model of the call decision, with managers who maximize shareholder value, does a better job of explaining callable preferred share prices and call decisions than do other models of the decision. In order to perform these tests, we extend an empirical technique introduced by Rust (1987) to include the use of information from preferred share prices in addition to the call decisions. The model we develop to value the option embedded in a callable preferred share differs from standard models in two ways. First, as suggested in Kraus (1983), we explicitly account for transaction costs associated with a redemption. Second, we account for state variables that are observed by the decision makers but not by the preferred shareholders. We interpret these unobservable state variables as the benefits and costs associated with a change in capital structure that can accompany a call decision. When we add this variable, our empirical model changes from one which predicts exactly when a share should be called to one which predicts the probability of a call as the function of the observable state. These two modifications of the standard model result in predictions of calls, and therefore of callable preferred share prices, that are consistent with several previously unexplained features of the data; we show that the predictive power of the model is improved in a statistical sense by adding these features to the model. The pricing and call probability functions from our model do a good job of describing call decisions and preferred share prices for several utilities. Using data from shares of the Pacific Gas and Electric Co. (PGE) we obtain reasonable estimates for the transaction costs associated with a call. Using a formal empirical test, we are able to conclude that the managers of the Pacific Gas and Electric Company clearly take into account the value of the option to delay the call when making their call decisions. Overall, the model seems to be robust to tests of its specification and does a better job of describing the data than do simpler models of the decision making process. Limitations in the data do not allow us to perform the same tests in a larger cross-section of utility companies. However, we are able to estimate transaction cost parameters for many firms and these do not seem to vary significantly from those of PGE. This evidence does not cause us to reject our hypothesis that managerial behavior is consistent with a model in which managers maximize shareholder value.

78 FR 25770 - Options Price Reporting Authority; Order Approving an Amendment to the Plan for Reporting of...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-05-02

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69453; File No. SR-OPRA-2012-07] Options Price Reporting Authority; Order Approving an Amendment to the Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information To Amend Section 3.5 of the OPRA Plan April 25, 2013. I. Introduction On December 21, 2012, the Options...

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.

75 FR 39720 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-07-12

..., Inc. To List Options on Trust Issued Receipts in $1 Strike Intervals July 6, 2010. Pursuant to Section... strike price intervals for options on Trust Issued Receipts. The text of the proposed rule change is... strike price intervals for options on Trust Issued Receipts (``TIRs''), including Holding Company...

77 FR 6160 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Order Granting Approval of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-02-07

... SLV and USO strike price intervals. \\4\\ The Exchange also proposed certain non-substantive changes to... Strike Price Intervals for SLV and USO Options February 1, 2012. I. Introduction On December 7, 2011...-4 thereunder,\\2\\ a proposed rule change regarding strike price intervals for options on iShares[reg...

76 FR 2940 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Order Granting Approval of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-01-18

... complex orders. \\4\\ Rule 1092 provides a framework for reviewing the price of a transaction to determine... the theoretical price for a series by a certain amount depending on the type of option. OEOs use one of three criteria when determining the theoretical price of an options execution, which are...

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

PubMed

Nguyen, Tuan Anh; Knight, Rosemary; Roughead, Elizabeth Ellen; Brooks, Geoffrey; Mant, Andrea

2015-03-01

Pharmaceutical expenditure is rising globally. Most high-income countries have exercised pricing or purchasing strategies to address this pressure. Low- and middle-income countries (LMICs), however, usually have less regulated pharmaceutical markets and often lack feasible pricing or purchasing strategies, notwithstanding their wish to effectively manage medicine budgets. In high-income countries, most medicines payments are made by the state or health insurance institutions. In LMICs, most pharmaceutical expenditure is out-of-pocket which creates a different dynamic for policy enforcement. The paucity of rigorous studies on the effectiveness of pharmaceutical pricing and purchasing strategies makes it especially difficult for policy makers in LMICs to decide on a course of action. This article reviews published articles on pharmaceutical pricing and purchasing policies. Many policy options for medicine pricing and purchasing have been found to work but they also have attendant risks. No one option is decisively preferred; rather a mix of options may be required based on country-specific context. Empirical studies in LMICs are lacking. However, risks from any one policy option can reasonably be argued to be greater in LMICs which often lack strong legal systems, purchasing and state institutions to underpin the healthcare system. Key factors are identified to assist LMICs improve their medicine pricing and purchasing systems. Published by Oxford University Press in association with The London School of Hygiene and Tropical Medicine © The Author 2014; all rights reserved.

Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging.

PubMed

Gençay, R; Qi, M

2001-01-01

We study the effectiveness of cross validation, Bayesian regularization, early stopping, and bagging to mitigate overfitting and improving generalization for pricing and hedging derivative securities with daily S&P 500 index daily call options from January 1988 to December 1993. Our results indicate that Bayesian regularization can generate significantly smaller pricing and delta-hedging errors than the baseline neural-network (NN) model and the Black-Scholes model for some years. While early stopping does not affect the pricing errors, it significantly reduces the hedging error (HE) in four of the six years we investigated. Although computationally most demanding, bagging seems to provide the most accurate pricing and delta hedging. Furthermore, the standard deviation of the MSPE of bagging is far less than that of the baseline model in all six years, and the standard deviation of the average HE of bagging is far less than that of the baseline model in five out of six years. We conclude that they be used at least in cases when no appropriate hints are available.

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

PubMed

Ulvestad, Marte; Overland, Indra

2012-06-01

THIS ARTICLE DEVELOPS A FORMAL MODEL FOR COMPARING THE COST STRUCTURE OF THE TWO MAIN TRANSPORT OPTIONS FOR NATURAL GAS: liquefied natural gas (LNG) and pipelines. In particular, it evaluates how variations in the prices of natural gas and greenhouse gas emissions affect the relative cost-efficiency of these two options. Natural gas is often promoted as the most environmentally friendly of all fossil fuels, and LNG as a modern and efficient way of transporting it. Some research has been carried out into the local environmental impact of LNG facilities, but almost none into aspects related to climate change. This paper concludes that at current price levels for natural gas and CO 2 emissions the distance from field to consumer and the volume of natural gas transported are the main determinants of transport costs. The pricing of natural gas and greenhouse emissions influence the relative cost-efficiency of LNG and pipeline transport, but only to a limited degree at current price levels. Because more energy is required for the LNG process (especially for fuelling the liquefaction process) than for pipelines at distances below 9100 km, LNG is more exposed to variability in the price of natural gas and greenhouse gas emissions up to this distance. If the prices of natural gas and/or greenhouse gas emission rise dramatically in the future, this will affect the choice between pipelines and LNG. Such a price increase will be favourable for pipelines relative to LNG.

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

PubMed Central

Ulvestad, Marte; Overland, Indra

2012-01-01

This article develops a formal model for comparing the cost structure of the two main transport options for natural gas: liquefied natural gas (LNG) and pipelines. In particular, it evaluates how variations in the prices of natural gas and greenhouse gas emissions affect the relative cost-efficiency of these two options. Natural gas is often promoted as the most environmentally friendly of all fossil fuels, and LNG as a modern and efficient way of transporting it. Some research has been carried out into the local environmental impact of LNG facilities, but almost none into aspects related to climate change. This paper concludes that at current price levels for natural gas and CO2 emissions the distance from field to consumer and the volume of natural gas transported are the main determinants of transport costs. The pricing of natural gas and greenhouse emissions influence the relative cost-efficiency of LNG and pipeline transport, but only to a limited degree at current price levels. Because more energy is required for the LNG process (especially for fuelling the liquefaction process) than for pipelines at distances below 9100 km, LNG is more exposed to variability in the price of natural gas and greenhouse gas emissions up to this distance. If the prices of natural gas and/or greenhouse gas emission rise dramatically in the future, this will affect the choice between pipelines and LNG. Such a price increase will be favourable for pipelines relative to LNG. PMID:24683269

The study on stage financing model of IT project investment.

PubMed

Chen, Si-hua; Xu, Sheng-hua; Lee, Changhoon; Xiong, Neal N; He, Wei

2014-01-01

Stage financing is the basic operation of venture capital investment. In investment, usually venture capitalists use different strategies to obtain the maximum returns. Due to its advantages to reduce the information asymmetry and agency cost, stage financing is widely used by venture capitalists. Although considerable attentions are devoted to stage financing, very little is known about the risk aversion strategies of IT projects. This paper mainly addresses the problem of risk aversion of venture capital investment in IT projects. Based on the analysis of characteristics of venture capital investment of IT projects, this paper introduces a real option pricing model to measure the value brought by the stage financing strategy and design a risk aversion model for IT projects. Because real option pricing method regards investment activity as contingent decision, it helps to make judgment on the management flexibility of IT projects and then make a more reasonable evaluation about the IT programs. Lastly by being applied to a real case, it further illustrates the effectiveness and feasibility of the model.

The Study on Stage Financing Model of IT Project Investment

PubMed Central

Xu, Sheng-hua; Xiong, Neal N.

2014-01-01

Stage financing is the basic operation of venture capital investment. In investment, usually venture capitalists use different strategies to obtain the maximum returns. Due to its advantages to reduce the information asymmetry and agency cost, stage financing is widely used by venture capitalists. Although considerable attentions are devoted to stage financing, very little is known about the risk aversion strategies of IT projects. This paper mainly addresses the problem of risk aversion of venture capital investment in IT projects. Based on the analysis of characteristics of venture capital investment of IT projects, this paper introduces a real option pricing model to measure the value brought by the stage financing strategy and design a risk aversion model for IT projects. Because real option pricing method regards investment activity as contingent decision, it helps to make judgment on the management flexibility of IT projects and then make a more reasonable evaluation about the IT programs. Lastly by being applied to a real case, it further illustrates the effectiveness and feasibility of the model. PMID:25147845

Service contract with periodic preventive maintenance for a dump truck sold with a two-dimensional warranty

NASA Astrophysics Data System (ADS)

Nasrum, A.; Pasaribu, U. S.; Husniah, H.

2016-02-01

This paper deals with maintenance service contract for a dump truck sold with a two-dimensional warranties. We consider a situation where an agent offers two maintenance contract options and the owner of the equipment has to select the optimal option either the OEM carried out all repairs and preventive maintenance activities (option one) or the OEM only carries out failure while the costumer undertakes preventive maintenance action in-house (option two). As the number of preventive maintenance and corrective maintenance that occurs in the area of servicing contracts is very influential in determining the value of the contract, we have to determine the optimal time between preventive maintenance that can minimize the cost of repair in the contract area. Moreover, we also study the maintenance service contract considering reduction of the intensity function after preventive maintenance from both the owner and OEM point of views. In this paper, we use a Weibull intensity function to consider a product with increasing failure intensity. We use a non-cooperative game formulation to determine the optimal price structure (i.e., the contract price and repair cost) for the OEM and the owner. A numerical example derived from the model has shown that if the owner choose option one then the owner obtain a higher profit compared with the profit resulted from option two. The result agree with earlier work which uses the accelerated failure time (AFT) for the failure modeling, while here we model the failure of the dump truck without the use of the AFT.

75 FR 35871 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-06-23

... PHLX, Inc. To List Options on Trust Issued Receipts in $1 Strike Intervals June 15, 2010. Pursuant to... to list options on Trust Issued Receipts in $1 strike price intervals. The text of the proposed rule...)(iv) to Rule 1012, in $1 or greater strike price intervals, where the strike price is $200 or less and...

75 FR 76059 - Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing of a Proposed Rule Change To...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-12-07

... BATS Options Book at its displayed price. The non- displayed price of the Market Maker Price Improving Order would not be entered into the BATS Options Book, but would be, along with its displayed size... book processing requirements of Rule 21.8 and, if applicable, processed in accordance with the order...

75 FR 78288 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-12-15

....00 (for options whose underlying stock's previous trading day's last sale price was less than or... last sale price was greater than $100) in premium in each of the front two expiration months and 80% of... trading day's last sale price was less than or equal to $100) and between $0.10 and $5.00 (for options...

77 FR 54635 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Order Granting Approval of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-09-05

... Strike Price Intervals in the Short Term Options Program August 29, 2012. I. Introduction On July 2, 2012...-4 thereunder,\\2\\ a proposed rule change to indicate that the interval between strike prices on short term options series (``STOs'') listed in accordance with its Short Term Option Series Program (``STO...

77 FR 21130 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-04-09

... proposes to modify Chapter XV, Options Pricing, Section 2, of the Options Rules portion of the NASDAQ Rulebook governing pricing for NASDAQ members using The NASDAQ Options Market (``NOM''), NASDAQ's facility... certain Customer Routing Fees to recoup costs incurred by the Exchange in routing to away markets. While...

75 FR 40011 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-07-13

... LLC To List Options on Trust Issued Receipts in $1 Strike Intervals July 6, 2010. Pursuant to section... strike price intervals for options on Trust Issued Receipts. The text of the proposed rule change is... establish strike price intervals for options on Trust Issued Receipts (``TIRs''), including Holding Company...

75 FR 66402 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-10-28

... necessary systems capacity to handle the additional traffic associated with the expanded range of strike... Effectiveness of Proposed Rule Change To Expand the Range of Strike Price Intervals for VIX Options October 21... amend Rule 24.9.01(e), Terms of Index Option Contracts, to expand the range of strike price intervals...

Improving value assessment of high-risk, high-reward biotechnology research: the role of 'thick tails'.

PubMed

Casault, Sébastien; Groen, Aard J; Linton, Jonathan D

2014-03-25

This paper presents work toward improving the efficacy of financial models that describe the unique nature of biotechnology firms. We show that using a 'thick tailed' power law distribution to describe the behavior of the value of biotechnology R&D used in a Real Options Pricing model is significantly more accurate than the traditionally used Gaussian approach. A study of 287 North-American biotechnology firms gives insights into common problems faced by investors, managers and other stakeholders when using traditional techniques to calculate the commercial value of R&D. This is important because specific quantitative tools to assess the value of high-risk, high-reward R&D do not currently exist. This often leads to an undervaluation of biotechnology R&D and R&D intensive biotechnology firms. For example, the widely used Net Present Value (NPV) method assumes a fixed risk ignoring management flexibility and the changing environment. However, Real Options Pricing models assume that commercial returns from R&D investments are described by a normal random walk. A normal random walk model eliminates the possibility of drastic changes to the marketplace resulting from the introduction of revolutionary products and/or services. It is possible to better understand and manage biotechnology research projects and portfolios using a model that more accurately considers large non-Gaussian price fluctuations with thick tails, which recognize the unusually large risks and opportunities associated with Biotechnology R&D. Our empirical data show that opportunity overcompensates for the downside risk making biotechnology R&D statistically more valuable than other Gaussian options investments, which may otherwise appear to offer a similar combination of risk and return. Copyright © 2013 Elsevier B.V. All rights reserved.

Wavelet methods for Black-Scholes model of one and two assets

NASA Astrophysics Data System (ADS)

Al-Lawatia, M.

2012-07-01

A review of application of wavelet methods to Black-Scholes model of option pricing technology along wih some new results is presented. This paper is essentially based on interesting papers; Bouchouev and Isakov [8], Bouchouev, Isakov and Valadivia [9] and Shen and Strang [40].

Simple Heuristic Approach to Introduction of the Black-Scholes Model

ERIC Educational Resources Information Center

Yalamova, Rossitsa

2010-01-01

A heuristic approach to explaining of the Black-Scholes option pricing model in undergraduate classes is described. The approach draws upon the method of protocol analysis to encourage students to "think aloud" so that their mental models can be surfaced. It also relies upon extensive visualizations to communicate relationships that are…

78 FR 7835 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing of Proposed Rule Change...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-02-04

... at $145 per share would carry a total deliverable value of $145,000, and the strike price would be... Jumbo option strike price of $145 was trading at $146 per share, the intrinsic $1 per share value would... Shares Deliverable Upon Exercise 100 shares........ 1,000 shares Strike Price if underlying is 45 45 $45...

76 FR 23849 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-04-28

... Change To Permit the Listing of Series With $0.50 and $1 Strike Price Increments on Certain Options Used... price is between $75 and $150 for option series used to calculate volatility indexes. The text of the... option series used to calculate volatility indexes. The proposal is based on a recently approved rule...

77 FR 62277 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-10-12

... closing rotation procedures to determine the month-end closing price for each series of S&P 500 Index options based on the theoretical fair value of such series. The text of the proposed rule change is... month-end, the closing price of each series of S&P 500 Index (``SPX'') options are aligned with the...

An inverse finance problem for estimation of the volatility

NASA Astrophysics Data System (ADS)

Neisy, A.; Salmani, K.

2013-01-01

Black-Scholes model, as a base model for pricing in derivatives markets has some deficiencies, such as ignoring market jumps, and considering market volatility as a constant factor. In this article, we introduce a pricing model for European-Options under jump-diffusion underlying asset. Then, using some appropriate numerical methods we try to solve this model with integral term, and terms including derivative. Finally, considering volatility as an unknown parameter, we try to estimate it by using our proposed model. For the purpose of estimating volatility, in this article, we utilize inverse problem, in which inverse problem model is first defined, and then volatility is estimated using minimization function with Tikhonov regularization.

A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance

NASA Astrophysics Data System (ADS)

Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide

2016-12-01

We propose a numerical method to compute the first-passage probability density function in a time-changed Brownian model. In particular, we derive an integral representation of such a density function in which the integrand functions must be obtained solving a system of Volterra equations of the first kind. In addition, we develop an ad-hoc numerical procedure to regularize and solve this system of integral equations. The proposed method is tested on three application problems of interest in mathematical finance, namely the calculation of the survival probability of an indebted firm, the pricing of a single-knock-out put option and the pricing of a double-knock-out put option. The results obtained reveal that the novel approach is extremely accurate and fast, and performs significantly better than the finite difference method.

Applications of δ-function perturbation to the pricing of derivative securities

NASA Astrophysics Data System (ADS)

Decamps, Marc; De Schepper, Ann; Goovaerts, Marc

2004-11-01

In the recent econophysics literature, the use of functional integrals is widespread for the calculation of option prices. In this paper, we extend this approach in several directions by means of δ-function perturbations. First, we show that results about infinitely repulsive δ-function are applicable to the pricing of barrier options. We also introduce functional integrals over skew paths that give rise to a new European option formula when combined with δ-function potential. We propose accurate closed-form approximations based on the theory of comonotonic risks in case the functional integrals are not analytically computable.

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)

A regularization approach to continuous learning with an application to financial derivatives pricing.

PubMed

Ormoneit, D

1999-12-01

We consider the training of neural networks in cases where the nonlinear relationship of interest gradually changes over time. One possibility to deal with this problem is by regularization where a variation penalty is added to the usual mean squared error criterion. To learn the regularized network weights we suggest the Iterative Extended Kalman Filter (IEKF) as a learning rule, which may be derived from a Bayesian perspective on the regularization problem. A primary application of our algorithm is in financial derivatives pricing, where neural networks may be used to model the dependency of the derivatives' price on one or several underlying assets. After giving a brief introduction to the problem of derivatives pricing we present experiments with German stock index options data showing that a regularized neural network trained with the IEKF outperforms several benchmark models and alternative learning procedures. In particular, the performance may be greatly improved using a newly designed neural network architecture that accounts for no-arbitrage pricing restrictions.

Internet Access and Pricing: Sorting Out the Options.

ERIC Educational Resources Information Center

Fowler, Thomas B.

1997-01-01

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

Option Price Estimates for Water Quality Improvements: A Contingent Valuation Study for the Monongahela River (1985)

EPA Pesticide Factsheets

This paper presents the findings from a contingent valuation survey designed to estimate the option price bids for the improved recreation resulting from enhanced water quality in the Pennsylvania portion of the Monongahela River.

Study protocol: combining experimental methods, econometrics and simulation modelling to determine price elasticities for studying food taxes and subsidies (The Price ExaM Study).

PubMed

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 options. Findings will inform policy on health-related food taxes and subsidies. Australian New Zealand Clinical Trials Registry ACTRN12616000122459 (registered 3 February 2016).

78 FR 4505 - Options Price Reporting Authority; Notice of Filing of Proposed Amendment to the Plan for...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-01-22

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-68655; File No. SR-OPRA-2012-07] Options Price Reporting Authority; Notice of Filing of Proposed Amendment to the Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information To Amend Section 3.5 of the OPRA Plan January 15, 2013. Pursuant to Section 11A of the...

26 CFR 1.457-11 - Tax treatment of participants if plan is not an eligible plan.

Code of Federal Regulations, 2010 CFR

2010-04-01

..., grants an option to acquire property to employee C. The option lacks a readily ascertainable fair market... within the meaning of section 83(c)(1)). Z exercises the option in 2012 by paying an exercise price of... of the basis that results from the $100,000 of income in 2004 and the $75,000 exercise price. Example...

Efficient option valuation of single and double barrier options

NASA Astrophysics Data System (ADS)

Kabaivanov, Stanimir; Milev, Mariyan; Koleva-Petkova, Dessislava; Vladev, Veselin

2017-12-01

In this paper we present an implementation of pricing algorithm for single and double barrier options using Mellin transformation with Maximum Entropy Inversion and its suitability for real-world applications. A detailed analysis of the applied algorithm is accompanied by implementation in C++ that is then compared to existing solutions in terms of efficiency and computational power. We then compare the applied method with existing closed-form solutions and well known methods of pricing barrier options that are based on finite differences.

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.

17 CFR 240.15c3-1f - Optional market and credit risk requirements for OTC derivatives dealers (Appendix F to 17 CFR...

Code of Federal Regulations, 2010 CFR

2010-04-01

... charges. An OTC derivatives dealer shall provide a description of all statistical models used for pricing... controls over those models, and a statement regarding whether the firm has developed its own internal VAR models. If the OTC derivatives dealer's VAR model incorporates empirical correlations across risk...

Three essays on auction markets

NASA Astrophysics Data System (ADS)

Shunda, Nicholas James

This dissertation contains a series of theoretical investigations of auction markets. The essays it contains cover wholesale electricity markets, a popular selling mechanism on eBay, and supplier entry into multi-unit procurement auctions. The study in Chapter 1 compares the procurement cost-minimizing and productive efficiency performance of the auction mechanism used by independent system operators in wholesale electricity auction markets in the U.S. with that of a proposed alternative. The current practice allocates energy contracts as if the auction featured a discriminatory final payment method when, in fact, the markets are uniform price auctions. The proposed alternative explicitly accounts for the market-clearing price during the allocation phase. We find that the proposed alternative largely outperforms the current practice on the basis of procurement costs in the context of simple auction markets featuring both day-ahead and real-time auctions and that the procurement cost advantage of the alternative is complete when we simulate the effects of increased competition. We also find that a tradeoff between the objectives of procurement cost minimization and productive efficiency emerges in our simple auction markets and persists in the face of increased competition. The study in Chapter 2 considers a possible rationale for an auction with a buy price. In an auction with a buy price, the seller provides bidders with an option to end the auction early by accepting a transaction at a posted price. The "Buy-It-Now" option on eBay is a leading example of an auction with a buy price. The study develops a model of an auction with a buy price in which bidders use the auction's reserve price and buy price to formulate a reference price. The model both explains why a revenue-maximizing seller would want to augment her auction with a buy price and demonstrates that the seller sets a higher reserve price when she can affect the bidders' reference price through the auction's reserve price and buy price than when she can affect the bidders' reference price through the auction's reserve price only. Introducing a small reference-price effect can shrink the range of buy prices bidders are willing to exercise. The comparative statics properties of bidding behavior are in sharp contrast to equilibrium behavior in other models where the existence and size of the auction's buy price have no effect on bidding behavior. The study in Chapter 3 investigates endogenous entry in multi-unit auctions. We formulate and study models of multi-unit discriminatory and uniform price auctions and investigate the entry incentives and procurement costs they generate in equilibrium. We study two types of endogenous entry: in auctions with "interim entry costs," suppliers know their private cost information before deciding whether or not to undertake entry; in auctions with ex ante entry costs, suppliers do not know their private cost information before deciding whether or not to enter. The discriminatory and uniform price auctions are efficient and procurement cost equivalent in all the environments we study. With interim entry costs, the two auctions provide identical entry incentives. In contrast, with ex ante entry costs, suppliers enter the discriminatory auction at a higher rate than they enter the uniform price auction.

For the last time: stock options are an expense.

PubMed

Bodie, Zvi; Kaplan, Robert S; Merton, Robert C

2003-03-01

Should stock options be recorded as an expense on a company's income statement and balance sheet, or should they remain where they are, relegated to footnotes? The extraordinary boom in share prices during the Internet bubble made critics of option expensing look like spoilsports. But since the crash, the debate has returned with a vengeance. And no wonder: The authors believe the case for expensing options is overwhelming. In this article, Nobel Iaureate Robert Merton, one of the inventors of the Black-Scholes option-pricing model; his coauthor on the classic textbook Finance, Zvi Bodie; and Robert Kaplan, creator of the Balanced Scorecard, examine and dismiss the principal claims put forward by those who continue to oppose options expensing. They demonstrate that stock-option grants do indeed have real cash-flow implications that need to be reported. They show that effective ways certainly exist to quantify those implications. They detail the distortions that relegating stock-option accounting to footnotes creates. And they show why reporting option costs should in no way hamper young companies in their efforts to provide incentives. Options are indeed a powerful incentive, the authors agree, and failing to record a transaction that creates such powerful effects is economically indefensible. Worse, it encourages companies to favor options over alternative incentive systems. It is not the proper role of accounting standards, the authors argue, to distort executive and employee compensation by subsidizing one particular form of compensation and no other. Companies should choose compensation methods according to their economic benefits--not the way they are reported.

Fuzzy usage pattern in customizing public transport fleet and its maintenance options

NASA Astrophysics Data System (ADS)

Husniah, H.; Herdiani, L.; Kusmaya; Supriatna, A. K.

2018-05-01

In this paper we study a two-dimensional maintenance contract for a fleet of public transport, such as buses, shuttle etc. The buses are sold with a two-dimensional warranty. The warranty and the maintenance contract are characterized by two parameters – age and usage – which define a two-dimensional region. However, we use one dimensional approach to model these age and usage of the buses. The under-laying maintenance service contracts is the one which offers policy limit cost to protect a service provider (an agent) from over claim and to pursue the owner to do maintenance under specified cost in house. This in turn gives benefit for both the owner of the buses and the agent of service contract. The decision problem for an agent is to determine the optimal price for each option offered, and for the owner is to select the best contract option. We use a Nash game theory formulation in order to obtain a win-win solution – i.e. the optimal price for the agent and the optimal option for the owner. We further assume that there will be three different usage pattern of the buses, i.e. low, medium, and high pattern of the usage rate. In many situations it is often that we face a blur boundary between the adjacent patterns. In this paper we look for the optimal price for the agent and the optimal option for the owner, which minimizes the expected total cost while considering the fuzziness of the usage rate pattern.

Advanced Numerical Methods for Computing Statistical Quantities of Interest from Solutions of SPDES

DTIC Science & Technology

2012-01-19

and related optimization problems; developing numerical methods for option pricing problems in the presence of random arbitrage return. 1. Novel...equations (BSDEs) are connected to nonlinear partial differen- tial equations and non-linear semigroups, to the theory of hedging and pricing of contingent...the presence of random arbitrage return [3] We consider option pricing problems when we relax the condition of no arbitrage in the Black- Scholes

Comment on “Time-changed geometric fractional Brownian motion and option pricing with transaction costs” by Hui Gu et al.

NASA Astrophysics Data System (ADS)

Guo, Zhidong; Song, Yukun; Zhang, Yunliang

2013-05-01

The purpose of this comment is to point out the inappropriate assumption of “3αH>1” and two problems in the proof of “Theorem 3.1” in section 3 of the paper “Time-changed geometric fractional Brownian motion and option pricing with transaction costs” by Hui Gu et al. [H. Gu, J.R. Liang, Y. X. Zhang, Time-changed geometric fractional Brownian motion and option pricing with transaction costs, Physica A 391 (2012) 3971-3977]. Then we show the two problems will be solved under our new assumption.

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

DOE Office of Scientific and Technical Information (OSTI.GOV)

Bonnans, J. Frederic, E-mail: frederic.bonnans@inria.fr; Tan Xiaolu, E-mail: xiaolu.tan@polytechnique.edu

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.

Understanding Financial Innovation: An Introduction to Derivative Financial Products.

ERIC Educational Resources Information Center

Robinson, J. N.

1992-01-01

Explains the use of forwards, futures, swaps, and options in international currency trading. Argues that pricing options are based on the same basic principles as pricing other financial instruments. Concludes that, although financial markets have developed several new products, hedging and speculation involve similar processes. (CFR)

The reaction of private physicians to price deregulation in France.

PubMed

Carrere, M O

1991-01-01

French private physicians are paid on a fee-for-service basis and nearly all of them are under contract to the Social Security, which refunds part of the medical fee to the whole population. Previously the prices of medical services were fixed, but since 1980, a new option has been possible: a doctor can choose to fix the price of his services freely, provided he pays a higher social insurance contribution. But the amount refunded by Social Security does not vary, so that the consumer has to bear the extra charge. Our purpose here is to identify the factors that influence the physician's option. In Section 2, we define a model of the private physician's economic behaviour, of the classic income-leisure type. In Section 3, empirical tests are performed on a sample of observations in 95 'départements', gathering information about private GPs on the one hand, and the whole population on the other. According to our results, GPs' decisions depend on characteristics of both supply of and demand for GPs' services. One of our conclusions is that GPs seem to make up for low activity levels with higher prices, on condition the income of their practice allows it.

Determinants of orphan drugs prices in France: a regression analysis.

PubMed

Korchagina, Daria; Millier, Aurelie; Vataire, Anne-Lise; Aballea, Samuel; Falissard, Bruno; Toumi, Mondher

2017-04-21

The introduction of the orphan drug legislation led to the increase in the number of available orphan drugs, but the access to them is often limited due to the high price. Social preferences regarding funding orphan drugs as well as the criteria taken into consideration while setting the price remain unclear. The study aimed at identifying the determinant of orphan drug prices in France using a regression analysis. All drugs with a valid orphan designation at the moment of launch for which the price was available in France were included in the analysis. The selection of covariates was based on a literature review and included drug characteristics (Anatomical Therapeutic Chemical (ATC) class, treatment line, age of target population), diseases characteristics (severity, prevalence, availability of alternative therapeutic options), health technology assessment (HTA) details (actual benefit (AB) and improvement in actual benefit (IAB) scores, delay between the HTA and commercialisation), and study characteristics (type of study, comparator, type of endpoint). The main data sources were European public assessment reports, HTA reports, summaries of opinion on orphan designation of the European Medicines Agency, and the French insurance database of drugs and tariffs. A generalized regression model was developed to test the association between the annual treatment cost and selected covariates. A total of 68 drugs were included. The mean annual treatment cost was €96,518. In the univariate analysis, the ATC class (p = 0.01), availability of alternative treatment options (p = 0.02) and the prevalence (p = 0.02) showed a significant correlation with the annual cost. The multivariate analysis demonstrated significant association between the annual cost and availability of alternative treatment options, ATC class, IAB score, type of comparator in the pivotal clinical trial, as well as commercialisation date and delay between the HTA and commercialisation. The orphan drug pricing is a multivariate phenomenon. The complex association between drug prices and the studied attributes and shows that payers integrate multiple variables in decision making when setting orphan drug prices. The interpretation of the study results is limited by the small sample size and the complex data structure.

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

NASA Astrophysics Data System (ADS)

Knapp, Karl Eric

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

Stock and option portfolio using fuzzy logic approach

NASA Astrophysics Data System (ADS)

Sumarti, Novriana; Wahyudi, Nanang

2014-03-01

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

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

Code of Federal Regulations, 2011 CFR

2011-10-01

... contract price adjustment. An example of a contract pricing method that the contracting officer might... contracts containing construction requirements and option provisions that extend the term of the contract... SOCIOECONOMIC PROGRAMS APPLICATION OF LABOR LAWS TO GOVERNMENT ACQUISITIONS Labor Standards for Contracts...

17 CFR 34.2 - Definitions.

Code of Federal Regulations, 2012 CFR

2012-04-01

... decomposed into an option payout or payouts, is measured by the absolute net value of the put option premia with strike prices less than or equal to the reference price plus the absolute net value of the call... which a commodity-dependent payment becomes non-zero, or, in the case where two potential reference...

17 CFR 34.2 - Definitions.

Code of Federal Regulations, 2013 CFR

2013-04-01

... decomposed into an option payout or payouts, is measured by the absolute net value of the put option premia with strike prices less than or equal to the reference price plus the absolute net value of the call... which a commodity-dependent payment becomes non-zero, or, in the case where two potential reference...

17 CFR 34.2 - Definitions.

Code of Federal Regulations, 2011 CFR

2011-04-01

... decomposed into an option payout or payouts, is measured by the absolute net value of the put option premia with strike prices less than or equal to the reference price plus the absolute net value of the call... which a commodity-dependent payment becomes non-zero, or, in the case where two potential reference...

17 CFR 34.2 - Definitions.

Code of Federal Regulations, 2010 CFR

2010-04-01

... decomposed into an option payout or payouts, is measured by the absolute net value of the put option premia with strike prices less than or equal to the reference price plus the absolute net value of the call... which a commodity-dependent payment becomes non-zero, or, in the case where two potential reference...

17 CFR 34.2 - Definitions.

Code of Federal Regulations, 2014 CFR

2014-04-01

... decomposed into an option payout or payouts, is measured by the absolute net value of the put option premia with strike prices less than or equal to the reference price plus the absolute net value of the call... which a commodity-dependent payment becomes non-zero, or, in the case where two potential reference...

Cost-effectiveness analysis of therapeutic options for chronic hepatitis C genotype 3 infected patients.

PubMed

Gimeno-Ballester, Vicente; Mar, Javier; O'Leary, Aisling; Adams, Róisín; San Miguel, Ramón

2017-01-01

This study provides a cost-effectiveness analysis of therapeutic strategies for chronic hepatitis C genotype 3 infected patients in Spain. A Markov model was designed to simulate the progression in a cohort of patients aged 50 years over a lifetime horizon. Sofosbuvir (SOF) plus peginterferon and ribavirin for 12 weeks was a cost-effective option when compared to standard of care (SoC) in the treatment of both 'moderate fibrosis' and 'cirrhotic' patients. Incremental cost-effectiveness ratios were €35,276/QALY and €18,374/QALY respectively. ICERs for SOF plus daclatasvir (DCV) regimens versus SoC were over the threshold limit considered, at €56,178/QALY and €77,378/QALY for 'moderate fibrosis' and 'cirrhotic' patients respectively. Addition of SOF to IFN-based regimens for genotype 3 was cost-effective for both 'moderate fibrosis' and 'cirrhotic' patients. IFN-free options including SOF and DCV association required price reductions lower than the list prices to be considered cost-effective.

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

Code of Federal Regulations, 2012 CFR

2012-01-01

... appendix are models; their use is optional. 3. A person may change the forms by rearranging the format or... when rearranging the format of the model forms. a. Acceptable changes include, for example: i. Corrections or updates to telephone numbers, mailing addresses, or Web site addresses that may change over...

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)

DOE Office of Scientific and Technical Information (OSTI.GOV)

Brooker, A.; Gonder, J.; Lopp, S.

The Automotive Deployment Option Projection Tool (ADOPT) is a light-duty vehicle consumer choice and stock model supported by the U.S. Department of Energy’s Vehicle Technologies Office. It estimates technology improvement impacts on U.S. light-duty vehicles sales, petroleum use, and greenhouse gas emissions. ADOPT uses techniques from the multinomial logit method and the mixed logit method estimate sales. Specifically, it estimates sales based on the weighted value of key attributes including vehicle price, fuel cost, acceleration, range and usable volume. The average importance of several attributes changes nonlinearly across its range and changes with income. For several attributes, a distribution ofmore » importance around the average value is used to represent consumer heterogeneity. The majority of existing vehicle makes, models, and trims are included to fully represent the market. The Corporate Average Fuel Economy regulations are enforced. The sales feed into the ADOPT stock model. It captures key aspects for summing petroleum use and greenhouse gas emissions This includes capturing the change in vehicle miles traveled by vehicle age, the creation of new model options based on the success of existing vehicles, new vehicle option introduction rate limits, and survival rates by vehicle age. ADOPT has been extensively validated with historical sales data. It matches in key dimensions including sales by fuel economy, acceleration, price, vehicle size class, and powertrain across multiple years. A graphical user interface provides easy and efficient use. It manages the inputs, simulation, and results.« less

Estimated effect of alcohol pricing policies on health and health economic outcomes in England: an epidemiological model.

PubMed

Purshouse, Robin C; Meier, Petra S; Brennan, Alan; Taylor, Karl B; Rafia, Rachid

2010-04-17

Although pricing policies for alcohol are known to be effective, little is known about how specific interventions affect health-care costs and health-related quality-of-life outcomes for different types of drinkers. We assessed effects of alcohol pricing and promotion policy options in various population subgroups. We built an epidemiological mathematical model to appraise 18 pricing policies, with English data from the Expenditure and Food Survey and the General Household Survey for average and peak alcohol consumption. We used results from econometric analyses (256 own-price and cross-price elasticity estimates) to estimate effects of policies on alcohol consumption. We applied risk functions from systemic reviews and meta-analyses, or derived from attributable fractions, to model the effect of consumption changes on mortality and disease prevalence for 47 illnesses. General price increases were effective for reduction of consumption, health-care costs, and health-related quality of life losses in all population subgroups. Minimum pricing policies can maintain this level of effectiveness for harmful drinkers while reducing effects on consumer spending for moderate drinkers. Total bans of supermarket and off-license discounting are effective but banning only large discounts has little effect. Young adult drinkers aged 18-24 years are especially affected by policies that raise prices in pubs and bars. Minimum pricing policies and discounting restrictions might warrant further consideration because both strategies are estimated to reduce alcohol consumption, and related health harms and costs, with drinker spending increases targeting those who incur most harm. Policy Research Programme, UK Department of Health. Copyright 2010 Elsevier Ltd. All rights reserved.

The dynamics of stock exchange based on the formalism of weak continuous quantum measurement

NASA Astrophysics Data System (ADS)

Melnyk, S.; Tuluzov, I.

2010-07-01

The problem of measurement in economic models and the possibility of their quantum-mechanical description are considered. It is revealed that the apparent paradox of such a description is associated with a priori requirement of conformity of the model to all the alternatives of free choice of the observer. The measurement of the state of a trader on a stock exchange is formally defined as his responses to the proposals of sale at a fixed price. It is shown that an analogue of Bell's inequalities for this measurement model is violated at the most general assumptions related to the strategy of the trader and requires a quantum-mechanical description of the dynamics of his condition. In the framework of the theory of weak continuous quantum measurements, the equation of stock price dynamics and the quantum-mechanical generalization of the F. Black and M. Scholes model for pricing options are obtained. The fundamental distinctions between the obtained model and the classical one are discussed.

Modeling the Impact of Energy and Water Prices on Reservoir and Aquifer Management

NASA Astrophysics Data System (ADS)

Dale, L. L.; Vicuna, S.; Faybishenko, B.

2008-12-01

Climate change and polices to limit carbon emissions are likely to increase energy and water scarcity and raise prices. These price impacts affect the way that reservoirs and aquifers should be managed to maximize the value of water and energy outputs. In this paper, we use a model of storage in a specific region to illustrate how energy and water prices affect optimal reservoir and aquifer management. We evaluate reservoir-aquifer water management in the Merced water basin in California, applying an optimization model of storage benefits associated with different management options and input prices. The model includes two submodels: (a) a monthly nonlinear submodel for optimization of the conjunctive energy/water use and (b) an inter-annual stochastic dynamic programming submodel used for determining an operating rule matrix which maximizes system benefits for given economic and hydrologic conditions. The model input parameters include annual inflows, initial storage, crop water demands, crop prices and electricity prices. The model is used to determine changes in net energy generation and water delivery and associated changes in water storage levels caused by changes in water and energy output prices. For the scenario of water/energy tradeoffs for a pure reservoir (with no groundwater use), we illustrate the tradeoff between the agricultural water use and hydropower generation (MWh) for different energy/agriculture price ratios. The analysis is divided into four steps. The first and second steps describe these price impacts on reservoirs and aquifers, respectively. The third step covers price impacts on conjunctive reservoir and aquifer management. The forth step describes price impacts on reservoir and aquifer storage in the more common historical situation, when these facilities are managed separately. The study indicates that optimal reservoir and aquifer storage levels are a positive function of the energy to water price ratio. The study also concludes that conjunctive use of a reservoir and an aquifer tends to force convergence in the long term, multiyear, average groundwater and reservoir storage heads. The results of this study can be used for developing an efficient strategy of managing energy and water resources in different regions across a broad range of climatic, agricultural, and economic scenarios.

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.

77 FR 4070 - Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-01-26

... all the option series have the same expiration.\\7\\ The functionality is designed to detect scenarios... designed to prevent incoming orders from automatically executing at potentially erroneous prices. These price check parameter features are designed to help maintain a fair and orderly market. The Exchange is...

77 FR 68877 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-11-16

... pricing for NASDAQ members using the NASDAQ Options Market (``NOM''), NASDAQ's facility for executing and... recoup costs that the Exchange incurs for routing and executing certain orders in equity options to the International Securities Exchange, LLC (``ISE''). The Exchange's Pricing Schedule at Chapter XV, Section 2(4...

75 FR 51306 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-08-19

... systems capacity to handle the additional traffic associated with the listing and trading of $1 strikes... Relating to Establishing Strike Price Intervals for Options on Trust Issued Receipts, Including Holding... Rules of the Boston Options Exchange Group, LLC (``BOX'') to establish strike price intervals for...

Estimation of option-implied risk-neutral into real-world density by using calibration function

NASA Astrophysics Data System (ADS)

Bahaludin, Hafizah; Abdullah, Mimi Hafizah

2017-04-01

Option prices contain crucial information that can be used as a reflection of future development of an underlying assets' price. The main objective of this study is to extract the risk-neutral density (RND) and the risk-world density (RWD) of option prices. A volatility function technique is applied by using a fourth order polynomial interpolation to obtain the RNDs. Then, a calibration function is used to convert the RNDs into RWDs. There are two types of calibration function which are parametric and non-parametric calibrations. The density is extracted from the Dow Jones Industrial Average (DJIA) index options with a one month constant maturity from January 2009 until December 2015. The performance of RNDs and RWDs extracted are evaluated by using a density forecasting test. This study found out that the RWDs obtain can provide an accurate information regarding the price of the underlying asset in future compared to that of the RNDs. In addition, empirical evidence suggests that RWDs from a non-parametric calibration has a better accuracy than other densities.

Pricing unit-linked insurance with guaranteed benefit

NASA Astrophysics Data System (ADS)

Iqbal, M.; Novkaniza, F.; Novita, M.

2017-07-01

Unit-linked insurance is an investment-linked insurance, that is, the given benefit is the premium investment out-come. Recently, the most widely marketed insurance in the industry is unit-linked insurance with guaranteed benefit. With guaranteed benefit applied, the insurance benefits form is similar to the payoff form of European call option. Thereby, pricing European call option is involved in pricing unit-linked insurance with guaranteed benefit. The dynamics of investment outcome is assumed to follow stochastic interest rate. Hence, change of measure methods is used in pricing unit-linked insurance. The discount factor with stochastic interest rate needs to be modified as well to be zero coupon bond price. Eventually, the insurance premium is calculated by equivalence principle with guaranteed benefit and insurance period explicitly given.

Retrading, production, and asset market performance.

PubMed

Gjerstad, Steven D; Porter, David; Smith, Vernon L; Winn, Abel

2015-11-24

Prior studies have shown that traders quickly converge to the price-quantity equilibrium in markets for goods that are immediately consumed, but they produce speculative price bubbles in resalable asset markets. We present a stock-flow model of durable assets in which the existing stock of assets is subject to depreciation and producers may produce additional units of the asset. In our laboratory experiments inexperienced consumers who can resell their units disregard the consumption value of the assets and compete vigorously with producers, depressing prices and production. Consumers who have first participated in experiments without resale learn to heed their consumption values and, when they are given the option to resell, trade at equilibrium prices. Reproducibility is therefore the most natural and most effective treatment for suppression of bubbles in asset market experiments.

DOE Office of Scientific and Technical Information (OSTI.GOV)

Vanderbei, Robert J., E-mail: rvdb@princeton.edu; P Latin-Small-Letter-Dotless-I nar, Mustafa C., E-mail: mustafap@bilkent.edu.tr; Bozkaya, Efe B.

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 problemmore » 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.« less

7 CFR 1955.66 - Lease of real property.

Code of Federal Regulations, 2011 CFR

2011-01-01

... leased or rented (market rent). Inventory property will not be leased for a token amount. (1) Farm... payment assistance, if any) calculated on the basis of the price of the house and income of the lessee... price. (2) The purchase price (option price) will be the advertised sales price as determined by an...

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.

Funding innovation for treatment for rare diseases: adopting a cost-based yardstick approach

PubMed Central

2013-01-01

Background Manufacturers justify the high prices for orphan drugs on the basis that the associated R&D costs must be spread over few patients. The proliferation of these drugs in the last three decades, combined with high prices commonly in excess of $100,000 per patient per year are placing a substantial strain on the budgets of drug plans in many countries. Do insurers spend a growing portion of their budgets on small patient populations, or leave vulnerable patients without coverage for valuable treatments? We suggest that a third option is present in the form of a cost-based regulatory mechanism. Methods This article explores the use of a cost-based price control mechanism for orphan drugs, adapted from the standard models applied in utilities regulation. Results and conclusions A rate-of-return style model, employing yardsticked cost allocations and a modified two-stage rate of return calculation could be effective in setting a new standard for orphan drugs pricing. This type of cost-based pricing would limit the costs faced by insurers while continuing to provide an efficient incentive for new drug development. PMID:24237605

Option volatility and the acceleration Lagrangian

NASA Astrophysics Data System (ADS)

Baaquie, Belal E.; Cao, Yang

2014-01-01

This paper develops a volatility formula for option on an asset from an acceleration Lagrangian model and the formula is calibrated with market data. The Black-Scholes model is a simpler case that has a velocity dependent Lagrangian. The acceleration Lagrangian is defined, and the classical solution of the system in Euclidean time is solved by choosing proper boundary conditions. The conditional probability distribution of final position given the initial position is obtained from the transition amplitude. The volatility is the standard deviation of the conditional probability distribution. Using the conditional probability and the path integral method, the martingale condition is applied, and one of the parameters in the Lagrangian is fixed. The call option price is obtained using the conditional probability and the path integral method.

Multirole cargo aircraft options and configurations

NASA Technical Reports Server (NTRS)

Conner, D. W.; Vaughan, J. C., III

1979-01-01

The paper discusses multirole cargo aircraft options and configurations. It was shown that derivatives of current wide-body aircraft would be economically attractive through 2008, but new dedicated airfreighters incorporating 1990 technology would offer little or no economic incentive. Option studies indicate that Mach 0.7 propfans would be economically attractive in trip cost, aircraft price, and airline ROI; spanloaders would be lower priced with higher ROI, but would have a relatively higher trip cost because of aerodynamic inefficiencies. Finally, air cushion landing gear configurations are identified as an option for avoiding runway constraints on airport accommodation of very large airfreighters.

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.

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

Code of Federal Regulations, 2014 CFR

2014-01-01

... addresses that may change over time. ii. The addition of graphics or icons, such as the person's corporate... rate. All forms contained in this appendix are models; their use is optional. 3. A person may change... required to conduct consumer testing when rearranging the format of the model forms. a. Acceptable changes...

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

Federal Register 2010, 2011, 2012, 2013, 2014

2012-09-14

... category is OTC options that have the same degree of customization as FLEX options. The third category... customization as FLEX options, and (iv) customized options where the strike price is expressed in percentage...

Technologies that complement congestion pricing : a primer.

DOT National Transportation Integrated Search

2008-10-01

The purpose of this volume is to consider the technology options that are available to complement congestion-pricing approaches. This primer explores how technology broadens the success for congestion pricing by supporting the traveler's decision to ...

78 FR 69711 - Change in Postal Rates

Federal Register 2010, 2011, 2012, 2013, 2014

2013-11-20

.... Domestic Extra Services. Premium Forwarding Service prices increase slightly, and a new pricing option is... volume threshold for cubic pricing and other Commercial Plus offerings are decreased to 50,000 packages... methods for which GXG Commercial Base and PMEI Commercial Base pricing is available; the establishment of...

Modelling and Computation in the Valuation of Carbon Derivatives with Stochastic Convenience Yields

PubMed Central

Chang, Shuhua; Wang, Xinyu

2015-01-01

The anthropogenic greenhouse gas (GHG) emission has risen dramatically during the last few decades, which mainstream researchers believe to be the main cause of climate change, especially the global warming. The mechanism of market-based carbon emission trading is regarded as a policy instrument to deal with global climate change. Although several empirical researches about the carbon allowance and its derivatives price have been made, theoretical results seem to be sparse. In this paper, we theoretically develop a mathematical model to price the CO2 emission allowance derivatives with stochastic convenience yields by the principle of absence of arbitrage opportunities. In the case of American options, we formulate the pricing problem to a linear parabolic variational inequality (VI) in two spatial dimensions and develop a power penalty method to solve it. Then, a fitted finite volume method is designed to solve the nonlinear partial differential equation (PDE) resulting from the power penalty method and governing the futures, European and American option valuation. Moreover, some numerical results are performed to illustrate the efficiency and usefulness of this method. We find that the stochastic convenience yield does effect the valuation of carbon emission derivatives. In addition, some sensitivity analyses are also made to examine the effects of some parameters on the valuation results. PMID:26010900

Modelling and computation in the valuation of carbon derivatives with stochastic convenience yields.

PubMed

Chang, Shuhua; Wang, Xinyu

2015-01-01

The anthropogenic greenhouse gas (GHG) emission has risen dramatically during the last few decades, which mainstream researchers believe to be the main cause of climate change, especially the global warming. The mechanism of market-based carbon emission trading is regarded as a policy instrument to deal with global climate change. Although several empirical researches about the carbon allowance and its derivatives price have been made, theoretical results seem to be sparse. In this paper, we theoretically develop a mathematical model to price the CO2 emission allowance derivatives with stochastic convenience yields by the principle of absence of arbitrage opportunities. In the case of American options, we formulate the pricing problem to a linear parabolic variational inequality (VI) in two spatial dimensions and develop a power penalty method to solve it. Then, a fitted finite volume method is designed to solve the nonlinear partial differential equation (PDE) resulting from the power penalty method and governing the futures, European and American option valuation. Moreover, some numerical results are performed to illustrate the efficiency and usefulness of this method. We find that the stochastic convenience yield does effect the valuation of carbon emission derivatives. In addition, some sensitivity analyses are also made to examine the effects of some parameters on the valuation results.

Remarks on a financial inverse problem by means of Monte Carlo Methods

NASA Astrophysics Data System (ADS)

Cuomo, Salvatore; Di Somma, Vittorio; Sica, Federica

2017-10-01

Estimating the price of a barrier option is a typical inverse problem. In this paper we present a numerical and statistical framework for a market with risk-free interest rate and a risk asset, described by a Geometric Brownian Motion (GBM). After approximating the risk asset with a numerical method, we find the final option price by following an approach based on sequential Monte Carlo methods. All theoretical results are applied to the case of an option whose underlying is a real stock.

Convergence analysis of a monotonic penalty method for American option pricing

NASA Astrophysics Data System (ADS)

Zhang, Kai; Yang, Xiaoqi; Teo, Kok Lay

2008-12-01

This paper is devoted to study the convergence analysis of a monotonic penalty method for pricing American options. A monotonic penalty method is first proposed to solve the complementarity problem arising from the valuation of American options, which produces a nonlinear degenerated parabolic PDE with Black-Scholes operator. Based on the variational theory, the solvability and convergence properties of this penalty approach are established in a proper infinite dimensional space. Moreover, the convergence rate of the combination of two power penalty functions is obtained.

Tradeoffs between Price and Quality: How a Value Index Affects Preference Formation.

ERIC Educational Resources Information Center

Creyer, Elizabeth H.; Ross, William T., Jr.

1997-01-01

Some of a group of 143 consumers were given a choice between higher-priced, higher-quality items and items with lower price and quality but higher value index (benefit/cost tradeoff); others were given price and quality information only. Consumers were more likely to choose lower-priced, higher-value options when the index information was…

76 FR 74095 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

.... Rights and warrants entitle owners to purchase shares of stock at predetermined prices subject to various timing and other conditions. Like options, the price of rights and warrants are affected by the price of... consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying...

76 FR 71092 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-16

... quoted prices in the respective SPX series at the time of execution, each constituent execution will be... Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou, Goldman Sachs Quantitative Strategies Research... series. The following table shows the SPX option mid-quote prices prevailing at the time of the S&P 500...

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

Code of Federal Regulations, 2010 CFR

2010-10-01

... contract price as a result of the incorporation of a new or revised wage determination at the exercise of... contracting officer may include in the contract a separately specified pricing method that permits an... term of the contract. At the time of option exercise, the contracting officer must incorporate a new...

76 FR 5644 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-02-01

... Effectiveness of Proposed Rule Change Regarding the Listing of Option Series With $1 Strike Prices January 25... by the Exchange. The Exchange filed the proposal as a ``non- controversial'' proposed rule change... amend its rules regarding the listing of $1 strike prices. The text of the rule proposal is available on...

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

Federal Register 2010, 2011, 2012, 2013, 2014

2011-01-12

... Effectiveness of Proposed Rule Change to Establish a $5 Strike Price Program January 6, 2011. Pursuant to... Exchange. The Exchange filed the proposal as a ``non- controversial'' proposed rule change pursuant to... $5 or greater where the strike price is more than $200 in up to five option classes on individual...

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.

Introduction to Econophysics

NASA Astrophysics Data System (ADS)

Mantegna, Rosario N.; Stanley, H. Eugene

2007-08-01

Preface; 1. Introduction; 2. Efficient market hypothesis; 3. Random walk; 4. Lévy stochastic processes and limit theorems; 5. Scales in financial data; 6. Stationarity and time correlation; 7. Time correlation in financial time series; 8. Stochastic models of price dynamics; 9. Scaling and its breakdown; 10. ARCH and GARCH processes; 11. Financial markets and turbulence; 12. Correlation and anti-correlation between stocks; 13. Taxonomy of a stock portfolio; 14. Options in idealized markets; 15. Options in real markets; Appendix A: notation guide; Appendix B: martingales; References; Index.

General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs

NASA Astrophysics Data System (ADS)

O, Hyong-Chol; Jo, Jong-Jun; Kim, Ji-Sok

2016-02-01

We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and study such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with respect to the stock price variable, which are important for financial security pricing. In particular, we focus on finding representation of the gradient (with respect to the stock price variable) of solutions to the terminal value problems with discontinuous terminal payoffs or inhomogeneous terms. Such terminal value problems are often encountered in pricing problems of compound-like options such as Bermudan options or defaultable bonds with discrete default barrier, default intensity and endogenous default recovery. Our results can be used in pricing real defaultable bonds under consideration of existence of discrete coupons or taxes on coupons.

Comparative analysis of dynamic pricing strategies for managed lanes.

DOT National Transportation Integrated Search

2015-06-01

The objective of this research is to investigate and compare the performances of different : dynamic pricing strategies for managed lanes facilities. These pricing strategies include real-time : traffic responsive methods, as well as refund options a...

Option pricing, stochastic volatility, singular dynamics and constrained path integrals

NASA Astrophysics Data System (ADS)

Contreras, Mauricio; Hojman, Sergio A.

2014-01-01

Stochastic volatility models have been widely studied and used in the financial world. The Heston model (Heston, 1993) [7] is one of the best known models to deal with this issue. These stochastic volatility models are characterized by the fact that they explicitly depend on a correlation parameter ρ which relates the two Brownian motions that drive the stochastic dynamics associated to the volatility and the underlying asset. Solutions to the Heston model in the context of option pricing, using a path integral approach, are found in Lemmens et al. (2008) [21] while in Baaquie (2007,1997) [12,13] propagators for different stochastic volatility models are constructed. In all previous cases, the propagator is not defined for extreme cases ρ=±1. It is therefore necessary to obtain a solution for these extreme cases and also to understand the origin of the divergence of the propagator. In this paper we study in detail a general class of stochastic volatility models for extreme values ρ=±1 and show that in these two cases, the associated classical dynamics corresponds to a system with second class constraints, which must be dealt with using Dirac’s method for constrained systems (Dirac, 1958,1967) [22,23] in order to properly obtain the propagator in the form of a Euclidean Hamiltonian path integral (Henneaux and Teitelboim, 1992) [25]. After integrating over momenta, one gets an Euclidean Lagrangian path integral without constraints, which in the case of the Heston model corresponds to a path integral of a repulsive radial harmonic oscillator. In all the cases studied, the price of the underlying asset is completely determined by one of the second class constraints in terms of volatility and plays no active role in the path integral.

Milk marketing policy options for the dairy industry in New England.

PubMed

Doyon, M; Criner, G; Bragg, L A

2008-03-01

New England dairy farmers are under intense price pressure resulting from important growth in milk production from lower cost of production Southwest states as well as by retailers' market power. Agricultural officials and legislative bodies in New England and in other Northeast US states are aware of these pressures and have been reacting with emergency dairy farm aid, following a very low 2006 milk price, and with state legislations in an attempt to address perceived excess retailing margins for fluid milk. In this paper, we suggest that a sigmoid demand relationship exists for fluid milk. This demand relationship would explain fluid milk asymmetric price transmission, high-low pricing, and the creation of a large retailing margin (chain surplus) often observed for fluid milk. It is also argued that a sigmoid demand relationship offers an opportunity for state legislators to help Northeast dairy farmers capturing a larger share of the dollar of the consumers through various policy options. Therefore, 5 milk market channel regulatory mechanisms (status quo, price gouging, supply control, fair share policy, and chain surplus return) are discussed and compared. The supply control mechanism was found the most effective at redistributing the chain surplus, associated with the sigmoid demand relationship for fluid milk, to dairy farmers. However, this option is unlikely to be politically acceptable in the United States. Second-best options for increasing dairy farmers' share of the consumers' dollar are the fair price policy and the chain surplus return. The former mechanism would distribute the chain surplus between retailers, processors, and farmers, whereas the latter would distribute it between consumers, retailers, and farmers. Remaining mechanisms would either transfer the chain surplus to retailers (status quo) or to consumers (price gouging).

Hedged Monte-Carlo: low variance derivative pricing with objective probabilities

NASA Astrophysics Data System (ADS)

Potters, Marc; Bouchaud, Jean-Philippe; Sestovic, Dragan

2001-01-01

We propose a new ‘hedged’ Monte-Carlo ( HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging strategy allows one to reduce the financial risk associated with option trading, and for the very same reason reduces considerably the variance of our HMC scheme as compared to previous methods. The explicit accounting of the hedging cost naturally converts the objective probability into the ‘risk-neutral’ one. This allows a consistent use of purely historical time series to price derivatives and obtain their residual risk. The method can be used to price a large class of exotic options, including those with path dependent and early exercise features.

Effect of price and information on the food choices of women university students in Saudi Arabia: An experimental study.

PubMed

Halimic, Aida; Gage, Heather; Raats, Monique; Williams, Peter

2018-04-01

To explore the impact of price manipulation and healthy eating information on intended food choices. Health information was provided to a random half of subjects (vs. information on Saudi agriculture). Each subject chose from the same lunch menu, containing two healthy and two unhealthy entrees, deserts and beverages, on five occasions. Reference case prices were 5, 3 and 2 Saudi Arabian Reals (SARs). Prices of healthy and unhealthy items were manipulated up (taxed) and down (subsidized) by 1 SAR in four menu variations (random order); subjects were given a budget enabling full choice within any menu. The number of healthy food choices were compared with different price combinations, and between information groups. Linear regression modelling explored the effect of relative prices of healthy/unhealthy options and information on number of healthy choices controlling for dietary behaviours and hunger levels. University campus, Saudi Arabia, 2013. 99 women students. In the reference case, 49.5% of choices were for healthy items. When the price of healthy items was reduced, 58.5% of selections were healthy; 57.2% when the price of unhealthy items rose. In regression modelling, reducing the price of healthy items and increasing the price of unhealthy items increased the number of healthy choices by 5% and 6% respectively. Students reporting a less healthy usual diet selected significantly fewer healthy items. Providing healthy eating information was not a significant influence. Price manipulation offers potential for altering behaviours to combat rising youth obesity in Saudi Arabia. Copyright © 2018 Elsevier Ltd. All rights reserved.

Database Selection: One Size Does Not Fit All.

ERIC Educational Resources Information Center

Allison, DeeAnn; McNeil, Beth; Swanson, Signe

2000-01-01

Describes a strategy for selecting a delivery method for electronic resources based on experiences at the University of Nebraska-Lincoln. Considers local conditions, pricing, feature options, hardware costs, and network availability and presents a model for evaluating the decision based on dollar requirements and local issues. (Author/LRW)

Does market competition explain fairness?

PubMed

Descioli, Peter

2013-02-01

The target article by Baumard et al. uses their previous model of bargaining with outside options to explain fairness and other features of human sociality. This theory implies that fairness judgments are determined by supply and demand but humans often perceive prices (divisions of surplus) in competitive markets to be unfair.

75 FR 39593 - Self-Regulatory Organizations; NASDAQ OMX PHLX, Inc.; Order Granting Approval of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-07-09

... stocks on which option series may be listed at $1 strike price intervals. To be eligible for inclusion in..., 2003) (SR-Phlx-2002-55) (approval of pilot program). The Strike Program was then extended several times... option series with $1 strike price intervals for any class selected for the program, except as...

75 FR 35113 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-06-21

... Stock Market LLC To List Options on Trust Issued Receipts in $1 Strike Intervals June 15, 2010. Pursuant... options on Trust Issued Receipts in $1 strike price intervals. The text of the proposed rule change is...''), as defined in Supplementary Material to Section 6 at .01(b), in $1 or greater strike price intervals...

26 CFR 1.424-1 - Definitions and special rules applicable to statutory options.

Code of Federal Regulations, 2010 CFR

2010-04-01

... in § 1.424-1(e)(4)(v)) or change in the terms or number of outstanding shares of such corporation... or price of shares purchasable under an option merely to reflect market fluctuations in the price of... of the outstanding shares of a corporation (as described in paragraph (a)(3)(ii) of this section...

77 FR 76135 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-12-26

... 500 Index option series in the pilot: (1) A time series analysis of open interest; and (2) an analysis... issue's total market share value, which is the share price times the number of shares outstanding. These... other series. Strike price intervals would be set no less than 5 points apart. Consistent with existing...

Electronic journal access: how does it affect the print subscription price?*

PubMed Central

Chen, Frances L.; Wrynn, Paul; Rieke, Judith L.

2001-01-01

Objective: This study examined the rates of print journal subscription price increases according to the type of available electronic access. The types of access included: electronic priced separately from the print, combination print with “free online” access, and aggregated, defined here as electronic access purchased as part of a collection. The percentages of print price increases were compared to each other and to that for titles available only in print. The authors were not aware of prior objective research in this area. Methods: The authors analyzed the percentage print price increases of 300 journals over a five-year time period. The titles were grouped according to type of available electronic access. The median and mean percentage print price increases were calculated and plotted for all titles within each group. Results: Using both the median and the mean to look at the percentage print price increases over five years, it was obvious that print prices for journals with electronic access exceeded journals that did not offer an electronic option. Electronic priced separately averaged 3% to 5% higher than print only titles using both measures. Combination print with “free online” access had higher increases from 1996 to 1999, but, in 2000, their percentage increases were about the same as print only titles. The rate of price increases for aggregated titles consistently went down over the past five years. Journals with no electronic option showed the lowest percentage rates of print price increase. Conclusions: The authors' findings reveal that the increases of print prices for their sample of titles were higher if a type of electronic access was offered. According to the results of this study, aggregated collections currently represent the electronic option whose percentage price increase for print prices was lowest. However, the uneven fluctuations in rates of subscription prices revealed that the pricing of journals with electronic access is still evolving. More study is recommended to see if the trends observed in this study are sustained over a longer time period. PMID:11837258

78 FR 18407 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-26

... with customer bases of potential product users have indicated a preference that premium pricing for... clarity as to the minimum pricing increments for Mini Options, the filing would harmonize penny pricing... symbol'' of an underlying security and cannot differentiate, for purposes of minimum variation pricing...

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

PubMed

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

2015-07-01

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

Managing Disease Risks from Trade: Strategic Behavior with Many Choices and Price Effects.

PubMed

Chitchumnong, Piyayut; Horan, Richard D

2018-03-16

An individual's infectious disease risks, and hence the individual's incentives for risk mitigation, may be influenced by others' risk management choices. If so, then there will be strategic interactions among individuals, whereby each makes his or her own risk management decisions based, at least in part, on the expected decisions of others. Prior work has shown that multiple equilibria could arise in this setting, with one equilibrium being a coordination failure in which individuals make too few investments in protection. However, these results are largely based on simplified models involving a single management choice and fixed prices that may influence risk management incentives. Relaxing these assumptions, we find strategic interactions influence, and are influenced by, choices involving multiple management options and market price effects. In particular, we find these features can reduce or eliminate concerns about multiple equilibria and coordination failure. This has important policy implications relative to simpler models.

Do follow-on therapeutic substitutes induce price competition between hospital medicines? Evidence from the Danish hospital sector.

PubMed

Hostenkamp, Gisela

2013-06-01

The pricing of follow-on drugs, that offer only limited health benefits over existing therapeutic alternatives, is a recurring health policy debate. This study investigates whether follow-on therapeutic substitutes create price competition between branded hospital medicines. New follow-on drugs and their incumbent therapeutic competitors were identified from Danish sales and product registration data on hospital pharmaceuticals using medically relevant criteria. We examined whether follow-on drugs adopt lower prices than their incumbent competitors, and whether incumbent competitors react to entry of follow-ons through price adjustments using a random intercept panel model. We found no evidence that follow-on drugs adopt lower prices than their incumbent competitors. Furthermore, potentially due to low sample size, we found no evidence that prices for incumbent pioneer products were significantly reduced as a reaction to competition from follow-on drugs. Competition between patented therapeutic substitutes did not seem to increase price competition and containment of pharmaceutical expenditures in the Danish hospital market. Strengthening hospitals' incentives to consider the price of alternative treatment options paired with a more active formulary management may increase price competition between therapeutic substitutes in the Danish hospital sector in the future. Copyright © 2013 Elsevier Ireland Ltd. All rights reserved.

77 FR 46783 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-08-06

... contingency price which will indicate the highest price that a buyer is willing to pay or the lowest price at which a seller is willing to accept (such contingency price to be in $0.01 (full penny) increments only). If NBB is higher than this contingency price for a Buy order, or the NBO is lower than this...

17 CFR 32.3 - Unlawful commodity option transactions.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 17 Commodity and Securities Exchanges 1 2010-04-01 2010-04-01 false Unlawful commodity option... REGULATION OF COMMODITY OPTION TRANSACTIONS § 32.3 Unlawful commodity option transactions. (a) On and after... extend credit in lieu thereof) from an option customer as payment of the purchase price in connection...

Analytic Approximations to the Free Boundary and Multi-dimensional Problems in Financial Derivatives Pricing

NASA Astrophysics Data System (ADS)

Lau, Chun Sing

This thesis studies two types of problems in financial derivatives pricing. The first type is the free boundary problem, which can be formulated as a partial differential equation (PDE) subject to a set of free boundary condition. Although the functional form of the free boundary condition is given explicitly, the location of the free boundary is unknown and can only be determined implicitly by imposing continuity conditions on the solution. Two specific problems are studied in details, namely the valuation of fixed-rate mortgages and CEV American options. The second type is the multi-dimensional problem, which involves multiple correlated stochastic variables and their governing PDE. One typical problem we focus on is the valuation of basket-spread options, whose underlying asset prices are driven by correlated geometric Brownian motions (GBMs). Analytic approximate solutions are derived for each of these three problems. For each of the two free boundary problems, we propose a parametric moving boundary to approximate the unknown free boundary, so that the original problem transforms into a moving boundary problem which can be solved analytically. The governing parameter of the moving boundary is determined by imposing the first derivative continuity condition on the solution. The analytic form of the solution allows the price and the hedging parameters to be computed very efficiently. When compared against the benchmark finite-difference method, the computational time is significantly reduced without compromising the accuracy. The multi-stage scheme further allows the approximate results to systematically converge to the benchmark results as one recasts the moving boundary into a piecewise smooth continuous function. For the multi-dimensional problem, we generalize the Kirk (1995) approximate two-asset spread option formula to the case of multi-asset basket-spread option. Since the final formula is in closed form, all the hedging parameters can also be derived in closed form. Numerical examples demonstrate that the pricing and hedging errors are in general less than 1% relative to the benchmark prices obtained by numerical integration or Monte Carlo simulation. By exploiting an explicit relationship between the option price and the underlying probability distribution, we further derive an approximate distribution function for the general basket-spread variable. It can be used to approximate the transition probability distribution of any linear combination of correlated GBMs. Finally, an implicit perturbation is applied to reduce the pricing errors by factors of up to 100. When compared against the existing methods, the basket-spread option formula coupled with the implicit perturbation turns out to be one of the most robust and accurate approximation methods.

What's your real cost of capital?

PubMed

McNulty, James J; Yeh, Tony D; Schulze, William S; Lubatkin, Michael H

2002-10-01

In valuing any investment project or corporate acquisition, executives must decide what discount rate to use in their estimates of future cash flows. The traditional approach is to apply the capital asset pricing model (CAPM), which has remained fundamentally unchanged for 40 years. But the formula--in particular, its beta element--has long been a source of frustration. In fact, corporate executives and investment bankers routinely fudge their CAPM estimates, say the authors, because experience and intuition tell them the model produces inappropriate discount rates. CAPM has three main problems: First, beta is a measure of both a stock's correlation and its volatility; second, beta is based on historical data; and third, CAPM rates don't take into account the term of the investment. These factors together result in discount rates that defy common sense. As an alternative to CAPM and its beta element, the authors developed a forward-looking approach to calculating a company's cost of capital, the market-derived capital pricing model (MCPM). It does not incorporate any measure of historical stock-to-market correlation, relying instead on estimates of future volatility derived from the options market. This is helpful since investor expectations from the options market are built into a company's current stock price. Using GE as an example, the authors give step-by-step instructions for how to calculate discount rates with MCPM. They also offer evidence from a range of industries to show that MCPM's discount rates are more realistic--especially from the corporate investor's perspective--than are CAPM's.

Dynamics of Markets

NASA Astrophysics Data System (ADS)

McCauley, Joseph L.

2009-09-01

Preface; 1. Econophysics: why and what; 2. Neo-classical economic theory; 3. Probability and stochastic processes; 4. Introduction to financial economics; 5. Introduction to portfolio selection theory; 6. Scaling, pair correlations, and conditional densities; 7. Statistical ensembles: deducing dynamics from time series; 8. Martingale option pricing; 9. FX market globalization: evolution of the dollar to worldwide reserve currency; 10. Macroeconomics and econometrics: regression models vs. empirically based modeling; 11. Complexity; Index.

76 FR 74099 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

78 FR 21985 - Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing of Amendment...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-04-12

... prices of a large number of individual securities suddenly declining by significant amounts in a very short time period before suddenly reversing to prices consistent with their pre-decline levels.\\8\\ This severe price volatility led to a large number of trades being executed at temporarily depressed prices...

76 FR 74093 - Self-Regulatory Organizations; EDGX Exchange, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

.... Like options, the price of rights and warrants are affected by the price of the underlying stock as well as other factors, particularly the volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights...

76 FR 74082 - Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing and Immediate Effectiveness of...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

76 FR 74080 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

76 FR 74109 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

Tuition Cut, Anyone?

ERIC Educational Resources Information Center

Supiano, Beckie

2008-01-01

In a sputtering economy, and with demographic changes ahead, the model of ever-increasing price and merit-based student aid cannot be sustained. But what new system might rise in its place? One option is returning to a system in which the government bears more of the cost of higher education--something that might be possible, if still unlikely, in…

Using life cycle assessment and techno-economic analysis in a real options framework to inform the design of algal biofuel production facilities.

PubMed

Kern, Jordan D; Hise, Adam M; Characklis, Greg W; Gerlach, Robin; Viamajala, Sridhar; Gardner, Robert D

2017-02-01

This study investigates the use of "real options analysis" (ROA) to quantify the value of greater product flexibility at algal biofuel production facilities. A deterministic optimization framework is integrated with a combined life cycle assessment/techno-economic analysis model and subjected to an ensemble of 30-year commodity price trajectories. Profits are maximized for two competing plant configurations: 1) one that sells lipid-extracted algae as animal feed only; and 2) one that can sell lipid-extracted algae as feed or use it to recover nutrients and energy, due to an up-front investment in anaerobic digestion/combined heat and power. Results show that added investment in plant flexibility does not result in an improvement in net present value, because current feed meal prices discourage use of lipid-extracted algae for nutrient and energy recovery. However, this study demonstrates that ROA provides many useful insights regarding plant design that cannot be captured via traditional techno-economic modeling. Copyright © 2016 Elsevier Ltd. All rights reserved.

Should the Department of Defense Hedge Oil Prices in Order to Save Money

DTIC Science & Technology

2008-03-01

NAVAL POSTGRADUATE SCHOOL MONTEREY, CALIFORNIA MBA PROFESSIONAL REPORT Should the Department of Defense Hedge Oil Prices In Order...DATES COVERED MBA Professional Report 4. TITLE AND SUBTITLE Should the Department of Defense Hedge Oil Prices in Order to Save Money? 6. James...the DoD. 15. NUMBER OF PAGES 59 14. SUBJECT TERMS Futures, Options, Swaps, Hedging . Oil Prices, DoD, Procurement 16. PRICE CODE

Factors influencing global antiretroviral procurement prices.

PubMed

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.

78 FR 17741 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-22

... Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Permit the Minimum Price Variation for Mini Options To Be the Same as Permitted for Standard Options on... Options Exchange LLC (the ``Exchange'') filed with the Securities and Exchange Commission (``Commission...

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

Federal Register 2010, 2011, 2012, 2013, 2014

2010-04-07

...-Settled Foreign Currency Options With One-Cent Exercise Prices April 1, 2010. Pursuant to Section 19(b)(1... currency options traded on national securities exchanges will be treated and cleared as securities options...- settled foreign currency options traded on national securities exchanges will be treated and cleared as...

Rethinking the Buy vs. Lease Decision

DTIC Science & Technology

2014-07-01

Bargain Price Option. The lease contains an option to purchase the leased property at a bargain price. • Estimated Economic Life. The lease term is...new “purpose-built” (as opposed to commercially- acceptable) American-made ships. In 2002 the Air Force identified replacement of the aging fleet of...for replacement on an “unfunded priorities” list supplied to Congress the previous year. According to an Air Force report to Congress, net present

Solution of time fractional Black-Scholes European option pricing equation arising in financial market

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.

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.

75 FR 13174 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Approving...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-03-18

...-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Approving Proposed Rule Change To Establish Strike Price Intervals and Trading Hours for Options on Index-Linked Securities March 12, 2010. I. Introduction On January 27, 2010, the Chicago Board Options Exchange, Incorporated (``CBOE...

75 FR 4435 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-01-27

... transaction is above or below the Theoretical Price for the series by a specified amount. The ``Theoretical Price'' of an option series is currently defined in Rule 975NY(a)(2) as the last bid price with respect... Trading Officials to establish the Theoretical Price when the NBBO for the affected series, just prior to...

78 FR 57203 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-09-17

... to the Exchange and that this new pricing will not impact trading in Penny Pilot Options on ETFs on... Change To Amend the Exchange's Pricing Schedule September 11, 2013. Pursuant to Section 19(b)(1) of the... The Exchange proposes to amend the Exchange's Pricing Schedule with respect to certain pricing in...

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

.... SUMMARY: The United States Mint is announcing prices for the 2013 Girl Scouts of the USA Centennial Silver.... Introductory Product price Regular price 2013 Girl Scouts of the USA Centennial $54.95 $59.95 Proof Silver Dollar 2013 Girl Scouts of the USA Centennial 50.95 55.95 Uncirculated Silver Dollar 2013 5-Star Generals...

77 FR 2595 - Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing of a Proposed...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-01-18

...-side second order in one of two formats: (1) A specified single price; or (2) a non-price specific... enhance competition in the AIM Auctions and provide customers with additional opportunities for price... NBBO; and (ii) allow Initiating TPHs to designate a limit price if it elects to auto-match. This...

A Financial Market Model Incorporating Herd Behaviour.

PubMed

Wray, Christopher M; Bishop, Steven R

2016-01-01

Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents' accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents' accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option.

78 FR 27271 - Self-Regulatory Organizations; BOX Options Exchange LLC; Order Granting Approval of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-05-09

... symbols (SPYJ) than the corresponding standard options on SPY.\\8\\ In addition, the Exchange proposes to list Jumbo SPY Options for all expirations applicable to standard options on SPY,\\9\\ and proposes that strike prices for Jumbo SPY Options be set at the same level as standard options on SPY.\\10\\ Bids and...

Quantized expected returns in terms of dividend yield at the money

NASA Astrophysics Data System (ADS)

Dieng, Lamine

2011-03-01

We use the Bachelier (additive model) and the Black-Scholes (multiplicative model) as our models for the stock price movement for an investor who has entered into an America call option contract. We assume the investor to pay certain dividend yield on the expected rate of returns from buying stocks. In this work, we also assume the stock price to be initially in the out of the money state and eventually will move up through at the money state to the deep in the money state where the expected future payoffs and returns are positive for the stock holder. We call a singularity point at the money because the expected payoff vanishes at this point. Then, using martingale, supermartingale and Markov theories we obtain the Bachelier-type of the Black-Scholes and the Black-Scholes equations which we hedge in the limit where the change of the expected payoff of the call option is extremely small. Hence, by comparison we obtain the time-independent Schroedinger equation in Quantum Mechanics. We solve completely the time independent Schroedinger equation for both models to obtain the expected rate of returns and the expected payoffs for the stock holder at the money. We find the expected rate of returns to be quantized in terms of the dividend yield.

Economics of Utility Scale Photovoltaics at Purdue University

NASA Astrophysics Data System (ADS)

Arnett, William

The research for this case study shows that utility scale solar photovoltaics has become a competitive energy investment option, even when a campus operates a power plant at low electricity rates. To evaluate this an economic model called SEEMS (Solar Economic Evaluation Modelling Spreadsheets) was developed to evaluate a number of financial scenarios in Real Time Pricing for universities. The three main financing structures considered are 1) land leasing, 2) university direct purchase, and 3) third party purchase. Unlike other commercially available models SEEMS specifically accounts for real time pricing, where the local utility provides electricity at an hourly rate that changes with the expected demand. In addition, SEEMS also includes a random simulation that allows the model to predict the likelihood of success for a given solar installation strategy. The research showed that there are several options for utility scale solar that are financially attractive. The most practical financing structure is with a third party partnership because of the opportunity to take advantage of tax incentives. Other options could become more attractive if non-financial benefits are considered. The case study for this research, Purdue University, has a unique opportunity to integrate utility-scale solar electricity into its strategic planning. Currently Purdue is updating its master plan which will define how land is developed. Purdue is also developing a sustainability plan that will define long term environmental goals. In addition, the university is developing over 500 acres of land west of campus as part of its Aerospace Innovation District. This research helps make the case for including utility-scale solar electricity as part of the university's strategic planning.

77 FR 15833 - Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-03-16

... Reporting of Consolidated Options Last Sale Reports and Quotation Information To Amend OPRA's Fee Schedule... of Consolidated Options Last Sale Reports and Quotation Information (``OPRA Plan'').\\3\\ The proposed... sale and quotation information on options that are traded on the participant exchanges. The nine...

48 CFR 17.207 - Exercise of options.

Code of Federal Regulations, 2010 CFR

2010-10-01

... period specified in the contract. (b) When the contract provides for economic price adjustment and the... consideration such factors as market stability and comparison of the time since award with the usual duration of... that is subject to an economic price adjustment provision; or (5) A specific price that is subject to...

Price dynamics in political prediction markets

PubMed Central

Majumder, Saikat Ray; Diermeier, Daniel; Rietz, Thomas A.; Amaral, Luís A. Nunes

2009-01-01

Prediction markets, in which contract prices are used to forecast future events, are increasingly applied to various domains ranging from political contests to scientific breakthroughs. However, the dynamics of such markets are not well understood. Here, we study the return dynamics of the oldest, most data-rich prediction markets, the Iowa Electronic Presidential Election “winner-takes-all” markets. As with other financial markets, we find uncorrelated returns, power-law decaying volatility correlations, and, usually, power-law decaying distributions of returns. However, unlike other financial markets, we find conditional diverging volatilities as the contract settlement date approaches. We propose a dynamic binary option model that captures all features of the empirical data and can potentially provide a tool with which one may extract true information events from a price time series. PMID:19155442

Retrading, production, and asset market performance

PubMed Central

Gjerstad, Steven D.; Porter, David; Smith, Vernon L.; Winn, Abel

2015-01-01

Prior studies have shown that traders quickly converge to the price–quantity equilibrium in markets for goods that are immediately consumed, but they produce speculative price bubbles in resalable asset markets. We present a stock-flow model of durable assets in which the existing stock of assets is subject to depreciation and producers may produce additional units of the asset. In our laboratory experiments inexperienced consumers who can resell their units disregard the consumption value of the assets and compete vigorously with producers, depressing prices and production. Consumers who have first participated in experiments without resale learn to heed their consumption values and, when they are given the option to resell, trade at equilibrium prices. Reproducibility is therefore the most natural and most effective treatment for suppression of bubbles in asset market experiments. PMID:26553991

A Product Development Decision Model for Cockpit Weather Information System

NASA Technical Reports Server (NTRS)

Sireli, Yesim; Kauffmann, Paul; Gupta, Surabhi; Kachroo, Pushkin; Johnson, Edward J., Jr. (Technical Monitor)

2003-01-01

There is a significant market demand for advanced cockpit weather information products. However, it is unclear how to identify the most promising technological options that provide the desired mix of consumer requirements by employing feasible technical systems at a price that achieves market success. This study develops a unique product development decision model that employs Quality Function Deployment (QFD) and Kano's model of consumer choice. This model is specifically designed for exploration and resolution of this and similar information technology related product development problems.

A Product Development Decision Model for Cockpit Weather Information Systems

NASA Technical Reports Server (NTRS)

Sireli, Yesim; Kauffmann, Paul; Gupta, Surabhi; Kachroo, Pushkin

2003-01-01

There is a significant market demand for advanced cockpit weather information products. However, it is unclear how to identify the most promising technological options that provide the desired mix of consumer requirements by employing feasible technical systems at a price that achieves market success. This study develops a unique product development decision model that employs Quality Function Deployment (QFD) and Kano's model of consumer choice. This model is specifically designed for exploration and resolution of this and similar information technology related product development problems.

Computation and analysis for a constrained entropy optimization problem in finance

NASA Astrophysics Data System (ADS)

He, Changhong; Coleman, Thomas F.; Li, Yuying

2008-12-01

In [T. Coleman, C. He, Y. Li, Calibrating volatility function bounds for an uncertain volatility model, Journal of Computational Finance (2006) (submitted for publication)], an entropy minimization formulation has been proposed to calibrate an uncertain volatility option pricing model (UVM) from market bid and ask prices. To avoid potential infeasibility due to numerical error, a quadratic penalty function approach is applied. In this paper, we show that the solution to the quadratic penalty problem can be obtained by minimizing an objective function which can be evaluated via solving a Hamilton-Jacobian-Bellman (HJB) equation. We prove that the implicit finite difference solution of this HJB equation converges to its viscosity solution. In addition, we provide computational examples illustrating accuracy of calibration.

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.

Hints for an extension of the early exercise premium formula for American options

NASA Astrophysics Data System (ADS)

Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Perelló, Josep

2005-09-01

There exists a non-closed formula for the American put option price and non-trivial computations are required to solve it. Strong efforts have been made to propose efficient numerical techniques but few have strong mathematical reasoning to ascertain why they work well. We present an extension of the American put price aiming to catch weaknesses of the numerical methods based on their non-fulfillment of the smooth pasting condition.

76 FR 19162 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-04-06

... Amend the BOX Rules To Expand the $2.50 Strike Price Program March 31, 2011. Pursuant to Section 19(b)(1..., LLC (``BOX'') to expand the $2.50 Strike Price Program. The text of the proposed rule change is... Strike Price Program (``Program'') \\4\\ to permit the listing of options with $2.50 strike price intervals...

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

PubMed

Brogan, David M; Mossialos, Elias

2016-02-01

Over the past decade, there has been a growing recognition of the increasing growth of antibiotic resistant bacteria and a relative decline in the production of novel antibacterial therapies. The combination of these two forces poses a potentially grave threat to global health, in both developed and developing countries. Current market forces do not provide appropriate incentives to stimulate new antibiotic development, thus we propose a new incentive mechanism: the Options Market for Antibiotics. This mechanism, modelled on the principle of financial call options, allows payers to buy the right, in early stages of development, to purchase antibiotics at a discounted price if and when they ever make it to market approval. This paper demonstrates the effect of such a model on the expected Net Present Value of a typical antibacterial project. As part of an integrated strategy to confront the impending antibiotic crisis, the Options Market for Antibiotics may effectively stimulate corporate and public investment into antibiotic research and development. Copyright © 2016. Published by Elsevier Ltd.

On decoupling of volatility smile and term structure in inverse option pricing

NASA Astrophysics Data System (ADS)

Egger, Herbert; Hein, Torsten; Hofmann, Bernd

2006-08-01

Correct pricing of options and other financial derivatives is of great importance to financial markets and one of the key subjects of mathematical finance. Usually, parameters specifying the underlying stochastic model are not directly observable, but have to be determined indirectly from observable quantities. The identification of local volatility surfaces from market data of European vanilla options is one very important example of this type. As with many other parameter identification problems, the reconstruction of local volatility surfaces is ill-posed, and reasonable results can only be achieved via regularization methods. Moreover, due to the sparsity of data, the local volatility is not uniquely determined, but depends strongly on the kind of regularization norm used and a good a priori guess for the parameter. By assuming a multiplicative structure for the local volatility, which is motivated by the specific data situation, the inverse problem can be decomposed into two separate sub-problems. This removes part of the non-uniqueness and allows us to establish convergence and convergence rates under weak assumptions. Additionally, a numerical solution of the two sub-problems is much cheaper than that of the overall identification problem. The theoretical results are illustrated by numerical tests.

Preconditions for market solution to urban water scarcity: Empirical results from Hyderabad City, India

NASA Astrophysics Data System (ADS)

Saleth, R. Maria; Dinar, Ariel

2001-01-01

Utilizing both primary and secondary information pertaining to the water sector of Hyderabad City, India, this paper (1) evaluates the economics of various technically feasible supply augmentations options; (2) estimates the group-specific water demand and consumption response functions under alternative pricing behaviors; (3) calculates the net willingness to pay (NWTP, considered to be the value of raw water at source) of different user groups as derived from their respective price elasticities; (4) shows how inadequate the NWTP is to justify most supply augmentation options including intersectoral water transfers under the existing water rate structure; (5) argues that the economic and institutional conditions internal to urban water sector cannot justify an externally imposed water transfers, whether market-based or otherwise, as long as the water rate structure is inefficient and regressive; and (6) concludes by underlining the central role that the pricing option, both the level and structure, plays not only in activating a number of nonprice options but also in generating incentives for the emergence of new and the consolidation of existing institutional conditions needed to support economically rooted water transfers and conservation initiatives.

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

DOE Office of Scientific and Technical Information (OSTI.GOV)

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 projectedmore » 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.g., futures, swaps, and fixed-price physical supply contracts) to contemporaneous forecasts of spot natural gas prices, with the purpose of identifying any systematic differences between the two. Although our data set is quite limited, we find that over the past three years, forward gas prices for durations of 2-10 years have been considerably higher than most natural gas spot price forecasts, including the reference case forecasts developed by the Energy Information Administration (EIA). This difference is striking, and implies that resource planning and modeling exercises based on these forecasts over the past three years have yielded results that are biased in favor of gas-fired generation (again, presuming that long-term stability is desirable). As discussed later, these findings have important ramifications for resource planners, energy modelers, and policy-makers.« less

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

Federal Register 2010, 2011, 2012, 2013, 2014

2010-11-16

... Organizations; The Options Clearing Corporation; Order Granting Approval of a Proposed Rule Change Relating to Cash- Settled Foreign Currency Options With One-Cent Exercise Prices November 8, 2010. I. Introduction On March 16, 2010, The Options Clearing Corporation (``OCC'') filed with the Securities and Exchange...

78 FR 62771 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-10-22

... The Exchange proposes to amend interpretive material to Rule 5050 (Series of Options Contracts Open... Proposed Rule Change 1. Purpose The Exchange proposes to amend IM-5050-6 to Rule 5050 (Series of Options... the strike price interval setting parameters for their Short Term Option Series (``STOS'') Programs...

75 FR 5831 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Approving...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-02-04

... series.\\8\\ The annual report will also contain information and analysis of FLEX Options trading patterns... will also contain information and analysis of FLEX Options trading patterns, and index price volatility... To Establish a Pilot Program To Modify FLEX Option Exercise Settlement Values and Minimum Value Sizes...

77 FR 56247 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Suspension of and...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-09-12

... subdivision thereof.'' \\4\\ CBOE Volatility Index[supreg] (``VIX'') measures market expectations of near term... and sell option volatility. VIX option prices reflect the market's expectation of the VIX level at... TPHs with a qualifying affiliate to pay lower fees for large customer VIX options transactions.\\11\\ The...

77 FR 5073 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing of Proposed Rule Change...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-02-01

... features including size, expiration date, exercise style, and certain exercise prices. FLEX option trading... cleared by The Options Clearing Corporation (``OCC'') \\17\\ and would be European style.\\18\\ Upon exercise... of the Exchange's WCOs or FCOs). \\18\\ Unlike American style options, European style options may be...

78 FR 56253 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-09-12

... Rule Change Relating to $0.50 and $1 Strike Price Intervals for Classes in the Short Term Option Series... options classes that trade in one dollar increments and are in the Short Term Option Series Program... business day, series of options on no more than thirty option classes that expire on each of the next five...

78 FR 32498 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-05-30

... Change Relating to $0.50 and $1 Strike Price Intervals for Classes in the Short Term Option Series... amend Rule 1012 (Series of Options Open for Trading) and Rule 1101A (Terms of Option Contracts) to give... Term Option Series Program (referred to as a ``Related non-Short Term Option series''), for the Related...

77 FR 63903 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-10-17

... a fully automated, price/time priority execution system built on the core functionality of the... orders in price/time priority without regard to the status of the entities that are entering orders. The BX Options market closely resembles NOM, including, most prominently, by offering true price/time...

75 FR 63880 - Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-10-18

... strategy. (i) Adoption of Definitions The Exchange proposes to distinguish pricing for routed orders that... Exchange proposes to modify the ``Options Pricing'' section of its fee schedule to: (i) Adopt definitions of ``Customer,'' ``Firm,'' and ``Market Maker'' for purposes of routing pricing; (ii) modify its...

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

Federal Register 2010, 2011, 2012, 2013, 2014

2013-05-14

... (2) a non-price specific commitment to auto-match all Auction responses received during the Auction... enhance competition in the Auctions and provide customers with additional opportunities for price... Auction processing, and specify (i) a single price at which it seeks to cross the Agency Order (with...

76 FR 82336 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-12-30

... (2) a non-price specific commitment to auto- match all Auction responses achieved during the Auction... price responses, leading to more robust competition in AIM. \\16\\ See supra note 3; see also Securities... enhance competition in the AIM Auctions and provide customers with additional opportunities for price...

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

NASA Astrophysics Data System (ADS)

Li, Xibao

Residential time-of-use (TOU) rates have been in practice in the U.S. since the 1970s. However, for institutional, political, and regulatory reasons, only a very small proportion of residential customers are actually on these schedules. In this thesis, I explore why this is the case by empirically investigating two groups of questions: (1) On the "supply" side: Do utilities choose to offer TOU rates in residential sectors on their own initiative if state commissions do not order them to do so? Since utilities have other options, what is the relationship between the TOU rate and other alternatives? To answer these questions, I survey residential tariffs offered by more than 100 major investor-owned utilities, study the impact of various factors on utilities' rate-making behavior, and examine utility revealed preferences among four rate options: seasonal rates, inverted block rates, demand charges, and TOU rates. Estimated results suggest that the scale of residential sectors and the revenue contribution from residential sectors are the only two significant factors that influence utility decisions on offering TOU rates. Technical and economic considerations are not significant statistically. This implies that the little acceptance of TOU rates is partly attributed to utilities' inadequate attention to TOU rate design. (2) On the "demand" side: For utilities offering TOU tariffs, why do only a very small proportion of residential customers choose these tariffs? What factors influence customer choices? Unlike previous studies that used individual-level experimental data, this research employs actual aggregated information from 29 utilities offering optional TOU rates. By incorporating neo-classical demand analysis into an aggregated random coefficient logit model, I investigate the impact of both price and non-price tariff characteristics and non-tariff factors on customer choice behavior. The analysis indicates that customer pure tariff preference (which captures the effect of all unincluded factors) is a crucial obstacle to the public acceptance of TOU tariffs. Besides rate levels, non-price tariff characteristics and non-tariff factors are also important in influencing customer choice. It is observed that high income home owners have very different preferences than others.

Antiretroviral purchasing and prescription practices in Mexico: constraints, challenges and opportunities.

PubMed

Chaumont, Claire; Bautista-Arredondo, Sergio; Calva, Juan José; Bahena-González, Roberto Isaac; Sánchez-Juárez, Gerda Hitz; González de Araujo-Muriel, Arturo; Magis-Rodríguez, Carlos; Hernández-Ávila, Mauricio

2015-01-01

This study examines the antiretroviral (ARV) market characteristics for drugs procured and prescribed to Mexico's Social Protection System in Health beneficiaries between 2008 and 2013, and compares them with international data. Procurement information from the National Center for the Prevention and the Control of HIV/AIDS was analyzed to estimate volumes and prices of key ARV. Annual costs were compared with data from the World Health Organization's Global Price Reporting Mechanism for similar countries. Finally, regimens reported in the ARV Drug Management, Logistics and Surveillance System database were reviewed to identify prescription trends and model ARV expenditures until 2018. Results show that the first-line ARV market is concentrated among a small number of patented treatments, in which prescription is clinically adequate, but which prices are higher than those paid by similar countries. The current set of legal and structural options available to policy makers to bring prices down is extremely limited. Different negotiation policies were not successful to decrease ARV high prices in the public health market. The closed list approach had a good impact on prescription quality but was ineffective in reducing prices. The Coordinating Commission for Negotiating the Price of Medicines and other Health Supplies also failed to obtain adequate prices. To maximize purchase efficiency, policy makers should focus on finding long-term legal and political safeguards to counter the high prices imposed by pharmaceutical companies.

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.

Evaluation of Foreign Investment in Power Plants using Real Options

NASA Astrophysics Data System (ADS)

Kato, Moritoshi; Zhou, Yicheng

This paper proposes new methods for evaluating foreign investment in power plants under market uncertainty using a real options approach. We suppose a thermal power plant project in a deregulated electricity market. One of our proposed methods is that we calculate the cash flow generated by the project in a reference year using actual market data to incorporate periodic characteristics of energy prices into a yearly cash flow model. We make the stochastic yearly cash flow model with the initial value which is the cash flow in the reference year, and certain trend and volatility. Then we calculate the real options value (ROV) of the project which has abandonment options using the yearly cash flow model. Another our proposed method is that we evaluate foreign currency/domestic currency exchange rate risk by representing ROV in foreign currency as yearly pay off and exchanging it to ROV in domestic currency using a stochastic exchange rate model. We analyze the effect of the heat rate and operation and maintenance costs of the power plant on ROV, and evaluate exchange rate risk through numerical examples. Our proposed method will be useful for the risk management of foreign investment in power plants.

Economic Evaluation of Lipid-Lowering Therapy in the Secondary Prevention Setting in the Philippines.

PubMed

Tumanan-Mendoza, Bernadette A; Mendoza, Victor L

2013-05-01

To determine the cost-effectiveness of lipid-lowering therapy in the secondary prevention of cardiovascular events in the Philippines. A cost-utility analysis was performed by using Markov modeling in the secondary prevention setting. The models incorporated efficacy of lipid-lowering therapy demonstrated in randomized controlled trials and mortality rates obtained from local life tables. Average and incremental cost-effectiveness ratios were obtained for simvastatin, atorvastatin, pravastatin, and gemfibrozil. The costs of the following were included: medications, laboratory examinations, consultation and related expenses, and production losses. The costs were expressed in current or nominal prices as of the first quarter of 2010 (Philippine peso). Utility was expressed in quality-adjusted life-years gained. Sensitivity analyses were performed by using variations in the cost centers, discount rates, starting age, and differences in utility weights for stroke. In the analysis using the lower-priced generic counterparts, therapy using 40 mg simvastatin daily was the most cost-effective option compared with the other therapies, while pravastatin 40 mg daily was the most cost-effective alternative if the higher-priced innovator drugs were used. In all sensitivity analyses, gemfibrozil was strongly dominated by the statins. In secondary prevention, simvastatin or pravastatin were the most cost-effective options compared with atorvastatin and gemfibrozil in the Philippines. Gemfibrozil was strongly dominated by the statins. Copyright © 2013 International Society for Pharmacoeconomics and Outcomes Research (ISPOR). Published by Elsevier Inc. All rights reserved.

Sensitivity of natural gas deployment in the US power sector to future carbon policy expectations

DOE Office of Scientific and Technical Information (OSTI.GOV)

Mignone, Bryan K.; Showalter, Sharon; Wood, Frances

One option for reducing carbon emissions in the power sector is replacement of coal-fired generation with less carbon-intensive natural gas combined cycle (NGCC) generation. In the United States, where there is abundant, low-cost natural gas supply, increased NGCC deployment could be a cost-effective emissions abatement opportunity at relatively modest carbon prices. However, under scenarios in which carbon prices rise and deeper emissions reductions are achieved, other technologies may be more cost-effective than NGCC in the future. In this analysis, using a US energy system model with foresight (a version of the National Energy Modeling System or 'NEMS' model), we findmore » that varying expectations about carbon prices after 2030 does not materially affect NGCC deployment prior to 2030, all else equal. An important implication of this result is that, under the set of natural gas and carbon price trajectories explored here, myopic behavior or other imperfect expectations about potential future carbon policy do not change the natural gas deployment path or lead to stranded natural gas generation infrastructure. We explain these results in terms of the underlying economic competition between available generation technologies and discuss the broader relevance to US climate change mitigation policy.« less

Sensitivity of natural gas deployment in the US power sector to future carbon policy expectations

DOE Office of Scientific and Technical Information (OSTI.GOV)

Mignone, Bryan K.; Showalter, Sharon; Wood, Frances

One option for reducing carbon emissions in the power sector is replacement of coal-fired generation with less carbon-intensive natural gas combined cycle (NGCC) generation. In the United States, where there is abundant, low-cost natural gas supply, increased NGCC deployment could be a cost-effective emissions abatement opportunity at relatively modest carbon prices. However, under scenarios in which carbon prices rise and deeper emissions reductions are achieved, other technologies may be more cost-effective than NGCC in the future. In this analysis, using a US energy system model with foresight (a version of the National Energy Modeling System or “NEMS” model), we findmore » that varying expectations about carbon prices after 2030 does not materially affect NGCC deployment prior to 2030, all else equal. An important implication of this result is that, under the set of natural gas and carbon price trajectories explored here, myopic behavior or other imperfect expectations about potential future carbon policy do not change the natural gas deployment path or lead to stranded natural gas generation infrastructure. Lastly, we explain these results in terms of the underlying economic competition between available generation technologies and discuss the broader relevance to US climate change mitigation policy.« less

Sensitivity of natural gas deployment in the US power sector to future carbon policy expectations

DOE PAGES

Mignone, Bryan K.; Showalter, Sharon; Wood, Frances; ...

2017-11-01

One option for reducing carbon emissions in the power sector is replacement of coal-fired generation with less carbon-intensive natural gas combined cycle (NGCC) generation. In the United States, where there is abundant, low-cost natural gas supply, increased NGCC deployment could be a cost-effective emissions abatement opportunity at relatively modest carbon prices. However, under scenarios in which carbon prices rise and deeper emissions reductions are achieved, other technologies may be more cost-effective than NGCC in the future. In this analysis, using a US energy system model with foresight (a version of the National Energy Modeling System or 'NEMS' model), we findmore » that varying expectations about carbon prices after 2030 does not materially affect NGCC deployment prior to 2030, all else equal. An important implication of this result is that, under the set of natural gas and carbon price trajectories explored here, myopic behavior or other imperfect expectations about potential future carbon policy do not change the natural gas deployment path or lead to stranded natural gas generation infrastructure. We explain these results in terms of the underlying economic competition between available generation technologies and discuss the broader relevance to US climate change mitigation policy.« less

Sensitivity of natural gas deployment in the US power sector to future carbon policy expectations

DOE PAGES

Mignone, Bryan K.; Showalter, Sharon; Wood, Frances; ...

2017-09-07

One option for reducing carbon emissions in the power sector is replacement of coal-fired generation with less carbon-intensive natural gas combined cycle (NGCC) generation. In the United States, where there is abundant, low-cost natural gas supply, increased NGCC deployment could be a cost-effective emissions abatement opportunity at relatively modest carbon prices. However, under scenarios in which carbon prices rise and deeper emissions reductions are achieved, other technologies may be more cost-effective than NGCC in the future. In this analysis, using a US energy system model with foresight (a version of the National Energy Modeling System or “NEMS” model), we findmore » that varying expectations about carbon prices after 2030 does not materially affect NGCC deployment prior to 2030, all else equal. An important implication of this result is that, under the set of natural gas and carbon price trajectories explored here, myopic behavior or other imperfect expectations about potential future carbon policy do not change the natural gas deployment path or lead to stranded natural gas generation infrastructure. Lastly, we explain these results in terms of the underlying economic competition between available generation technologies and discuss the broader relevance to US climate change mitigation policy.« less

Pricing and Fee Management.

ERIC Educational Resources Information Center

Fischer, Richard B.

1986-01-01

Defines key terms and discusses things to consider when setting fees for a continuing education program. These include (1) the organization's philosophy and mission, (2) certain key variables, (3) pricing strategy options, and (4) the test of reasonableness. (CH)

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

PubMed

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

2016-02-01

The Italian market for UHT milk has been growing thanks to both consumers' interest in products with an extended shelf life and to the lower prices of these products compared with refrigerated, pasteurized milk. However, because the lower prices of UHT milk can hinder producers' margins, manufacturers have introduced new versions of UHT milk products such as lactose-free options, vitamin-enriched products, and milk for infants, with the goal of differentiating their products, escaping the price competition, and gaining higher margins. In this paper, we estimated the contribution of different attributes to UHT milk prices in Italy by using a database of Italian UHT milk sales and a hedonic price model. In our analysis, we considered 2 UHT milk market segments: products for infants and those for the general population. We found premiums varied with the milk's attributes as well as between the segments analyzed: n-3 fatty acids, organic, and added calcium were the most valuable product features in the general population segment, whereas in the infant segment fiber, glass packaging, and the targeting of newborns delivered the highest premiums. Finally, we present recommendations for UHT milk manufacturers. Copyright © 2016 American Dairy Science Association. Published by Elsevier Inc. All rights reserved.

Evaluating a novel tiered scarcity adjusted water budget and pricing structure using a holistic systems modelling approach.

PubMed

Sahin, Oz; Bertone, Edoardo; Beal, Cara; Stewart, Rodney A

2018-06-01

Population growth, coupled with declining water availability and changes in climatic conditions underline the need for sustainable and responsive water management instruments. Supply augmentation and demand management are the two main strategies used by water utilities. Water demand management has long been acknowledged as a least-cost strategy to maintain water security. This can be achieved in a variety of ways, including: i) educating consumers to limit their water use; ii) imposing restrictions/penalties; iii) using smart and/or efficient technologies; and iv) pricing mechanisms. Changing water consumption behaviours through pricing or restrictions is challenging as it introduces more social and political issues into the already complex water resources management process. This paper employs a participatory systems modelling approach for: (1) evaluating various forms of a proposed tiered scarcity adjusted water budget and pricing structure, and (2) comparing scenario outcomes against the traditional restriction policy regime. System dynamics modelling was applied since it can explicitly account for the feedbacks, interdependencies, and non-linear relations that inherently characterise the water tariff (price)-demand-revenue system. A combination of empirical water use data, billing data and customer feedback on future projected water bills facilitated the assessment of the suitability and likelihood of the adoption of scarcity-driven tariff options for a medium-sized city within Queensland, Australia. Results showed that the tiered scarcity adjusted water budget and pricing structure presented was preferable to restrictions since it could maintain water security more equitably with the lowest overall long-run marginal cost. Copyright © 2018 Elsevier Ltd. All rights reserved.

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

NASA Astrophysics Data System (ADS)

Bouchaud, Jean-Philippe; Sornette, Didier

1994-06-01

The ability to price risks and devise optimal investment strategies in thé présence of an uncertain "random" market is thé cornerstone of modern finance theory. We first consider thé simplest such problem of a so-called "European call option" initially solved by Black and Scholes using Ito stochastic calculus for markets modelled by a log-Brownien stochastic process. A simple and powerful formalism is presented which allows us to generalize thé analysis to a large class of stochastic processes, such as ARCH, jump or Lévy processes. We also address thé case of correlated Gaussian processes, which is shown to be a good description of three différent market indices (MATIF, CAC40, FTSE100). Our main result is thé introduction of thé concept of an optimal strategy in the sense of (functional) minimization of the risk with respect to the portfolio. If the risk may be made to vanish for particular continuous uncorrelated 'quasiGaussian' stochastic processes (including Black and Scholes model), this is no longer the case for more general stochastic processes. The value of the residual risk is obtained and suggests the concept of risk-corrected option prices. In the presence of very large deviations such as in Lévy processes, new criteria for rational fixing of the option prices are discussed. We also apply our method to other types of options, `Asian', `American', and discuss new possibilities (`doubledecker'...). The inclusion of transaction costs leads to the appearance of a natural characteristic trading time scale. L'aptitude à quantifier le coût du risque et à définir une stratégie optimale de gestion de portefeuille dans un marché aléatoire constitue la base de la théorie moderne de la finance. Nous considérons d'abord le problème le plus simple de ce type, à savoir celui de l'option d'achat `européenne', qui a été résolu par Black et Scholes à l'aide du calcul stochastique d'Ito appliqué aux marchés modélisés par un processus Log-Brownien. Nous présentons un formalisme simple et puissant qui permet de généraliser l'analyse à une grande classe de processus stochastiques, tels que les processus ARCH, de Lévy et ceux à sauts. Nous étudions également le cas des processus Gaussiens corrélés, dont nous montrons qu'ils donnent une bonne description de trois indices boursiers (MATIF, CAC40, FTSE100). Notre résultat principal consiste en l'introduction du concept de stratégie optimale dans le sens d'une minimisation (fonctionnelle) du risque en fonction du portefeuille d'actions. Si le risque peut être annulé pour les processus `quasi-Gaussien' non-corrélés, dont le modèle de Black et Scholes est un exemple, cela n'est plus vrai dans le cas général, le risque résiduel permettant de proposer des coûts d'options "corrigés". En présence de très grandes fluctuations du marché telles que décrites par les processus de Lévy, de nouveaux critères pour fixer rationnellement le prix des options sont nécessaires et sont discutés. Nous appliquons notre méthode à d'autres types d'options, telles que `asiatiques', `américaines', et à de nouvelles options que nous introduisons comme les `options à deux étages'... L'inclusion des frais de transaction dans le formalisme conduit à l'introduction naturelle d'un temps caractéristique de transaction.

78 FR 10671 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-02-14

...-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of Proposed Rule Change To Permit the Minimum Price Variation for Mini-Options To Be the Same as Permitted for Standard Options on the Same Security February 8, 2013. Pursuant to Section 19(b)(1) of the Securities Exchange Act...

78 FR 15385 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing of Proposed Rule Change To...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-11

... Series, any adjusted option series, and any option series until the time to expiration for such series is... existing requirement may at times discourage liquidity in particular options series because a market maker... the option is subject to the Price/Time execution algorithm, the Directed Market Maker shall receive...

77 FR 47131 - Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting Approval of Proposed Rule Change...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-08-07

... exercised or assigned, the writer of the option is obligated to purchase the requisite amount of the asset... put option segregates an amount of cash or cash equivalents sufficient to cover the purchase price of... when the seller executes a closing purchase transaction with respect to such option. All put options...

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.

76 FR 50805 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-08-16

... trading day's last sale price was greater than $100) in premium in each of the front two expiration months... options whose underlying stock's previous trading day's last sale price was greater than $100) in premium... is within the range of fees assessed by other exchanges employing similar pricing schemes. For...

77 FR 16295 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-03-20

... trading day's last sale price was greater than $100) in premium in each of the front two expiration months... options whose underlying stock's previous trading day's last sale price was greater than $100) in premium... employing similar pricing schemes and in some cases, is lower that the fees assessed by other exchanges. For...

38 CFR 36.4253 - Title and lien requirements.

Code of Federal Regulations, 2014 CFR

2014-07-01

..., which right by the terms thereof is exercisable only if: (i) An owner elects to sell, (ii) The option price is not less than the price at which the then owner is willing to sell to another, and (iii... the then owner of the then owner's election to sell, stating the price and the identity of the...

38 CFR 36.4253 - Title and lien requirements.

Code of Federal Regulations, 2012 CFR

2012-07-01

..., which right by the terms thereof is exercisable only if: (i) An owner elects to sell, (ii) The option price is not less than the price at which the then owner is willing to sell to another, and (iii... the then owner of the then owner's election to sell, stating the price and the identity of the...

38 CFR 36.4253 - Title and lien requirements.

Code of Federal Regulations, 2013 CFR

2013-07-01

..., which right by the terms thereof is exercisable only if: (i) An owner elects to sell, (ii) The option price is not less than the price at which the then owner is willing to sell to another, and (iii... the then owner of the then owner's election to sell, stating the price and the identity of the...

38 CFR 36.4253 - Title and lien requirements.

Code of Federal Regulations, 2011 CFR

2011-07-01

..., which right by the terms thereof is exercisable only if: (i) An owner elects to sell, (ii) The option price is not less than the price at which the then owner is willing to sell to another, and (iii... the then owner of the then owner's election to sell, stating the price and the identity of the...

38 CFR 36.4253 - Title and lien requirements.

Code of Federal Regulations, 2010 CFR

2010-07-01

..., which right by the terms thereof is exercisable only if: (i) An owner elects to sell, (ii) The option price is not less than the price at which the then owner is willing to sell to another, and (iii... the then owner of the then owner's election to sell, stating the price and the identity of the...

76 FR 60569 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Order Approving Proposed Rule Change Amending...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-09-29

... Facilitation Auction, a broadcast message, which will include the proposed execution price of the cross (the ``Facilitation Price''), will be sent to Options Participants giving them one second to enter responses (``Responses'') \\4\\ with the prices and sizes at which they would be willing to participate in the facilitation...

78 FR 44994 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-07-25

... its proprietary and/or market-making desk to trade at prices that would satisfy customer orders held.../or market-making desk at prices that would satisfy the customer order. If a Trading Permit Holder... proprietary and/or market- making desk to trade at prices that would satisfy customer orders held as a...

76 FR 35503 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-06-17

... Price Reporting Authority (``OPRA''), the Consolidated Tape Association (``CTA'') tape and/or the Market... equal to $100. The minimum price variation shall be established on a class-by- class basis by the..., the proposal permits the Exchange to designate $0.01 as the minimum price variation for quotes and...

76 FR 5646 - Self-Regulatory Organizations; NYSE Amex LLC; Order Granting Approval of Proposed Rule Change...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-02-01

... strike prices and non-parallel strikes in different expiration months of the same issue. The Commission... Listing of Options Series With $1 Strike Prices January 25, 2011. I. Introduction On November 24, 2010... Strike Price Program. The proposed rule change was published for comment in the Federal Register on...

76 FR 60107 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Granting...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-09-28

... underlying price ($24.50) is $20, the Exchange may list a $22 strike. The proposal also contains certain non... Rule to Simplify the $1 Strike Price Interval Program September 22, 2011. I. Introduction On July 26... amend Interpretation and Policy .01 to Rule 5.5 to simplify the $1 Strike Price Interval Program (the...

Finite Volume Method for Pricing European Call Option with Regime-switching Volatility

NASA Astrophysics Data System (ADS)

Lista Tauryawati, Mey; Imron, Chairul; Putri, Endah RM

2018-03-01

In this paper, we present a finite volume method for pricing European call option using Black-Scholes equation with regime-switching volatility. In the first step, we formulate the Black-Scholes equations with regime-switching volatility. we use a finite volume method based on fitted finite volume with spatial discretization and an implicit time stepping technique for the case. We show that the regime-switching scheme can revert to the non-switching Black Scholes equation, both in theoretical evidence and numerical simulations.

Foreign Military Sales: O & MN Appropriations are Subsidizing Accessorial Costs.

DTIC Science & Technology

1981-09-01

believe that the FAA contemplates recovery of full costs for defense services which are sold to foreign customers. We believe therefore that the selling ...many options for pricing training services . Pricing under the full cost pricing method, in our opinion, would establish a selling price for defense...U.S. defense articles and services . Under the AECA the President is authorized to sell to eligible foreign governments or inter- national organizations

CIDR

Science.gov Websites

Initiation Application Schedule Service Information and Pricing Services Sample Requirements Pricing SNP Genotyping General Information Genome Wide Association Custom FFPE Sample Options Methylation Linkage Consortium Developed Mouse Whole Genome Sequencing General Information Whole Genome Whole Exome Custom

Calibration of Lévy Processes with American Options

NASA Astrophysics Data System (ADS)

Achdou, Yves

We study options on financial assets whose discounted prices are exponential of Lévy processes. The price of an American vanilla option as a function of the maturity and the strike satisfies a linear complementarity problem involving a non-local partial integro-differential operator. It leads to a variational inequality in a suitable weighted Sobolev space. Calibrating the Lévy process may be done by solving an inverse least square problem where the state variable satisfies the previously mentioned variational inequality. We first assume that the volatility is positive: after carefully studying the direct problem, we propose necessary optimality conditions for the least square inverse problem. We also consider the direct problem when the volatility is zero.

Factors influencing global antiretroviral procurement prices

PubMed Central

2009-01-01

Background Antiretroviral medicines (ARVs) are one of the most costly parts of HIV/AIDS treatment. Many countries are struggling to provide universal access to ARVs for all people living with HIV and AIDS. Although substantial price reductions of ARVs have occurred, especially between 2002 and 2008, achieving sustainable access for the next several decades remains a major challenge for most low- and middle-income countries. The objectives of the present study were twofold: first, to analyze global ARV prices between 2005 and 2008 and associated factors, particularly procurement methods and key donor policies on ARV procurement efficiency; second, to discuss the options of procurement processes and policies that should be considered when implementing or reforming access to ARV programs. Methods An ARV-medicines price-analysis was carried out using the Global Price Reporting Mechanism from the World Health Organization. For a selection of 12 ARVs, global median prices and price variation were calculated. Linear regression models for each ARV were used to identify factors that were associated with lower procurement prices. Logistic regression models were used to identify the characteristics of those countries which procure below the highest and lowest direct manufactured costs. Results Three key factors appear to have an influence on a country's ARV prices: (a) whether the product is generic or not; (b) the socioeconomic status of the country; (c) whether the country is a member of the Clinton HIV/AIDS Initiative. Factors which did not influence procurement below the highest direct manufactured costs were HIV prevalence, procurement volume, whether the country belongs to the least developed countries or a focus country of the United States President's Emergency Plan For AIDS Relief. Conclusion One of the principal mechanisms that can help to lower prices for ARV over the next several decades is increasing procurement efficiency. Benchmarking prices could be one useful tool to achieve this. PMID:19922690

Carbon dioxide removal and tradeable put options at scale

NASA Astrophysics Data System (ADS)

Lockley, Andrew; Coffman, D.’Maris

2018-05-01

Options are derivative contracts that give the purchaser the right to buy (call options) or sell (put options) a given underlying asset at a particular price at a future date. The purchaser of a put option may exercise the right to sell the asset to the issuer at any point in the future before the expiration of the contract. These rights may be contracted directly between two parties (i.e. over-the-counter), or may be sold publicly on formal exchanges, such as the Chicago Board Options Exchange. If the latter, they are called tradeable put options (TPOs) because they can be bought and sold by third-parties via a secondary market. The World Bank has a Pilot Auction Facility for methane and carbon mediation which uses TPOs in carbon-relevant markets, giving producers (of e.g. forest restoration) a floor price for their product [1]. This enables long-term producer planning. We discuss the potentially broader use of these options contracts in carbon dioxide removal (CDR) markets generally and at scale. We conclude that they can, if priced correctly, encourage rapid investment both in CDR technology and in operational capacity. TPOs could do this without creating the same type of systemic risk associated with other instruments (e.g. long-dated futures). Nevertheless, the widespread use of such instruments potentially creates novel risks. These include the political risk of premature closure [2] (conventionally rendered as ‘counting your chickens before they are hatched’) and the economic risk of overpaying for carbon removal services. These instruments require careful structuring, and do not inoculate the CDR market against regulatory disruption, or political pressure. Accordingly, we note the potential for the development of TPO markets in CDR, but we urge caution in respect of identified risks.

78 FR 20362 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-04-04

... (``SPY''), Apple, Inc. (``AAPL''), SPDR Gold Trust (``GLD''), Google Inc. (``GOOG'') and Amazon.com Inc.... Further, the options marketplace has a history of offering preferential pricing to Customers. Finally... or unfairly discriminatory. Also, the options marketplace has a history of offering preferential...

75 FR 36456 - Self-Regulatory Organizations; NASDAQ OMX PHLX, Inc.; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-06-25

... prices. See Exchange Rule 1079. FLEX Options are a trademark of the Chicago Board Options Exchange. While... transactions executed pursuant to Exchange Rule 1079 (``FLEX equity options''). The Exchange believes that the... options transactions executed pursuant to Exchange Rule 1079. \\11\\ 15 U.S.C. 78f(b). \\12\\ 15 U.S.C. 78f(b...

75 FR 38163 - Self-Regulatory Organizations; NASDAQ OMX PHLX, Inc.; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-07-01

... prices. See Exchange Rule 1079. FLEX Options are a trademark of the Chicago Board Options Exchange. While... pursuant to Exchange Rule 1079 (``FLEX equity options''). The Exchange believes that the proposed fee... options transactions executed pursuant to Exchange Rule 1079. \\11\\ 15 U.S.C. 78f(b). \\12\\ 15 U.S.C. 78f(b...

76 FR 20420 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-04-12

... Proposed Rule Change Relating to Rebates and Fees in Penny Pilot and Non-Penny Pilot Options April 6, 2011... Penny Pilot \\3\\ Options with respect to the Customer Rebate to Add Liquidity; \\4\\ and (ii) modify pricing for both Penny Pilot Options and All Other Options with respect to the Fees for Removing Liquidity...

77 FR 63384 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-10-16

... Proposed Rule Change Relating to Non-Penny Pilot and Penny Pilot Options October 10, 2012. Pursuant to.... Specifically, NOM proposes to amend the Non-Penny Pilot Options and Penny Pilot \\3\\ Options pricing. \\3\\ The... assessed for option orders entered into NOM. The Exchange is proposing to amend the Non- Penny Pilot...

78 FR 76363 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-12-17

... the Related non-STO), and $1 or greater where the strike price is between $75 and $150. The proposed... expand the Short Term Options Program with respect to non-index options. The text of the proposed rule... proposes to expand the Short Term Options (``STO'') Program for non-index options so that the Exchange may...

Options for change in the NHS consultant contract.

PubMed

Clarke, R W; Gray, C

The lead negotiators for the management and consultant sides in an NHS trust in northern England responded to debate in their trust about consultant contracts by offering to research the attitudes of their peers towards a variety of contract options. The options tested included the current contract; models already examined in the trust and elsewhere, such as time sensitive and mild performance related contracts; and some more radical and speculative possibilities, including consultants franchising their services to the trust. Beyond the predictable conclusion that consultants would prefer no change while managers desired it, a time sensitive contract emerged as having potential for successful negotiation. On the other hand, neither consultants nor managers favoured a strict performance related contract or a fee for service contract. There was a strong similarity of opinion between the two groups on the relative salary values of the options, though the consultants consistently priced these higher than the managers.

Options for change in the NHS consultant contract.

PubMed Central

Clarke, R. W.; Gray, C.

1994-01-01

The lead negotiators for the management and consultant sides in an NHS trust in northern England responded to debate in their trust about consultant contracts by offering to research the attitudes of their peers towards a variety of contract options. The options tested included the current contract; models already examined in the trust and elsewhere, such as time sensitive and mild performance related contracts; and some more radical and speculative possibilities, including consultants franchising their services to the trust. Beyond the predictable conclusion that consultants would prefer no change while managers desired it, a time sensitive contract emerged as having potential for successful negotiation. On the other hand, neither consultants nor managers favoured a strict performance related contract or a fee for service contract. There was a strong similarity of opinion between the two groups on the relative salary values of the options, though the consultants consistently priced these higher than the managers. PMID:8086915

76 FR 24067 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-04-29

... Stock Market, LLC Relating to the $2.50 Strike Price Program April 22, 2011. Pursuant to Section 19(b)(1... ability to select option classes on individual stocks for which the intervals of strike prices will be $2... price of the underlying stock in the primary market.\\4\\ The Exchange currently list [sic] series at $2...

75 FR 12320 - Self-Regulatory Organization; The Options Clearing Corporation; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-03-15

... rule change will amend the definition of ``adjustment increment'' applicable to stock futures. II. Self...). Daily settlement prices and trade prices would continue to be expressed in pennies on a per-contract... settlement price the following day is $50.05, a mark-to-market of $50.05-$49.875 = $0.1750, or $17.50 per...

76 FR 48935 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Proposed...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-08-09

... the $1 Strike Price Interval Program August 4, 2011. Pursuant to Section 19(b)(1) of the Securities... Proposed Rule Change CBOE proposes to amend its rules in order to simplify the $1 Strike Price Interval... Policy .01 to Rule 5.5 in order to simplify the $1 Strike Price Interval Program (``Program''). In 2003...

76 FR 5627 - Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting Approval of Proposed Rule Change...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-02-01

... Listing of Options Series with $1 Strike Prices January 25, 2011. I. Introduction On November 24, 2010... Strike Price Program. The proposed rule change was published for comment in the Federal Register on... proposed to amend Rule 6.4 Commentary .04 to modify the operation of the $1 Strike Price Program. Currently...

Uncertainty, irreversibility, and investment in second-generation biofuels

NASA Astrophysics Data System (ADS)

McCarty, Tanner Joseph

The present study formalizes and quantifies the importance of uncertainty for investment in a corn-stover based cellulosic biofuel plant. Using a real options model we recover prices of gasoline that would trigger entry into the market and calculate the portion of that entry trigger price required to cover cost and the portion that corresponds to risk premium. We then discuss the effect of managerial flexibility on the entry risk premium and the prices of gasoline that would trigger mothballing, reactivation, and exit. Results show that the risk premium required by plants to enter the second-generation biofuel market is likely to be substantial. The analysis also reveals that a break-even approach (which ignores the portion of entry price composed of risk premium), and the traditional Marshallian approach (which ignores the portion of entry price composed of both the risk premium and the drift rate), would significantly underestimate the gasoline entry trigger price and the magnitude of that underestimation increases as both volatility and mean of gasoline prices increase. Results also uncover a great deal of hysteresis (i.e. a range of gasoline prices for which there is neither entry nor exit in the market) in entry/exit behavior by plants. Hysteresis increases as gasoline prices become more volatile. Hysteresis suggests that, at the industry level, positive (negative) demand shocks will have a significant impact on prices (production) and a limited impact on production (prices). In combination all of these results suggest that policies supporting second generation biofuels may have fallen short of their targets because of their failure to alleviate uncertainty.

A Financial Market Model Incorporating Herd Behaviour

PubMed Central

2016-01-01

Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents’ accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents’ accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option. PMID:27007236

Impacts of renewable fuel regulation and production on agriculture, energy, and welfare

NASA Astrophysics Data System (ADS)

McPhail, Lihong Lu

The purpose of this dissertation is to study the impact of U.S. federal renewable fuel regulations on energy and agriculture commodity markets and welfare. We consider two federal ethanol policies: the Renewable Fuel Standard (RFS) contained in the Energy Security and Independence Act of 2007 and tax credits to ethanol blenders contained in the Food, Conservation, and Energy Act of 2008. My first essay estimates the distribution of short-run impacts of changing federal ethanol policies on U.S. energy prices, agricultural commodity prices, and welfare through a stochastic partial equilibrium model of U.S. corn, ethanol, and gasoline markets. My second essay focuses on studying the price behavior of the renewable fuel credit (RFC) market, which is the mechanism developed by the Environmental Protection Agency (EPA) to meet the RFS. RFCs are a tradable, bankable, and borrowable accounting mechanism to ensure that all obligated parties use a mandated level of renewable fuel. I first develop a conceptual framework to understand how the market works and then apply stochastic dynamic programming to simulate prices for RFCs, examine the sensitivity of prices to relevant shocks, and estimate RFC option premiums. My third essay assesses the impact of policy led U.S. ethanol on the markets of global crude oil and U.S. gasoline using a structural Vector Auto Regression model of global crude oil, U.S. gasoline and ethanol markets.

78 FR 62887 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-10-22

... market participant to jump ahead of another market participant's quoted price by a de minimis amount, and... market participant to jump ahead of another market participant's quoted price by a de minimis amount, and...

75 FR 61533 - Self-Regulatory Organizations; International Securities Exchange, LLC; Order Granting Approval of...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-10-05

... intraday auction, then the next available price is used. If no price is available by the end of the Xetra... 611 permits members to exercise discretionary power with respect to trading options in a customer's...

Optimal Operation of Data Centers in Future Smart Grid

NASA Astrophysics Data System (ADS)

Ghamkhari, Seyed Mahdi

The emergence of cloud computing has established a growing trend towards building massive, energy-hungry, and geographically distributed data centers. Due to their enormous energy consumption, data centers are expected to have major impact on the electric grid by significantly increasing the load at locations where they are built. However, data centers also provide opportunities to help the grid with respect to robustness and load balancing. For instance, as data centers are major and yet flexible electric loads, they can be proper candidates to offer ancillary services, such as voluntary load reduction, to the smart grid. Also, data centers may better stabilize the price of energy in the electricity markets, and at the same time reduce their electricity cost by exploiting the diversity in the price of electricity in the day-ahead and real-time electricity markets. In this thesis, such potentials are investigated within an analytical profit maximization framework by developing new mathematical models based on queuing theory. The proposed models capture the trade-off between quality-of-service and power consumption in data centers. They are not only accurate, but also they posses convexity characteristics that facilitate joint optimization of data centers' service rates, demand levels and demand bids to different electricity markets. The analysis is further expanded to also develop a unified comprehensive energy portfolio optimization for data centers in the future smart grid. Specifically, it is shown how utilizing one energy option may affect selecting other energy options that are available to a data center. For example, we will show that the use of on-site storage and the deployment of geographical workload distribution can particularly help data centers in utilizing high-risk energy options such as renewable generation. The analytical approach in this thesis takes into account service-level-agreements, risk management constraints, and also the statistical characteristics of the Internet workload and the electricity prices. Using empirical data, the performance of our proposed profit maximization models for data centers are evaluated, and the capability of data centers to benefit from participation in a variety of Demand Response programs is assessed.

A novel method to value real options in health care: the case of a multicohort human papillomavirus vaccination strategy.

PubMed

Favato, Giampiero; Baio, Gianluca; Capone, Alessandro; Marcellusi, Andrea; Saverio Mennini, Francesco

2013-07-01

A large number of economic evaluations have already confirmed the cost-effectiveness of different human papillomavirus (HPV) vaccination strategies. Standard analyses might not capture the full economic value of novel vaccination programs because the cost-effectiveness paradigm fails to take into account the value of active management. Management decisions can be seen as real options, a term used to refer to the application of option pricing theory to the valuation of investments in nonfinancial assets in which much of the value is attributable to flexibility and learning over time. The aim of this article was to discuss the potential advantages shown by using the payoff method in the valuation of the cost-effectiveness of competing HPV immunization programs. This was the first study, to the best of our knowledge, to use the payoff method to determine the real option values of 4 different HPV vaccination strategies targeting female subjects aged 12, 15, 18, and 25 years. The payoff method derives the real option value from the triangular payoff distribution of the project's net present value, which is treated as a triangular fuzzy number. To inform the real option model, cost-effectiveness data were derived from an empirically calibrated Bayesian model designed to assess the cost-effectiveness of a multicohort HPV vaccination strategy in the context of the current cervical cancer screening program in Italy. A net health benefit approach was used to calculate the expected fuzzy net present value for each of the 4 vaccination strategies evaluated. Costs per quality-adjusted life-year gained seemed to be related to the number of cohorts targeted: a single cohort of girls aged 12 years (€10,955 [95% CI, -1,021 to 28,212]) revealed the lowest cost among the 4 alternative strategies evaluated. The real option valuation challenged the cost-effectiveness dominance of a single cohort of 12-year-old girls. The simultaneous vaccination of 2 cohorts of girls aged 12 and 15 years yielded a real option value (€17,723) equivalent to that attributed to a single cohort of 12-year-old girls (€17,460). The payoff method showed distinctive advantages in the valuation of the cost-effectiveness of competing health care interventions, essentially determined by the replacement of the nonfuzzy numbers that are commonly used in cost-effectiveness analysis models, with fuzzy numbers as an input to inform the real option pricing method. The real option approach to value uncertainty makes policy making in health care an evolutionary process and creates a new "space" for decision-making choices. Copyright © 2013 Elsevier HS Journals, Inc. All rights reserved.

An Estimation of Profitability of Investment Projects in The Oil and Gas Industry Using Real Options Theory / Ocena Opłacalności Projektów Inwestycyjnych W Przemyśle Naftowym Z Wykorzystaniem Teorii Opcji Realnych

NASA Astrophysics Data System (ADS)

Kosowski, Piotr; Stopa, Jerzy

2012-11-01

Paper discusses issues relating to the valuation of investment efficiency in the oil and gas industry using a real options theory. The example of investment pricing using real options was depicted and it was confronted with the analysis executed with the use of traditional methods. Indicators commonly used to evaluate profitability of investment projects, based on a discounted cash flow method, have a few significant drawbacks, the most meaningful of which is staticity which means that any changes resulting from a decision process during the time of investment cannot be taken into consideration. In accordance with a methodology that is currently used, investment projects are analysed in a way that all the key decisions are made at the beginning and are irreversible. This approach assumes, that all the cash flows are specified and does not let the fact that during the time of investment there may appear new information, which could change its original form. What is also not analysed is the possibility of readjustment, due to staff managment's decisions, to the current market conditions, by expanding, speeding up/slowing down, abandoning or changing an outline of the undertaking. In result, traditional methods of investment projects valuation may lead to taking wrong decisions, e.g. giving up an owned exploitation licence or untimely liquidation of boreholes, which seem to be unprofitable. Due to all the above-mentioned there appears the necessity of finding some other methods which would let one make real and adequate estimations about investments in a petroleum industry especially when it comes to unconventional resources extraction. One of the methods which has been recently getting more and more approval in a world petroleum economics, is a real options pricing method. A real option is a right (but not an obligation) to make a decision connected with an investment in a specified time or time interval. According to the method a static model of pricing using DCF is no longer used; an investment project is divided into a series of steps and after each one there is a range of possible investment decisions, technical and organizational issues and all the others called `real options'. This lets one take many different varieties of modyfiying a strategy while pricing the project. This also makes it possible to react to the changing inner and outer situation and introducing new information while accomplishing the investment project. Owing to those, the decision process is a continuous operation, what is an actual vision of a real investment project management in the petroleum industry.

7 CFR 457.122 - Walnut crop insurance provisions.

Code of Federal Regulations, 2013 CFR

2013-01-01

... optional units by section, section equivalent, or FSA farm serial number and by irrigated and non-irrigated practices are not applicable. Optional units may be established only if each optional unit is located on non... group, in which case you may select one price election for each walnut variety or varietal group...

7 CFR 457.122 - Walnut crop insurance provisions.

Code of Federal Regulations, 2012 CFR

2012-01-01

... optional units by section, section equivalent, or FSA farm serial number and by irrigated and non-irrigated practices are not applicable. Optional units may be established only if each optional unit is located on non... group, in which case you may select one price election for each walnut variety or varietal group...

7 CFR 457.122 - Walnut crop insurance provisions.

Code of Federal Regulations, 2011 CFR

2011-01-01

... optional units by section, section equivalent, or FSA farm serial number and by irrigated and non-irrigated practices are not applicable. Optional units may be established only if each optional unit is located on non... group, in which case you may select one price election for each walnut variety or varietal group...

77 FR 54629 - Self-Regulatory Organizations; International Securities Exchange, LLC; Order Granting Approval of...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-09-05

.... Introduction On May 21, 2012, the International Securities Exchange, LLC (``ISE'' or ``Exchange'') filed with... its Short Term Option Series Program (``STOS Program'') to permit, during the expiration week of an... open for trading Short Term Option Series at $0.50 strike price intervals for option classes that trade...

76 FR 9696 - Equipment Price Forecasting in Energy Conservation Standards Analysis

Federal Register 2010, 2011, 2012, 2013, 2014

2011-02-22

... for particular efficiency design options, an empirical experience curve fit to the available data may be used to forecast future costs of such design option technologies. If a statistical evaluation indicates a low level of confidence in estimates of the design option cost trend, this method should not be...

77 FR 58600 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-09-21

... approving expansion of STO Program)[sic]. \\9\\ These include, without limitation, options, equities, futures... hedging strategies across various investment platforms (e.g. equity and ETF, index, derivatives, futures... Web site, strike prices for options on futures may be at an interval of $.05, $.10, and $.25 per...

75 FR 6243 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-02-08

... capacity to handle the additional traffic associated with the listing and trading of $1 strikes (where the... Change, and Amendment No. 1 Thereto, To Establish Strike Price Intervals and Trading Hours for Options on... the commencement of trading options on Index-Linked Securities, CBOE proposes to establish strike...

77 FR 67851 - Self-Regulatory Organizations; BOX Options Exchange LLC; Order Approving Proposed Rule Change To...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-11-14

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-68177; File No. SR-BOX-2012-003] Self-Regulatory Organizations; BOX Options Exchange LLC; Order Approving Proposed Rule Change To Amend the Price Improvement Period November 7, 2012. I. Introduction On July 25, 2012, BOX Options Exchange LLC (``Exchange...

Information-based models for finance and insurance

NASA Astrophysics Data System (ADS)

Hoyle, Edward

2010-10-01

In financial markets, the information that traders have about an asset is reflected in its price. The arrival of new information then leads to price changes. The `information-based framework' of Brody, Hughston and Macrina (BHM) isolates the emergence of information, and examines its role as a driver of price dynamics. This approach has led to the development of new models that capture a broad range of price behaviour. This thesis extends the work of BHM by introducing a wider class of processes for the generation of the market filtration. In the BHM framework, each asset is associated with a collection of random cash flows. The asset price is the sum of the discounted expectations of the cash flows. Expectations are taken with respect (i) an appropriate measure, and (ii) the filtration generated by a set of so-called information processes that carry noisy or imperfect market information about the cash flows. To model the flow of information, we introduce a class of processes termed Lévy random bridges (LRBs), generalising the Brownian and gamma information processes of BHM. Conditioned on its terminal value, an LRB is identical in law to a Lévy bridge. We consider in detail the case where the asset generates a single cash flow X_T at a fixed date T. The flow of information about X_T is modelled by an LRB with random terminal value X_T. An explicit expression for the price process is found by working out the discounted conditional expectation of X_T with respect to the natural filtration of the LRB. New models are constructed using information processes related to the Poisson process, the Cauchy process, the stable-1/2 subordinator, the variance-gamma process, and the normal inverse-Gaussian process. These are applied to the valuation of credit-risky bonds, vanilla and exotic options, and non-life insurance liabilities.

Real options valuation and optimization of energy assets

NASA Astrophysics Data System (ADS)

Thompson, Matthew

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

76 FR 19160 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-04-06

... LLC To Expand the $2.50 Strike Price Program March 31, 2011. Pursuant to Section 19(b)(1) of the... proposes to amend Commentary .07 to NYSE Amex Rule 903 to expand the $2.50 Strike Price Program. The text... expand the current $2.50 Strike Price Program (``Program'')\\3\\ to permit the listing of options with $2...

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

DOE Office of Scientific and Technical Information (OSTI.GOV)

Barbose, Galen; Goldman, Charles; Bharvirkar, Ranjit

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 howmore » 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 practices and standards, and customer preferences? Third, if a primary goal for RTP implementation is to induce DR, what types of supplemental activities are warranted to support customer participation and price response (e.g., interval metering deployment, customer education, and technical assistance)?« less

Applying Real Options for Evaluating Investments in ERP Systems

NASA Astrophysics Data System (ADS)

Nakagane, Jun; Sekozawa, Teruji

This paper intends to verify effectiveness of real options approach for evaluating investments in Enterprise Resource Planning systems (ERP) and proves how important it is to disclose shadow options potentially embedded in ERP investment. The net present value (NPV) method is principally adopted to evaluate the value of ERP. However, the NPV method assumes no uncertainties exist in the object. It doesn't satisfy the current business circumstances which are filled with dynamic issues. Since the 1990s the effectiveness of option pricing models for Information System (IS) investment to solve issues in the NPV method has been discussed in the IS literature. This paper presents 3 business cases to review the practical advantages of such techniques for IS investments, especially ERP investments. The first case is EDI development. We evaluate the project by a new approach with lighting one of shadow options, EDI implementation. In the second case we reveal an ERP investment has an “expanding option” in a case of eliminating redundancy. The third case describes an option to contract which is deliberately slotted in ERP development to prepare transferring a manufacturing facility.

Should a coal-fired power plant be replaced or retrofitted?

PubMed

Patiño-Echeverri, Dalia; Morel, Benoit; Apt, Jay; Chen, Chao

2007-12-01

In a cap-and-trade system, a power plant operator can choose to operate while paying for the necessary emissions allowances, retrofit emissions controls to the plant, or replace the unit with a new plant. Allowance prices are uncertain, as are the timing and stringency of requirements for control of mercury and carbon emissions. We model the evolution of allowance prices for SO2, NOx, Hg, and CO2 using geometric Brownian motion with drift, volatility, and jumps, and use an options-based analysis to find the value of the alternatives. In the absence of a carbon price, only if the owners have a planning horizon longer than 30 years would they replace a conventional coal-fired plant with a high-performance unit such as a supercritical plant; otherwise, they would install SO2 and NOx, controls on the existing unit. An expectation that the CO2 price will reach $50/t in 2020 makes the installation of an IGCC with carbon capture and sequestration attractive today, even for planning horizons as short as 20 years. A carbon price below $40/t is unlikely to produce investments in carbon capture for electric power.

Review on the structural approach of the Black-Scholes model

NASA Astrophysics Data System (ADS)

Saad, Shakila; Jaffar, Maheran Mohd

2015-05-01

Black-Scholes model developed in 1973 has become one of the important concepts in modern financial theory. This model is regarded as one of the best ways in determining fair prices of the options. Many studies have been done to improve the performance of the Black-Scholes model since this model is built with few limitations. Thus, the objective of this review paper is to discuss on the Black-Scholes model. The aim of this review paper is to present the derivation of Black-Scholes, Merton and KMV-Merton models. Besides, it provides a literature review on the modifications done by the researchers on the Black-Scholes model.

77 FR 68172 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-11-15

... recently approved certain products to trade at $0.50 and $1 strike price intervals on CBOE within exactly... Short Term Option Series (``STOS'') Program that normally trade in $1 Strike Price Intervals shall be [[Page 68173

76 FR 56832 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-09-14

... entire universe of U.S. options disseminated by the Options Price Reporting Authority (OPRA). The... unique market data to the public. It was believed that this authority would expand the amount of data...

Stable Local Volatility Calibration Using Kernel Splines

NASA Astrophysics Data System (ADS)

Coleman, Thomas F.; Li, Yuying; Wang, Cheng

2010-09-01

We propose an optimization formulation using L1 norm to ensure accuracy and stability in calibrating a local volatility function for option pricing. Using a regularization parameter, the proposed objective function balances the calibration accuracy with the model complexity. Motivated by the support vector machine learning, the unknown local volatility function is represented by a kernel function generating splines and the model complexity is controlled by minimizing the 1-norm of the kernel coefficient vector. In the context of the support vector regression for function estimation based on a finite set of observations, this corresponds to minimizing the number of support vectors for predictability. We illustrate the ability of the proposed approach to reconstruct the local volatility function in a synthetic market. In addition, based on S&P 500 market index option data, we demonstrate that the calibrated local volatility surface is simple and resembles the observed implied volatility surface in shape. Stability is illustrated by calibrating local volatility functions using market option data from different dates.

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).

A Methodology for Improving the Shipyard Planning Process: Using KVA Analysis, Risk Simulation and Strategic Real Options

DTIC Science & Technology

2006-09-30

allocated to intangible assets. With Proctor & Gamble’s $53.5 billion acquisition of Gillette , $31.5 billion or 59% of the total purchase price was... outsourcing , alliances, joint ventures) • Compound Option (platform options) • Sequential Options (stage-gate development, R&D, phased...Comparisons • RO/KVA could enhance outsourcing comparisons between the Government’s Most Efficient Organization (MEO) and private-sector

76 FR 71413 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-17

....00 (for options whose underlying stock's previous trading day's last sale price was less than or equal to $100) and between $0.10 and $5.00 (for options whose underlying stock's previous trading day's... the time for series trading between $0.03 and $5.00 (for options whose underlying stock's previous...

75 FR 27605 - Self-Regulatory Organizations; NASDAQ OMX PHLX, Inc.; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-05-17

... Rule Change Relating to One Cent Strike Price Intervals of Foreign Currency Options May 7, 2010... cent ($0.01) for each expiration month for U.S. dollar-settled foreign currency options (``FCOs'') opened for trading on the Exchange.\\3\\ \\3\\ FCOs are also known as World Currency Options (``WCOs...

78 FR 28669 - Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-05-15

... ``Options Pricing'' section of its fee schedule effective immediately, in order to (i) increase fees for any...'') thresholds. The Exchange offers a bulk-quoting interface which allows Users \\6\\ of BATS Options to submit and... receipt. The bulk-quoting application for BATS Options is a particularly useful feature for Users that...

Dynamics of Markets

NASA Astrophysics Data System (ADS)

McCauley, Joseph L.

2004-06-01

Standard texts and research in economics and finance ignore the absence of evidence from the analysis of real, unmassaged market data to support the notion of Adam Smith's stabilizing Invisible Hand. In stark contrast, this text introduces a new empirically-based model of financial market dynamics that explains the volatility of prices options correctly and clarifies the instability of financial markets. The emphasis is on understanding how real markets behave, not how they hypothetically 'should' behave.

Distributed Energy Resources and Dynamic Microgrid: An Integrated Assessment

NASA Astrophysics Data System (ADS)

Shang, Duo Rick

The overall goal of this thesis is to improve understanding in terms of the benefit of DERs to both utility and to electricity end-users when integrated in power distribution system. To achieve this goal, a series of two studies was conducted to assess the value of DERs when integrated with new power paradigms. First, the arbitrage value of DERs was examined in markets with time-variant electricity pricing rates (e.g., time of use, real time pricing) under a smart grid distribution paradigm. This study uses a stochastic optimization model to estimate the potential profit from electricity price arbitrage over a five-year period. The optimization process involves two types of PHEVs (PHEV-10, and PHEV-40) under three scenarios with different assumptions on technology performance, electricity market and PHEV owner types. The simulation results indicate that expected arbitrage profit is not a viable option to engage PHEVs in dispatching and in providing ancillary services without more favorable policy and PHEV battery technologies. Subsidy or change in electricity tariff or both are needed. Second, it examined the concept of dynamic microgrid as a measure to improve distribution resilience, and estimates the prices of this emerging service. An economic load dispatch (ELD) model is developed to estimate the market-clearing price in a hypothetical community with single bid auction electricity market. The results show that the electricity market clearing price on the dynamic microgrid is predominantly decided by power output and cost of electricity of each type of DGs. At circumstances where CHP is the only source, the electricity market clearing price in the island is even cheaper than the on-grid electricity price at normal times. Integration of PHEVs in the dynamic microgrid will increase electricity market clearing prices. It demonstrates that dynamic microgrid is an economically viable alternative to enhance grid resilience.

One fish, two fish, red fish, blue fish: effects of price frames, brand names, and choice set size on Medicare Part D insurance plan decisions.

PubMed

Barnes, Andrew J; Hanoch, Yaniv; Wood, Stacey; Liu, Pi-Ju; Rice, Thomas

2012-08-01

Because many seniors choose Medicare Part D plans offering poorer coverage at greater cost, the authors examined the effect of price frames, brand names, and choice set size on participants' ability to choose the lowest cost plan. A 2×2×2 within-subjects design was used with 126 participants aged 18 to 91 years old. Mouselab, a web-based program, allowed participants to choose drug plans across eight trials that varied using numeric or symbolic prices, real or fictitious drug plan names, and three or nine drug plan options. Results from the multilevel models suggest numeric versus symbolic prices decreased the likelihood of choosing the lowest cost plan (-8.0 percentage points, 95% confidence interval=-14.7 to -0.9). The likelihood of choosing the lowest cost plan decreased as the amount of information increased suggesting that decision cues operated independently and collectively when selecting a drug plan. Redesigning the current Medicare Part D plan decision environment could improve seniors' drug plan choices.

The effect of CO2 regulations on the cost of corn ethanol production

NASA Astrophysics Data System (ADS)

Plevin, R. J.; Mueller, S.

2008-04-01

To explore the effect of CO2 price on the effective cost of ethanol production we have developed a model that integrates financial and emissions accounting for dry-mill corn ethanol plants. Three policy options are modeled: (1) a charge per unit of life cycle CO2 emissions, (2) a charge per unit of direct biorefinery emissions only, and (3) a low carbon fuel standard (LCFS). A CO2 charge on life cycle emissions increases production costs by between 0.005 and 0.008 l-1 per 10 Mg-1 CO2 price increment, across all modeled plant energy systems, with increases under direct emissions somewhat lower in all cases. In contrast, a LCFS increases the cost of production for selected plant energy systems only: a LCFS requiring reductions in average fuel global warming intensity (GWI) with a target of 10% below the 2005 baseline increases the production costs for coal-fired plants only. For all other plant types, the LCFS operates as a subsidy. The findings depend strongly on the magnitude of a land use change adder. Some land use change adders currently discussed in the literature will push the GWI of all modeled production systems above the LCFS target, flipping the CO2 price from a subsidy to a tax.

An analysis of strategic price setting in retail gasoline markets

NASA Astrophysics Data System (ADS)

Jaureguiberry, Florencia

This dissertation studies price-setting behavior in the retail gasoline industry. The main questions addressed are: How important is a retail station's brand and proximity to competitors when retail stations set price? How do retailers adjust their pricing when they cater to consumers who are less aware of competing options or have less discretion over where they purchase gasoline? These questions are explored in two separate analyses using a unique datasets containing retail pricing behavior of stations in California and in 24 different metropolitan areas. The evidence suggests that brand and location generate local market power for gasoline stations. After controlling for market and station characteristics, the analysis finds a spread of 11 cents per gallon between the highest and the lowest priced retail gasoline brands. The analysis also indicates that when the nearest competitor is located over 2 miles away as opposed to next door, consumers will pay an additional 1 cent per gallon of gasoline. In order to quantify the significance of local market power, data for stations located near major airport rental car locations are utilized. The presumption here is that rental car users are less aware or less sensitive to fueling options near the rental car return location and are to some extent "captured consumers". Retailers located near rental car locations have incentives to adjust their pricing strategies to exploit this. The analysis of pricing near rental car locations indicates that retailers charge prices that are 4 cent per gallon higher than other stations in the same metropolitan area. This analysis is of interest to regulators who are concerned with issues of consolidation, market power, and pricing in the retail gasoline industry. This dissertation concludes with a discussion of the policy implications of the empirical analysis.

48 CFR 52.212-2 - Evaluation-Commercial Items.

Code of Federal Regulations, 2010 CFR

2010-10-01

... compared to price.) (b) Options. The Government will evaluate offers for award purposes by adding the total... provision substantially as follows: Evaluation—Commercial Items (JAN 1999) (a) The Government will award a... solicitation will be most advantageous to the Government, price and other factors considered. The following...

Developing Portfolios of Water Supply Transfers

NASA Astrophysics Data System (ADS)

Characklis, G. W.; Kirsch, B. R.; Ramsey, J.; Dillard, K. E.; Kelley, C. T.

2005-12-01

Most cities rely on firm water supply capacity to meet demand, but increasing scarcity and supply costs are encouraging greater use of temporary transfers (e.g., spot leases, options). This raises questions regarding how best to coordinate the use of these transfers in meeting cost and reliability objectives. This work combines a hydrologic-water market simulation with an optimization approach to identify portfolios of permanent rights, options and leases that minimize expected costs of meeting a city's annual demand with a specified reliability. Spot market prices are linked to hydrologic conditions and described by monthly lease price distributions which are used to price options via a risk neutral approach. Monthly choices regarding when and how much water to acquire through temporary transfers are made on the basis of anticipatory decision rules related to the ratio of expected supply-to-expected demand. The simulation is linked with an algorithm that uses an implicit filtering search method designed for solution surfaces that exhibit high frequency, low amplitude noise. This simulation-optimization approach is applied to a region that currently supports an active water market, with results suggesting that the use of temporary transfers can reduce expected water supply costs substantially, while still maintaining high reliability levels. Also evaluated are tradeoffs between expected costs and cost variability that occur with variation in a portfolio's distribution of rights, options and leases. While this work represents firm supply capacity as permanent water rights, a similar approach could be used to develop portfolios integrating options and/or leases with hard supply infrastructure.

Climate change and the economics of biomass energy feedstocks in semi-arid agricultural landscapes: A spatially explicit real options analysis.

PubMed

Regan, Courtney M; Connor, Jeffery D; Raja Segaran, Ramesh; Meyer, Wayne S; Bryan, Brett A; Ostendorf, Bertram

2017-05-01

The economics of establishing perennial species as renewable energy feedstocks has been widely investigated as a climate change adapted diversification option for landholders, primarily using net present value (NPV) analysis. NPV does not account for key uncertainties likely to influence relevant landholder decision making. While real options analysis (ROA) is an alternative method that accounts for the uncertainty over future conditions and the large upfront irreversible investment involved in establishing perennials, there have been limited applications of ROA to evaluating land use change decision economics and even fewer applications considering climate change risks. Further, while the influence of spatially varying climate risk on biomass conversion economic has been widely evaluated using NPV methods, effects of spatial variability and climate on land use change have been scarcely assessed with ROA. In this study we applied a simulation-based ROA model to evaluate a landholder's decision to convert land from agriculture to biomass. This spatially explicit model considers price and yield risks under baseline climate and two climate change scenarios over a geographically diverse farming region. We found that underlying variability in primary productivity across the study area had a substantial effect on conversion thresholds required to trigger land use change when compared to results from NPV analysis. Areas traditionally thought of as being quite similar in average productive capacity can display large differences in response to the inclusion of production and price risks. The effects of climate change, broadly reduced returns required for land use change to biomass in low and medium rainfall zones and increased them in higher rainfall areas. Additionally, the risks posed by climate change can further exacerbate the tendency for NPV methods to underestimate true conversion thresholds. Our results show that even under severe drying and warming where crop yield variability is more affected than perennial biomass plantings, comparatively little of the study area is economically viable for conversion to biomass under $200/DM t, and it is not until prices exceed $200/DM t that significant areas become profitable for biomass plantings. We conclude that for biomass to become a valuable diversification option the synchronisation of products and services derived from biomass and the development of markets is vital. Copyright © 2017 Elsevier Ltd. All rights reserved.

Derivative Trade Optimizing Model Utilizing GP Based on Behavioral Finance Theory

NASA Astrophysics Data System (ADS)

Matsumura, Koki; Kawamoto, Masaru

This paper proposed a new technique which makes the strategy trees for the derivative (option) trading investment decision based on the behavioral finance theory and optimizes it using evolutionary computation, in order to achieve high profitability. The strategy tree uses a technical analysis based on a statistical, experienced technique for the investment decision. The trading model is represented by various technical indexes, and the strategy tree is optimized by the genetic programming(GP) which is one of the evolutionary computations. Moreover, this paper proposed a method using the prospect theory based on the behavioral finance theory to set psychological bias for profit and deficit and attempted to select the appropriate strike price of option for the higher investment efficiency. As a result, this technique produced a good result and found the effectiveness of this trading model by the optimized dealings strategy.

The welfare effects of raising household energy prices in Poland

DOE Office of Scientific and Technical Information (OSTI.GOV)

Freund, C.L.; Wallich, C.I.

1996-06-01

We examine the welfare effects from increasing household energy prices in Poland. Subsidizing household energy prices, common in the transition economies, is shown to be highly regressive. The wealthy spend a larger portion of their income on energy and consume more energy in absolute terms. We therefore rule out the oft-used social welfare argument for delaying household energy price increases. Raising prices, while targeting relief to the poor through a social assistance program is the first-best response. However, if governments want to ease the adjustment, several options are open, including: in-kind transfers to the poor, vouchers, in-cash transfers, and lifelinemore » pricing for electricity. Our simulations show that if raising prices to efficient levels is not politically feasible at present and social assistance targeting is sufficiently weak, it may be socially better to use lifeline pricing and a large price increase than an overall, but smaller, price increase.« less

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

PubMed Central

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

2014-01-01

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

Distance to store, food prices, and obesity in urban food deserts.

PubMed

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

2014-11-01

Lack of access to healthy foods may explain why residents of low-income neighborhoods and African Americans in the U.S. have high rates of obesity. The findings on where people shop and how that may influence health are mixed. However, multiple policy initiatives are underway to increase access in communities that currently lack healthy options. Few studies have simultaneously measured obesity, distance, and prices of the store used for primary food shopping. To examine the relationship among distance to store, food prices, and obesity. The Pittsburgh Hill/Homewood Research on Eating, Shopping, and Health study conducted baseline interviews with 1,372 households between May and December 2011 in two low-income, majority African American neighborhoods without a supermarket. Audits of 16 stores where participants reported doing their major food shopping were conducted. Data were analyzed between February 2012 and February 2013. Distance to store and prices were positively associated with obesity (p<0.05). When distance to store and food prices were jointly modeled, only prices remained significant (p<0.01), with higher prices predicting a lower likelihood of obesity. Although low- and high-price stores did not differ in availability, they significantly differed in their display and marketing of junk foods relative to healthy foods. Placing supermarkets in food deserts to improve access may not be as important as simultaneously offering better prices for healthy foods relative to junk foods, actively marketing healthy foods, and enabling consumers to resist the influence of junk food marketing. Copyright © 2014 American Journal of Preventive Medicine. Published by Elsevier Inc. All rights reserved.

Using economic policy to tackle chronic disease: options for the Australian Government.

PubMed

Kaplin, Lauren; Thow, Anne Marie

2013-03-01

Australia suffers from one of the highest prevalences among developed countries of persons being overweight and obese, these conditions arising from the overconsumption of energy-dense, nutrient-poor foods that are generally less expensive than healthier options. One potential avenue for intervention is to influence the price of foods such that healthier options are less expensive and, therefore, are an easier choice to make. This article considers the potential for fiscal policies that would realign food prices with health incentives. Through a review of consumption taxes, consumer subsidies, trade policies, agricultural support policies, and other incentive programs as possible avenues for intervention, this article asks what the Commonwealth Government has already done to help improve Australian diets, and looks at where further improvements could be made.

Perceptions on the use of pricing strategies to stimulate healthy eating among residents of deprived neighbourhoods: a focus group study

PubMed Central

2010-01-01

Background Pricing strategies are mentioned frequently as a potentially effective tool to stimulate healthy eating, mainly for consumers with a low socio-economic status. Still, it is not known how these consumers perceive pricing strategies, which pricing strategies are favoured and what contextual factors are important in achieving the anticipated effects. Methods We conducted seven focus groups among 59 residents of deprived neighbourhoods in two large Dutch cities. The focus group topics were based on insights from Rogers' Diffusion of Innovations Theory and consisted of four parts: 1) discussion on factors in food selection; 2) attitudes and perceptions towards food prices; 3) thinking up pricing strategies; 4) attitudes and perceptions regarding nine pricing strategies that were nominated by experts in a former Delphi Study. Analyses were conducted with Atlas.ti 5.2 computer software, using the framework approach. Results Qualitative analyses revealed that this group of consumers consider price to be a core factor in food choice and that they experience financial barriers against buying certain foods. Price was also experienced as a proficient tool to stimulate healthier food choices. Yet, consumers indicated that significant effects could only be achieved by combining price with information and promotion techniques. In general, pricing strategies focusing on encouraging healthy eating were valued to be more helpful than pricing strategies which focused on discouraging unhealthy eating. Suggested high reward strategies were: reducing the price of healthier options of comparable products (e.g., whole meal bread) compared to unhealthier options (e.g., white bread); providing a healthy food discount card for low-income groups; and combining price discounts on healthier foods with other marketing techniques such as displaying cheap and healthy foods at the cash desk. Conclusion This focus group study provides important new insights regarding the use of pricing strategies to stimulate healthy eating. The observed perceptions and attitudes of residents of deprived neighbourhoods can be integrated into future experimental studies and be used to reveal if and how pricing strategies are effective in stimulating healthy eating. PMID:20482857

Perceptions on the use of pricing strategies to stimulate healthy eating among residents of deprived neighbourhoods: a focus group study.

PubMed

Waterlander, Wilma E; de Mul, Anika; Schuit, Albertine J; Seidell, Jacob C; Steenhuis, Ingrid Hm

2010-05-19

Pricing strategies are mentioned frequently as a potentially effective tool to stimulate healthy eating, mainly for consumers with a low socio-economic status. Still, it is not known how these consumers perceive pricing strategies, which pricing strategies are favoured and what contextual factors are important in achieving the anticipated effects. We conducted seven focus groups among 59 residents of deprived neighbourhoods in two large Dutch cities. The focus group topics were based on insights from Rogers' Diffusion of Innovations Theory and consisted of four parts: 1) discussion on factors in food selection; 2) attitudes and perceptions towards food prices; 3) thinking up pricing strategies; 4) attitudes and perceptions regarding nine pricing strategies that were nominated by experts in a former Delphi Study. Analyses were conducted with Atlas.ti 5.2 computer software, using the framework approach. Qualitative analyses revealed that this group of consumers consider price to be a core factor in food choice and that they experience financial barriers against buying certain foods. Price was also experienced as a proficient tool to stimulate healthier food choices. Yet, consumers indicated that significant effects could only be achieved by combining price with information and promotion techniques. In general, pricing strategies focusing on encouraging healthy eating were valued to be more helpful than pricing strategies which focused on discouraging unhealthy eating. Suggested high reward strategies were: reducing the price of healthier options of comparable products (e.g., whole meal bread) compared to unhealthier options (e.g., white bread); providing a healthy food discount card for low-income groups; and combining price discounts on healthier foods with other marketing techniques such as displaying cheap and healthy foods at the cash desk. This focus group study provides important new insights regarding the use of pricing strategies to stimulate healthy eating. The observed perceptions and attitudes of residents of deprived neighbourhoods can be integrated into future experimental studies and be used to reveal if and how pricing strategies are effective in stimulating healthy eating.

Diverging Influences of Money Priming on Choice.

PubMed

Kim, Hee Jin

2017-01-01

Prior research on money priming has suggested two seemingly contradicting findings. On the one hand, money has been shown to highlight the importance of cost saving, leading to the choice of a low-quality/low-price option. On the other hand, individuals primed with money as a symbol of social status, and capabilities may focus on social value of money, e.g., higher spending symbolizes higher status and prefer an option with high quality/high price. Current research proposes and demonstrates that whether money priming will lead different choices depends on the nature of the consumption context. Specifically, when the product is to be consumed privately, money priming will highlight the importance of cost, thus increasing the preference for lower price at a lower quality. However, when the product is to be consumed publicly, reversed pattern of consumer preference will be found.

78 FR 16726 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-18

... Price, Managing Director, Securities Industry and Financial Markets Association, dated October 4, 2012... other industry professionals will have difficulty pricing options during Limit States and Straddle... conditions have changed and (ii) gaming the obvious error rule to retroactively adjust market maker quotes by...

7 CFR 245.9 - Special assistance certification and reimbursement alternatives.

Code of Federal Regulations, 2011 CFR

2011-01-01

... REDUCED PRICE MEALS AND FREE MILK IN SCHOOLS § 245.9 Special assistance certification and reimbursement... children determined eligible for free or reduced price meals may, at its option, authorize the school to reduce annual certification and public notification for those children eligible for free meals to once...

7 CFR 245.9 - Special assistance certification and reimbursement alternatives.

Code of Federal Regulations, 2010 CFR

2010-01-01

... REDUCED PRICE MEALS AND FREE MILK IN SCHOOLS § 245.9 Special assistance certification and reimbursement... children determined eligible for free or reduced price meals may, at its option, authorize the school to reduce annual certification and public notification for those children eligible for free meals to once...

NASA policy on pricing shuttle launch services

NASA Technical Reports Server (NTRS)

Smith, J. M.

1977-01-01

The paper explains the rationale behind key elements of the pricing policy for STS, the major features of the non-government user policy, and some of the stimulating features of the policy which will open space to a wide range of new users. Attention is given to such major policy features as payment schedule, cost and standard services, the two phase pricing structure, optional services, shared flights, cancellation and postponement, and earnest money.

78 FR 4919 - Self-Regulatory Organizations; NYSE Arca, Inc.; Order Instituting Proceedings To Determine...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-01-23

... respective barrier price, a cash settlement payment in an amount equal to the difference between the strike... options sold, then decremented by cash settlements of any down-and-in put options expiring in-the-money... end of the previous quarter; Option Value is the settlement value of each of the 20 down-and-in put...

77 FR 44291 - Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting Approval of Proposed Rule Change...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-07-27

... volatility. On the day of the monthly expiration of VIX call options, previously purchased VIX call options are cash-settled, and new VIX call options are purchased at the 10 a.m., Central Time asking price... Index. \\9\\ Tail hedging, in the context used by the Index Provider, is the practice of trying to hedge...

76 FR 59754 - Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-09-27

... priority allocation algorithm for the SPXPM option class,\\5\\ subject to certain conditions. \\5\\ SPXPM is... algorithm in effect for the class, subject to various conditions set forth in subparagraphs (b)(3)(A... permit the allocation algorithm in effect for AIM in the SPXPM option class to be the price-time priority...

76 FR 72490 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-23

... Program. \\6\\ However, if BOX opens less than twenty (20) short term options for a Short Term Option... maintain an orderly market, to meet customer demand or when the market price of the underlying security... number of classes is customer demand for adding, or not removing, short term option classes from the...

A win-win solution?: A critical analysis of tiered pricing to improve access to medicines in developing countries.

PubMed

Moon, Suerie; Jambert, Elodie; Childs, Michelle; von Schoen-Angerer, Tido

2011-10-12

Tiered pricing - the concept of selling drugs and vaccines in developing countries at prices systematically lower than in industrialized countries - has received widespread support from industry, policymakers, civil society, and academics as a way to improve access to medicines for the poor. We carried out case studies based on a review of international drug price developments for antiretrovirals, artemisinin combination therapies, drug-resistant tuberculosis medicines, liposomal amphotericin B (for visceral leishmaniasis), and pneumococcal vaccines. We found several critical shortcomings to tiered pricing: it is inferior to competition for achieving the lowest sustainable prices; it often involves arbitrary divisions between markets and/or countries, which can lead to very high prices for middle-income markets; and it leaves a disproportionate amount of decision-making power in the hands of sellers vis-à-vis consumers. In many developing countries, resources are often stretched so tight that affordability can only be approached by selling medicines at or near the cost of production. Policies that "de-link" the financing of R&D from the price of medicines merit further attention, since they can reward innovation while exploiting robust competition in production to generate the lowest sustainable prices. However, in special cases - such as when market volumes are very small or multi-source production capacity is lacking - tiered pricing may offer the only practical option to meet short-term needs for access to a product. In such cases, steps should be taken to ensure affordability and availability in the longer-term. To ensure access to medicines for populations in need, alternate strategies should be explored that harness the power of competition, avoid arbitrary market segmentation, and/or recognize government responsibilities. Competition should generally be the default option for achieving affordability, as it has proven superior to tiered pricing for reliably achieving the lowest sustainable prices.

A win-win solution?: A critical analysis of tiered pricing to improve access to medicines in developing countries

PubMed Central

2011-01-01

Background Tiered pricing - the concept of selling drugs and vaccines in developing countries at prices systematically lower than in industrialized countries - has received widespread support from industry, policymakers, civil society, and academics as a way to improve access to medicines for the poor. We carried out case studies based on a review of international drug price developments for antiretrovirals, artemisinin combination therapies, drug-resistant tuberculosis medicines, liposomal amphotericin B (for visceral leishmaniasis), and pneumococcal vaccines. Discussion We found several critical shortcomings to tiered pricing: it is inferior to competition for achieving the lowest sustainable prices; it often involves arbitrary divisions between markets and/or countries, which can lead to very high prices for middle-income markets; and it leaves a disproportionate amount of decision-making power in the hands of sellers vis-à-vis consumers. In many developing countries, resources are often stretched so tight that affordability can only be approached by selling medicines at or near the cost of production. Policies that "de-link" the financing of R&D from the price of medicines merit further attention, since they can reward innovation while exploiting robust competition in production to generate the lowest sustainable prices. However, in special cases - such as when market volumes are very small or multi-source production capacity is lacking - tiered pricing may offer the only practical option to meet short-term needs for access to a product. In such cases, steps should be taken to ensure affordability and availability in the longer-term. Summary To ensure access to medicines for populations in need, alternate strategies should be explored that harness the power of competition, avoid arbitrary market segmentation, and/or recognize government responsibilities. Competition should generally be the default option for achieving affordability, as it has proven superior to tiered pricing for reliably achieving the lowest sustainable prices. PMID:21992405

Impact of the 2010 US Healthy, Hunger-Free Kids Act on School Breakfast and Lunch Participation Rates Between 2008 and 2015.

PubMed

Vaudrin, Nicole; Lloyd, Kristen; Yedidia, Michael J; Todd, Michael; Ohri-Vachaspati, Punam

2018-01-01

To evaluate National School Lunch Program (NSLP) and School Breakfast Program (SBP) participation over a 7-year period before and after the implementation of the 2010 Healthy, Hunger-Free Kids Act (HHFKA), which required healthier school lunch options beginning in school year (SY) 2012-2013 and healthier school breakfast options beginning in SY2013-2014. Data were gathered from low-income, high-minority public schools in 4 New Jersey cities. We conducted longitudinal analyses of annual average daily participation (ADP) in school meals among enrolled students overall and among those eligible for free or reduced-price meals. We used linear mixed models to compare NSLP and SBP participation rates from SY2008-2009 to SY2014-2015. NSLP participation rates among students overall differed little across years (from 70% to 72%). SBP rates among enrolled students were stable from the beginning of the study period to SY2013-2014 and then increased from 52% to 59%. Among students eligible for free or reduced-price meals, the ADP was lowest in SY2012-2013 (when the HHFKA was implemented) before rebounding. The HHFKA did not have a negative impact on school meal participation over time. Public Health Implications. The HHFKA-strengthened nutrition standards have not affected school meal participation rates. With time, students are likely to accept healthier options.

A discrete event simulation to model the cost-utility of fingolimod and natalizumab in rapidly evolving severe relapsing-remitting multiple sclerosis in the UK.

PubMed

Montgomery, Stephen M; Maruszczak, Maciej J; Slater, David; Kusel, Jeanette; Nicholas, Richard; Adlard, Nicholas

2017-05-01

Two disease-modifying therapies are licensed in the EU for use in rapidly-evolving severe (RES) relapsing-remitting multiple sclerosis (RRMS), fingolimod and natalizumab. Here a discrete event simulation (DES) model to analyze the cost-effectiveness of natalizumab and fingolimod in the RES population, from the perspective of the National Health Service (NHS) in the UK, is reported. A DES model was developed to track individual RES patients, based on Expanded Disability Status Scale scores. Individual patient characteristics were taken from the RES sub-groups of the pivotal trials for fingolimod. Utility data were in line with previous models. Published costs were inflated to NHS cost year 2015. Owing to the confidential patient access scheme (PAS) discount applied to fingolimod in the UK, a range of discount levels were applied to the fingolimod list price, to capture the likelihood of natalizumab being cost-effective in a real-world setting. At the lower National Institute of Health and Care Excellence (NICE) threshold of £20,000/quality-adjusted life year (QALY), fingolimod only required a discount greater than 0.8% of list price to be cost-effective. At the upper threshold of £30,000/QALY employed by the NICE, fingolimod was cost-effective if the confidential discount is greater than 2.5%. Sensitivity analyses conducted using fingolimod list-price showed the model to be most sensitive to changes in the cost of each drug, particularly fingolimod. The DES model shows that only a modest discount to the UK fingolimod list-price is required to make fingolimod a more cost-effective option than natalizumab in RES RRMS.

Adaptive [theta]-methods for pricing American options

NASA Astrophysics Data System (ADS)

Khaliq, Abdul Q. M.; Voss, David A.; Kazmi, Kamran

2008-12-01

We develop adaptive [theta]-methods for solving the Black-Scholes PDE for American options. By adding a small, continuous term, the Black-Scholes PDE becomes an advection-diffusion-reaction equation on a fixed spatial domain. Standard implementation of [theta]-methods would require a Newton-type iterative procedure at each time step thereby increasing the computational complexity of the methods. Our linearly implicit approach avoids such complications. We establish a general framework under which [theta]-methods satisfy a discrete version of the positivity constraint characteristic of American options, and numerically demonstrate the sensitivity of the constraint. The positivity results are established for the single-asset and independent two-asset models. In addition, we have incorporated and analyzed an adaptive time-step control strategy to increase the computational efficiency. Numerical experiments are presented for one- and two-asset American options, using adaptive exponential splitting for two-asset problems. The approach is compared with an iterative solution of the two-asset problem in terms of computational efficiency.

Electricity pricing policy: A neo-institutional, developmental and cross-national policy design map

NASA Astrophysics Data System (ADS)

Koundinya, Sridarshan Umesh

This dissertation explores the role of ideas and ideology in the mental policy design maps of regulators in the US and in India. The research approach is to describe the regulatory design process in the history of the US electric industry from a neo-institutional and developmental perspective. And then to use the insights of such a study to suggest policy options to a sample of Indian experts. A regulatory process model explores the interactions among normative values, regulatory instruments and historical phases in policy design. A spectrum of seven regulatory instruments--subsidized rates, average cost pricing, marginal cost pricing, time-of-use pricing, ramsey pricing, incentive regulation and spot pricing is examined. A neo-institutional perspective characterizes the process of institutionalizing these regulatory instruments as a design process that infuses them with values beyond mere technical requirements. The process model includes normative values such as efficiency, fairness, free choice and political feasibility. These values arise from an analytical classification of various market metaphors debated in the history of economic thought. The theory of development and co-evolution applied to the history of electricity regulation yields a typology of evolutionary phases in the US. The typology describes hierarchically emergent relationships between supply and demand and among the normative values. The theory hypothesizes technologically contingent relationships between pricing policies and normative values in the historical phases of dependence (or rural), independence (or urban) and interdependence (or informational). The contents of this model are represented as related elements in a policy design map that simplifies the process of designing regulatory instruments in the US. This neo-institutional, developmental policy design map was used to design a survey instrument. The survey was conducted among electricity experts in India to test the hypothesized inter-relationships among various elements at different levels of the policy design map in a cross-national context. The study adds value with a comprehensive design map that helps to organize and give coherence to the policy prescriptions made by Indian experts as they converge on one institutional model. Thus the dissertation contributes to the transfer of knowledge about regulatory practice from the US to India.

Half-size me? How calorie and price information influence ordering on restaurant menus with both half and full entrée portion sizes.

PubMed

Haws, Kelly L; Liu, Peggy J

2016-02-01

Many restaurants are increasingly required to display calorie information on their menus. We present a study examining how consumers' food choices are affected by the presence of calorie information on restaurant menus. However, unlike prior research on this topic, we focus on the effect of calorie information on food choices made from a menu that contains both full size portions and half size portions of entrées. This different focus is important because many restaurants increasingly provide more than one portion size option per entrée. Additionally, we examine whether the impact of calorie information differs depending on whether full portions are cheaper per unit than half portions (non-linear pricing) or whether they have a similar per unit price (linear pricing). We find that when linear pricing is used, calorie information leads people to order fewer calories. This decrease occurs as people switch from unhealthy full sized portions to healthy full sized portions, not to unhealthy half sized portions. In contrast, when non-linear pricing is used, calorie information has no impact on calories selected. Considering the impact of calorie information on consumers' choices from menus with more than one entrée portion size option is increasingly important given restaurant and legislative trends, and the present research demonstrates that calorie information and pricing scheme may interact to affect choices from such menus. Copyright © 2015 Elsevier Ltd. All rights reserved.

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

NASA Astrophysics Data System (ADS)

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

2015-09-01

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

The role of capital costs in decarbonizing the electricity sector

NASA Astrophysics Data System (ADS)

Hirth, Lion; Steckel, Jan Christoph

2016-11-01

Low-carbon electricity generation, i.e. renewable energy, nuclear power and carbon capture and storage, is more capital intensive than electricity generation through carbon emitting fossil fuel power stations. High capital costs, expressed as high weighted average cost of capital (WACC), thus tend to encourage the use of fossil fuels. To achieve the same degree of decarbonization, countries with high capital costs therefore need to impose a higher price on carbon emissions than countries with low capital costs. This is particularly relevant for developing and emerging economies, where capital costs tend to be higher than in rich countries. In this paper we quantitatively evaluate how high capital costs impact the transformation of the energy system under climate policy, applying a numerical techno-economic model of the power system. We find that high capital costs can significantly reduce the effectiveness of carbon prices: if carbon emissions are priced at USD 50 per ton and the WACC is 3%, the cost-optimal electricity mix comprises 40% renewable energy. At the same carbon price and a WACC of 15%, the cost-optimal mix comprises almost no renewable energy. At 15% WACC, there is no significant emission mitigation with carbon pricing up to USD 50 per ton, but at 3% WACC and the same carbon price, emissions are reduced by almost half. These results have implications for climate policy; carbon pricing might need to be combined with policies to reduce capital costs of low-carbon options in order to decarbonize power systems.

DOE Office of Scientific and Technical Information (OSTI.GOV)

Siddiqui, Afzal; Marnay, Chris

This paper examines a California-based microgrid s decision to invest in a distributed generation (DG) unit that operates on natural gas. While the long-term natural gas generation cost is stochastic, we initially assume that the microgrid may purchase electricity at a fixed retail rate from its utility. Using the real options approach, we find natural gas generating cost thresholds that trigger DG investment. Furthermore, the consideration of operational flexibility by the microgrid accelerates DG investment, while the option to disconnect entirely from the utility is not attractive. By allowing the electricity price to be stochastic, we next determine an investmentmore » threshold boundary and find that high electricity price volatility relative to that of natural gas generating cost delays investment while simultaneously increasing the value of the investment. We conclude by using this result to find the implicit option value of the DG unit.« less

Non-arbitrage in financial markets: A Bayesian approach for verification

NASA Astrophysics Data System (ADS)

Cerezetti, F. V.; Stern, Julio Michael

2012-10-01

The concept of non-arbitrage plays an essential role in finance theory. Under certain regularity conditions, the Fundamental Theorem of Asset Pricing states that, in non-arbitrage markets, prices of financial instruments are martingale processes. In this theoretical framework, the analysis of the statistical distributions of financial assets can assist in understanding how participants behave in the markets, and may or may not engender arbitrage conditions. Assuming an underlying Variance Gamma statistical model, this study aims to test, using the FBST - Full Bayesian Significance Test, if there is a relevant price difference between essentially the same financial asset traded at two distinct locations. Specifically, we investigate and compare the behavior of call options on the BOVESPA Index traded at (a) the Equities Segment and (b) the Derivatives Segment of BM&FBovespa. Our results seem to point out significant statistical differences. To what extent this evidence is actually the expression of perennial arbitrage opportunities is still an open question.

Mitigation potential and global health impacts from emissions pricing of food commodities

NASA Astrophysics Data System (ADS)

Springmann, Marco; Mason-D'Croz, Daniel; Robinson, Sherman; Wiebe, Keith; Godfray, H. Charles J.; Rayner, Mike; Scarborough, Peter

2017-01-01

The projected rise in food-related greenhouse gas emissions could seriously impede efforts to limit global warming to acceptable levels. Despite that, food production and consumption have long been excluded from climate policies, in part due to concerns about the potential impact on food security. Using a coupled agriculture and health modelling framework, we show that the global climate change mitigation potential of emissions pricing of food commodities could be substantial, and that levying greenhouse gas taxes on food commodities could, if appropriately designed, be a health-promoting climate policy in high-income countries, as well as in most low- and middle-income countries. Sparing food groups known to be beneficial for health from taxation, selectively compensating for income losses associated with tax-related price increases, and using a portion of tax revenues for health promotion are potential policy options that could help avert most of the negative health impacts experienced by vulnerable groups, whilst still promoting changes towards diets which are more environmentally sustainable.

System Advisor Model, SAM 2011.12.2: General Description

DOE Office of Scientific and Technical Information (OSTI.GOV)

Gilman, P.; Dobos, A.

2012-02-01

This document describes the capabilities of the U.S. Department of Energy and National Renewable Energy Laboratory's System Advisor Model (SAM), Version 2011.12.2, released on December 2, 2011. SAM is software that models the cost and performance of renewable energy systems. Project developers, policy makers, equipment manufacturers, and researchers use graphs and tables of SAM results in the process of evaluating financial, technology, and incentive options for renewable energy projects. SAM simulates the performance of solar, wind, geothermal, biomass, and conventional power systems. The financial model can represent financing structures for projects that either buy and sell electricity at retail ratesmore » (residential and commercial) or sell electricity at a price determined in a power purchase agreement (utility). Advanced analysis options facilitate parametric, sensitivity, and statistical analyses, and allow for interfacing SAM with Microsoft Excel or with other computer programs. SAM is available as a free download at http://sam.nrel.gov. Technical support and more information about the software are available on the website.« less

Current Research on Molasses as an Alternative Energy Source for Organic Dairy Herds

USDA-ARS?s Scientific Manuscript database

As organic grain prices have increased and organic milk prices have decreased, dairy farmers are seeking lower-cost supplementation strategies. Sugarcane molasses, a rich source of sucrose, seems to be a viable option as a source of energy. Molasses frequently costs less per pound of dry matter than...

12 CFR 932.5 - Market risk capital requirement.

Code of Federal Regulations, 2013 CFR

2013-01-01

... 932.5 Banks and Banking FEDERAL HOUSING FINANCE BOARD FEDERAL HOME LOAN BANK RISK MANAGEMENT AND..., commodity prices, and equity prices that could occur during periods of market stress, where the market value... options, to a comparable degree of stress for such factors as will be required for an internal market risk...

12 CFR 932.5 - Market risk capital requirement.

Code of Federal Regulations, 2012 CFR

2012-01-01

... 932.5 Banks and Banking FEDERAL HOUSING FINANCE BOARD FEDERAL HOME LOAN BANK RISK MANAGEMENT AND..., commodity prices, and equity prices that could occur during periods of market stress, where the market value... options, to a comparable degree of stress for such factors as will be required for an internal market risk...

12 CFR 932.5 - Market risk capital requirement.

Code of Federal Regulations, 2011 CFR

2011-01-01

... 932.5 Banks and Banking FEDERAL HOUSING FINANCE BOARD FEDERAL HOME LOAN BANK RISK MANAGEMENT AND..., commodity prices, and equity prices that could occur during periods of market stress, where the market value... options, to a comparable degree of stress for such factors as will be required for an internal market risk...

12 CFR 932.5 - Market risk capital requirement.

Code of Federal Regulations, 2014 CFR

2014-01-01

... 932.5 Banks and Banking FEDERAL HOUSING FINANCE BOARD FEDERAL HOME LOAN BANK RISK MANAGEMENT AND..., commodity prices, and equity prices that could occur during periods of market stress, where the market value... options, to a comparable degree of stress for such factors as will be required for an internal market risk...

The Top Six Compatibles: A Closer Look at the Machines That Are Most Compatible with the IBM PC.

ERIC Educational Resources Information Center

McMullen, Barbara E.; And Others

1984-01-01

Reviews six operationally compatible microcomputers that are most able to run IBM software without modifications--Compaq, Columbia, Corona, Hyperion, Eagle PC, and Chameleon. Information given for each includes manufacturer, uses, standard features, base list price, typical system price, and options and accessories. (MBR)

76 FR 4400 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Order Approving a Proposed Rule Change...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-01-25

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-63731; File No. SR-BX-2010-083] Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Order Approving a Proposed Rule Change Relating to the Price Improvement... (``BOX'') to permit an Options Participant initiating a Price Improvement Period (``PIP'') to designate a...

76 FR 49824 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-08-11

... competition and affords the opportunity for price improvement to more options contracts. B. Self-Regulatory... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-65043; File No. SR-Phlx-2011-104] Self... Change Relating to the Extension of a Pilot Program Regarding Price Improvement XL August 5, 2011...

78 FR 66980 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Designation of Longer Period...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-11-07

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-70797; File No. SR-BOX-2013-43] Self-Regulatory... Proposed Rule Change To Permit Complex Orders To Participate in Price Improvement Periods November 1, 2013... to permit Complex Orders to participate in Price Improvement Periods (the ``COPIP'') and to make...

75 FR 5157 - Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing of Amendment No. 1 and Order...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-02-01

.... 1, the Exchange: (1) Clarified the Form 19b-4 discussion regarding establishing strike prices for... rules of an exchange not be designed to permit unfair discrimination among customers, issuers, brokers... and among the options exchanges, resulting in better prices and executions for investors. This...

Study of Agricultural Product Options Pricing

NASA Astrophysics Data System (ADS)

HONG, Qiu

2017-09-01

China is a large agricultural country, and the healthy development of agriculture is related to the stability of the whole society. The agricultural production and management of agricultural products are confronted with many risks, especially the market risks. Option contract is the object of option market transaction, so it is very important to study the option contract of agricultural products. Option trading separates the risk and profit, so that the trader can avoid the risk while retaining the opportunity to obtain income. The option has the characteristics of low transaction cost, simple and efficient, so it is suitable for small and medium investors.

75 FR 69334 - International Product and Price Changes

Federal Register 2010, 2011, 2012, 2013, 2014

2010-11-12

... the following product features and classification changes: Permit Imprint To provide additional payment options for customers we are authorizing permit imprint as a new postage payment option for GXG... (GSS) and pay for postage with a permit imprint through an advance deposit account. The commercial base...

Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (3/3)

DOE Office of Scientific and Technical Information (OSTI.GOV)

Coffey, Brian J., Lynn, Bryan

IR and Long Term FX Derivatives - Stochastic Martingales for IR Curves - Implied Volatility Along the IR Curve - IR Libor Bonds - Vanilla IR Options: Caplets, Floorlets - Long Term FX Options: Interaction of Stochastic FX and Stochastic IR - $-Yen Bermudan Power Reverse Duals

Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (3/3)

ScienceCinema

Coffey, Brian J., Lynn, Bryan

2018-04-26

IR and Long Term FX Derivatives - Stochastic Martingales for IR Curves - Implied Volatility Along the IR Curve - IR Libor Bonds - Vanilla IR Options: Caplets, Floorlets - Long Term FX Options: Interaction of Stochastic FX and Stochastic IR - $-Yen Bermudan Power Reverse Duals

The impact of price reductions on individuals' choice of healthy meals away from home.

PubMed

Nordström, Jonas; Thunström, Linda

2015-06-01

Food high in energy but low in nutritional value is an important contributor to several serious illnesses, and one type of food that is particularly high in energy but low in nutrition is food consumed away from home. In this paper, we examine the demand and willingness to pay for healthy, Keyhole-labelled meals. A Keyhole-labelled meal is particularly low in energy, fat, sugar and salt, but particularly high in fibre. The results suggest that to get the majority of individuals to choose the healthy option regularly it would be necessary to alter the relative price between healthy and less healthy meals. Generally groups of individuals with a poor nutritional intake require a larger compensation (subsidy) before they choose the healthy alternative. About one third of respondents would choose the healthy option regularly if the prices for a healthy and less healthy meal were the same. In particular groups of individuals who already have a relatively good nutritional intake would select the healthy option. Groups with a generally poor nutritional intake (men and individuals with lower education and lower income) would gain health benefits from a subsidy of Keyhole-labelled meals. Copyright © 2015 Elsevier Ltd. All rights reserved.

Bounds for the price of discrete arithmetic Asian options

NASA Astrophysics Data System (ADS)

Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J.

2006-01-01

In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of sums of dependent random variables, as explained in Kaas et al. (Ins. Math. Econom. 27 (2000) 151-168), and additionally, the ideas of Rogers and Shi (J. Appl. Probab. 32 (1995) 1077-1088) and of Nielsen and Sandmann (J. Financial Quant. Anal. 38(2) (2003) 449-473). We are able to create a unifying framework for European-style discrete arithmetic Asian options through these bounds, that generalizes several approaches in the literature as well as improves the existing results. We obtain analytical and easily computable bounds. The aim of the paper is to formulate an advice of the appropriate choice of the bounds given the parameters, investigate the effect of different conditioning variables and compare their efficiency numerically. Several sets of numerical results are included. We also discuss hedging using these bounds. Moreover, our methods are applicable to a wide range of (pricing) problems involving a sum of dependent random variables.

Utility Green-Pricing Programs: What Defines Success? (Topical Issues Brief)

DOE Office of Scientific and Technical Information (OSTI.GOV)

Swezey, B.; Bird, L.

2001-09-13

''Green pricing'' is an optional service through which customers can support a greater level of investment by their electric utility in renewable energy technologies. Electric utilities in 29 states are now implementing green-pricing programs. This report examines important elements of green-pricing programs, including the different types of programs offered, the premiums charged, customer response, and additional factors that experience indicates are key to the development of successful programs. The best-performing programs tend to share a number of common attributes related to product design, value creation, product pricing, and program implementation. The report ends with a list of ''best practices'' formore » utilities to follow when developing and implementing programs.« less

Emissions reduction scenarios in the Argentinean Energy Sector

DOE PAGES

Di Sbroiavacca, Nicolás; Nadal, Gustavo; Lallana, Francisco; ...

2016-04-14

Here in this paper the LEAP, TIAM-ECN, and GCAM models were applied to evaluate the impact of a variety of climate change control policies (including carbon pricing and emission constraints relative to a base year) on primary energy consumption, final energy consumption, electricity sector development, and CO 2 emission savings of the energy sector in Argentina over the 2010-2050 period. The LEAP model results indicate that if Argentina fully implements the most feasible mitigation measures currently under consideration by official bodies and key academic institutions on energy supply and demand, such as the ProBiomass program, a cumulative incremental economic costmore » of 22.8 billion US$(2005) to 2050 is expected, resulting in a 16% reduction in GHG emissions compared to a business-as-usual scenario. These measures also bring economic co-benefits, such as a reduction of energy imports improving the balance of trade. A Low CO 2 price scenario in LEAP results in the replacement of coal by nuclear and wind energy in electricity expansion. A High CO 2 price leverages additional investments in hydropower. An emission cap scenario (2050 emissions 20% lower than 2010 emissions) is feasible by including such measures as CCS and Bio CCS, but at a significant cost. By way of cross-model comparison with the TIAM-ECN and GCAM global integrated assessment models, significant variation in projected emissions reductions in the carbon price scenarios was observed, which illustrates the inherent uncertainties associated with such long-term projections. These models predict approximately 37% and 94% reductions under the High CO 2 price scenario, respectively. By comparison, the LEAP model, using an approach based on the assessment of a limited set of mitigation options, predicts a 11.3% reduction under the ‘high’ carbon tax. The main reasons for this difference are differences in assumptions about technology cost and availability, CO 2 storage capacity, and the ability to import bioenergy. In terms of technology pathways, the models agree that fossil fuels, in particular natural gas, will remain an important part of the electricity mix in the core baseline scenario. Finally, according to the models there is agreement that the introduction of a carbon price will lead to a decline in absolute and relative shares of aggregate fossil fuel generation. However, predictions vary as to the extent to which coal, nuclear and renewable energy play a role.« less

DOE Office of Scientific and Technical Information (OSTI.GOV)

Di Sbroiavacca, Nicolás; Nadal, Gustavo; Lallana, Francisco

Here in this paper the LEAP, TIAM-ECN, and GCAM models were applied to evaluate the impact of a variety of climate change control policies (including carbon pricing and emission constraints relative to a base year) on primary energy consumption, final energy consumption, electricity sector development, and CO 2 emission savings of the energy sector in Argentina over the 2010-2050 period. The LEAP model results indicate that if Argentina fully implements the most feasible mitigation measures currently under consideration by official bodies and key academic institutions on energy supply and demand, such as the ProBiomass program, a cumulative incremental economic costmore » of 22.8 billion US$(2005) to 2050 is expected, resulting in a 16% reduction in GHG emissions compared to a business-as-usual scenario. These measures also bring economic co-benefits, such as a reduction of energy imports improving the balance of trade. A Low CO 2 price scenario in LEAP results in the replacement of coal by nuclear and wind energy in electricity expansion. A High CO 2 price leverages additional investments in hydropower. An emission cap scenario (2050 emissions 20% lower than 2010 emissions) is feasible by including such measures as CCS and Bio CCS, but at a significant cost. By way of cross-model comparison with the TIAM-ECN and GCAM global integrated assessment models, significant variation in projected emissions reductions in the carbon price scenarios was observed, which illustrates the inherent uncertainties associated with such long-term projections. These models predict approximately 37% and 94% reductions under the High CO 2 price scenario, respectively. By comparison, the LEAP model, using an approach based on the assessment of a limited set of mitigation options, predicts a 11.3% reduction under the ‘high’ carbon tax. The main reasons for this difference are differences in assumptions about technology cost and availability, CO 2 storage capacity, and the ability to import bioenergy. In terms of technology pathways, the models agree that fossil fuels, in particular natural gas, will remain an important part of the electricity mix in the core baseline scenario. Finally, according to the models there is agreement that the introduction of a carbon price will lead to a decline in absolute and relative shares of aggregate fossil fuel generation. However, predictions vary as to the extent to which coal, nuclear and renewable energy play a role.« less

The price of being seen to be just: an intention signalling strategy for indirect reciprocity.

PubMed

Tanaka, Hiroki; Ohtsuki, Hisashi; Ohtsubo, Yohsuke

2016-07-27

Cooperation among strangers is a marked characteristic of human sociality. One prominent evolutionary explanation for this form of human cooperation is indirect reciprocity, whereby each individual selectively helps people with a 'good' reputation, but not those with a 'bad' reputation. Some evolutionary analyses have underscored the importance of second-order reputation information (the reputation of a current partner's previous partner) for indirect reciprocity as it allows players to discriminate justified 'good' defectors, who selectively deny giving help to 'bad' partners, from unjustified 'bad' defectors. Nevertheless, it is not clear whether people in fact make use of second-order information in indirect reciprocity settings. As an alternative, we propose the intention signalling strategy, whereby defectors are given the option to abandon a resource as a means of expunging their 'bad' reputation. Our model deviates from traditional modelling approaches in the indirect reciprocity literature in a crucial way-we show that first-order information is sufficient to maintain cooperation if players are given an option to signal their intention. Importantly, our model is robust against invasion by both unconditionally cooperative and uncooperative strategies, a first step towards demonstrating its viability as an evolutionarily stable strategy. Furthermore, in two behavioural experiments, when participants were given the option to abandon a resource so as to mend a tarnished reputation, participants not only spontaneously began to use this option, they also interpreted others' use of this option as a signal of cooperative intent. © 2016 The Author(s).

75 FR 23833 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-05-04

... date and is contingent upon the Commission's approval of The Options Clearing Corporation's (``OCC... objectives. ISE has analyzed its capacity and represents that it and the Options Price Reporting Authority have the necessary systems capacity to handle the additional traffic associated with the listing and...

78 FR 38416 - Self-Regulatory Organizations; Miami International Securities Exchange LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-06-26

..., without limitation, options, equities, futures, derivatives, indexes, exchange traded funds, exchange...., equity and ETF, index, derivatives, futures, foreign currency, and even commodities products... low as $0.05).\\13\\ \\13\\ As an example, per the CME Web site, strike prices for options on futures may...

77 FR 1107 - Self-Regulatory Organizations; Options Clearing Corporation; Notice of Filing of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-01-09

..., (4) exercise price, (5) American or European exercise style, and (6) method of calculating settlement...) expiration date; (5) American or European exercise style; and (6) method of calculating exercise settlement... management for these OTC options present any difficult challenges. Nevertheless, as discussed further below...

Do healthier foods cost more in Saudi Arabia than less healthier options?

PubMed Central

Gosadi, Ibrahim M.; Alshehri, Muner A.; Alawad, Saud H.

2016-01-01

Objectives: To investigate whether healthy foods in Saudi Arabia cost more compared with less healthy options. Method: This is a cross-sectional study conducted in Riyadh, Saudi Arabia during June and July 2015. The study targeted well-known market chains in the city of Riyadh. The selection of food items was purposive to include healthy and less healthy food items in each category. Price, caloric value, salt, fat, sugar, and fiber contents for each food item were collected. To test for the correlation between nutritional contents and average price, Spearman’s correlation coefficients were calculated. The Mann-Whitney U test was used to test for the presence of average price difference between healthy and less healthy food items. Results: A total of 162 food items were collected. Sixty-six food items were classified as healthy compared with 96 less healthier options. The calculated correlation coefficients indicate an association between increased cost of food with increased caloric values (0.649 p=0.0000001), increased fat content (0.610 p=0.0000003), and increased salt contents (0.273 p=0.001). Prices of food items with higher fiber contents showed a weaker association (0.191 p=0.015). The overall average cost of healthy food was approximately 10 Saudi riyals cheaper than less healthy food (p=0.000001). Conclusion: The findings of the study suggest that the cost of healthy food is lower than that of less healthy items in the Saudi market. PMID:27570859

Innovations in Defense Acquisition: Asymmetric Information and Incentive Contract Design

DTIC Science & Technology

2009-12-15

selection. As the fixed price increases, consumers who eat the least will be the most likely to stop patronizing the restaurant . Therefore, increasing...mechanism (MBA Professional Report). Monterey, CA: Naval Postgraduate School. Riordan, M.H., & Sappington, D.E.M. (1987). Awarding monopoly franchises ...options from which a contractor can choose. The options provided by the TRIM read like a restaurant menu. Each option on the menu has three

78 FR 8644 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-02-06

... when the Exchange deems it necessary to maintain an orderly market, to meet customer demand, or when... customer demand, or when certain price movements take place in the underlying market. The Exchange proposes..., to meet customer demand, or when certain price movements take place in the underlying market. The...

76 FR 73582 - Agency Information Collection Activities: Proposed Collection; Comment Request-Community...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-29

... percentage of meals reimbursed at the free rate (currently 1.6 times the ISP) and the threshold value of the... household applications for Free or Reduced Price meals. Under the CE Option, families are not required to submit applications for free or reduced-price meals, and schools are required to provide free meals to...

As Food Prices Rise, Setting Menus Is Cause of Heartburn for Schools

ERIC Educational Resources Information Center

Samuels, Christina A.

2008-01-01

With food and fuel prices increasing sharply, food and nutrition directors in school districts around the country are finding themselves facing some uncomfortable choices. In some districts, school lunch menus are being pared down to fewer selections, instead of the array of healthy options districts would like to offer. In other areas, canned and…

Intermediate Term Forecasting Techniques for Management.

DTIC Science & Technology

1984-06-01

of Market Efficiency", Chiras and ranaster (1978) used actual option prices to calculate implied variances of future stock returns. They found a...of F*nance, v. 2 5 , p p . 6 5 -8 1 , M a r c h 1 9 1 0 .- .... . . . 23. Chiras D. P. and Nanaster, S., "The Infcrmation Content of Otion Prices and

26 CFR 1.446-3 - Notional principal contracts.

Code of Federal Regulations, 2010 CFR

2010-04-01

... for a cap or floor agreement (even if it is paid in installments), the payment for an off-market swap... was priced according to a reasonable variation of the Black-Scholes option pricing formula and that... paid by F to E is a nonperiodic payment as defined in paragraph (f)(1) of this section. (c) The Black...

26 CFR 1.446-3 - Notional principal contracts.

Code of Federal Regulations, 2013 CFR

2013-04-01

... for a cap or floor agreement (even if it is paid in installments), the payment for an off-market swap... was priced according to a reasonable variation of the Black-Scholes option pricing formula and that... paid by F to E is a nonperiodic payment as defined in paragraph (f)(1) of this section. (c) The Black...

26 CFR 1.446-3 - Notional principal contracts.

Code of Federal Regulations, 2011 CFR

2011-04-01

... for a cap or floor agreement (even if it is paid in installments), the payment for an off-market swap... was priced according to a reasonable variation of the Black-Scholes option pricing formula and that... paid by F to E is a nonperiodic payment as defined in paragraph (f)(1) of this section. (c) The Black...

26 CFR 1.446-3 - Notional principal contracts.

Code of Federal Regulations, 2012 CFR

2012-04-01

... for a cap or floor agreement (even if it is paid in installments), the payment for an off-market swap... was priced according to a reasonable variation of the Black-Scholes option pricing formula and that... paid by F to E is a nonperiodic payment as defined in paragraph (f)(1) of this section. (c) The Black...

26 CFR 1.446-3 - Notional principal contracts.

Code of Federal Regulations, 2014 CFR

2014-04-01

... for a cap or floor agreement (even if it is paid in installments), the payment for an off-market swap... was priced according to a reasonable variation of the Black-Scholes option pricing formula and that... paid by F to E is a nonperiodic payment as defined in paragraph (f)(1) of this section. (c) The Black...

75 FR 21688 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Granting Accelerated Approval...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-04-26

...-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Granting Accelerated Approval of Proposed Rule... 20, 2010. I. Introduction On March 11, 2010, The NASDAQ Stock Market LLC (``Nasdaq'' or ``Exchange.... Strike prices for ETF options are permitted in $1 or greater intervals where the strike price is $200 or...

78 FR 17452 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-21

... compliance with the Plan by preventing trades from occurring outside the price bands during a limit state... requirements that prevent trades in individual NMS Stocks from occurring outside of specified price bands, as... trades or monetary gaps of liquidity). \\3\\ See Securities Exchange Act Release No. 64547 (May 25, 2011...

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

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-20

... PIP Order which may result in greater opportunity for price improvement for customers. B. Self... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-69135; File No. SR-BOX-2013-11] Self-Regulatory... Amend the BOX Price Improvement Period (``PIP'') Rule 7150 March 14, 2013. Pursuant to Section 19(b)(1...

76 FR 19169 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-04-06

... Effectiveness of Proposed Rule Change To Expand the $2.50 Strike Price Program March 31, 2011. Pursuant to... Exchange filed the proposal as a ``non- controversial'' proposed rule change pursuant to Section 19(b)(3)(A... to expand the Exchange's $2.50 Strike Price Program (the ``Program'') to permit the listing of...

76 FR 72470 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-23

... Simplify the $1 Strike Price Interval Program November 17, 2011. Pursuant to Section 19(b)(1) of the... by the Exchange. The Exchange has designated the proposed rule change as constituting a non...) of the Rules of the Boston Options Exchange Group, LLC (``BOX'') to simplify the $1 Strike Price...

78 FR 21993 - Self-Regulatory Organizations; BOX Options Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-04-12

... greater than $0.01 (i.e., all non-Penny Pilot Classes, and Penny Pilot Classes where the trade price is... intense competition on price (and other dimensions of competition) to attract order flow from order flow... II (Liquidity Fees and Credits) that when a non-immediately marketable order executes against a PIP...

78 FR 5525 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-01-25

... with another complex order on the Exchange. \\3\\ See ISE Rule 722(a)(1). Rule 720 provides a framework... deemed to have occurred when the execution price of a transaction is higher or lower than the theoretical... criteria when determining the theoretical price of an options execution, which is enumerated in ISE Rule...

Multirole cargo aircraft options and configurations. [economic analysis

NASA Technical Reports Server (NTRS)

Conner, D. W.; Vaughan, J. C., III

1979-01-01

A future requirements and advanced market evaluation study indicates derivatives of current wide-body aircraft, using 1980 advanced technology, would be economically attractive through 2008, but new dedicated airfreighters incorporating 1990 technology, would offer little or no economic incentive. They would be economically attractive for all payload sizes, however, if RD and T costs could be shared in a joint civil/military arrangement. For the 1994-2008 cargo market, option studies indicate Mach 0.7 propfans would be economically attractive in trip cost, aircraft price and airline ROI. Spanloaders would have an even lower price and higher ROI but would have a relatively high trip cost because of aerodynamic inefficiencies. Dedicated airfreighters using propfans at Mach 0.8 cruise, laminar flow control, or cryofuels, would not provide any great economic benefits. Air cushion landing gear configurations are identified as an option for avoiding runway constraints on airport requirements and/or operational constraints are noted.

DOE Office of Scientific and Technical Information (OSTI.GOV)

Marnay, Chris; Siddiqui, Afzal; Marnay, Chris

This paper examines a California-based microgrid?s decision to invest in a distributed generation (DG) unit fuelled by natural gas. While the long-term natural gas generation cost is stochastic, we initially assume that the microgrid may purchase electricity at a fixed retail rate from its utility. Using the real options approach, we find a natural gas generation cost threshold that triggers DG investment. Furthermore, the consideration of operational flexibility by the microgrid increases DG investment, while the option to disconnect from the utility is not attractive. By allowing the electricity price to be stochastic, we next determine an investment threshold boundarymore » and find that high electricity price volatility relative to that of natural gas generation cost delays investment while simultaneously increasing the value of the investment. We conclude by using this result to find the implicit option value of the DG unit when two sources of uncertainty exist.« less

Enhancing the comparability of costing methods: cross-country variability in the prices of non-traded inputs to health programmes

PubMed Central

Johns, Benjamin; Adam, Taghreed; Evans, David B

2006-01-01

Background National and international policy makers have been increasing their focus on developing strategies to enable poor countries achieve the millennium development goals. This requires information on the costs of different types of health interventions and the resources needed to scale them up, either singly or in combinations. Cost data also guides decisions about the most appropriate mix of interventions in different settings, in view of the increasing, but still limited, resources available to improve health. Many cost and cost-effectiveness studies include only the costs incurred at the point of delivery to beneficiaries, omitting those incurred at other levels of the system such as administration, media, training and overall management. The few studies that have measured them directly suggest that they can sometimes account for a substantial proportion of total costs, so that their omission can result in biased estimates of the resources needed to run a programme or the relative cost-effectiveness of different choices. However, prices of different inputs used in the production of health interventions can vary substantially within a country. Basing cost estimates on a single price observation runs the risk that the results are based on an outlier observation rather than the typical costs of the input. Methods We first explore the determinants of the observed variation in the prices of selected "non-traded" intermediate inputs to health programmes – printed matter and media advertising, and water and electricity – accounting for variation within and across countries. We then use the estimated relationship to impute average prices for countries where limited data are available with uncertainty intervals. Results Prices vary across countries with GDP per capita and a number of determinants of supply and demand. Media and printing were inelastic with respect to GDP per capita, with a positive correlation, while the utilities had a surprisingly negative relationship. All equations had relatively good fits with the data. Conclusion While the preferred option is to derive costs from a random sample of prices in each setting, this option is often not available to analysts. In this case, we suggest that the approach described in this paper could represent a better option than basing policy recommendations on results that are built on the basis of a single, or a few, price observations. PMID:16630364

Enhancing the comparability of costing methods: cross-country variability in the prices of non-traded inputs to health programmes.

PubMed

Johns, Benjamin; Adam, Taghreed; Evans, David B

2006-04-24

National and international policy makers have been increasing their focus on developing strategies to enable poor countries achieve the millennium development goals. This requires information on the costs of different types of health interventions and the resources needed to scale them up, either singly or in combinations. Cost data also guides decisions about the most appropriate mix of interventions in different settings, in view of the increasing, but still limited, resources available to improve health. Many cost and cost-effectiveness studies include only the costs incurred at the point of delivery to beneficiaries, omitting those incurred at other levels of the system such as administration, media, training and overall management. The few studies that have measured them directly suggest that they can sometimes account for a substantial proportion of total costs, so that their omission can result in biased estimates of the resources needed to run a programme or the relative cost-effectiveness of different choices. However, prices of different inputs used in the production of health interventions can vary substantially within a country. Basing cost estimates on a single price observation runs the risk that the results are based on an outlier observation rather than the typical costs of the input. We first explore the determinants of the observed variation in the prices of selected "non-traded" intermediate inputs to health programmes--printed matter and media advertising, and water and electricity--accounting for variation within and across countries. We then use the estimated relationship to impute average prices for countries where limited data are available with uncertainty intervals. Prices vary across countries with GDP per capita and a number of determinants of supply and demand. Media and printing were inelastic with respect to GDP per capita, with a positive correlation, while the utilities had a surprisingly negative relationship. All equations had relatively good fits with the data. While the preferred option is to derive costs from a random sample of prices in each setting, this option is often not available to analysts. In this case, we suggest that the approach described in this paper could represent a better option than basing policy recommendations on results that are built on the basis of a single, or a few, price observations.

Using land to mitigate climate change: hitting the target, recognizing the trade-offs.

PubMed

Reilly, John; Melillo, Jerry; Cai, Yongxia; Kicklighter, David; Gurgel, Angelo; Paltsev, Sergey; Cronin, Timothy; Sokolov, Andrei; Schlosser, Adam

2012-06-05

Land can be used in several ways to mitigate climate change, but especially under changing environmental conditions there may be implications for food prices. Using an integrated global system model, we explore the roles that these land-use options can play in a global mitigation strategy to stabilize Earth's average temperature within 2 °C of the preindustrial level and their impacts on agriculture. We show that an ambitious global Energy-Only climate policy that includes biofuels would likely not achieve the 2 °C target. A thought-experiment where the world ideally prices land carbon fluxes combined with biofuels (Energy+Land policy) gets the world much closer. Land could become a large net carbon sink of about 178 Pg C over the 21st century with price incentives in the Energy+Land scenario. With land carbon pricing but without biofuels (a No-Biofuel scenario) the carbon sink is nearly identical to the case with biofuels, but emissions from energy are somewhat higher, thereby results in more warming. Absent such incentives, land is either a much smaller net carbon sink (+37 Pg C - Energy-Only policy) or a net source (-21 Pg C - No-Policy). The significant trade-off with this integrated land-use approach is that prices for agricultural products rise substantially because of mitigation costs borne by the sector and higher land prices. Share of income spent on food for wealthier regions continues to fall, but for the poorest regions, higher food prices lead to a rising share of income spent on food.

Sensitivity analysis of the add-on price estimate for the silicon web growth process

NASA Technical Reports Server (NTRS)

Mokashi, A. R.

1981-01-01

The web growth process, a silicon-sheet technology option, developed for the flat plate solar array (FSA) project, was examined. Base case data for the technical and cost parameters for the technical and commercial readiness phase of the FSA project are projected. The process add on price, using the base case data for cost parameters such as equipment, space, direct labor, materials and utilities, and the production parameters such as growth rate and run length, using a computer program developed specifically to do the sensitivity analysis with improved price estimation are analyzed. Silicon price, sheet thickness and cell efficiency are also discussed.

75 FR 3765 - Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-01-22

... Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment To Revise the Plan... (``Commission'') an amendment to the Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information (``OPRA Plan'').\\3\\ The proposed amendment would revise the OPRA Plan for the sole purpose of...

78 FR 63265 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-10-23

..., Incorporated (the ``Exchange'' or ``CBOE'') proposes to: (i) Make available historical Customized Option Pricing Service (``COPS'') data and (ii) revise the description of COPS. The text of the proposed rule.... The text of these statements may be examined at the places specified in Item IV below. The Exchange...

76 FR 72989 - Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-28

... Options Last Sale Reports and Quotation Information (``OPRA Plan'').\\3\\ The proposed amendment would... OPRA Plan provides for the collection and dissemination of last sale and quotation information on... determine the fees that are payable to OPRA by Vendors' and Professional Subscribers. The second and third...

75 FR 69477 - Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-11-12

...-Based Professional Subscriber Fees Charged by OPRA for its Basic Service November 8, 2010. Pursuant to... Options Last Sale Reports and Quotation Information (``OPRA Plan'').\\3\\ The proposed amendment would revise the device-based professional subscriber fees charged by OPRA in respect of its Basic Service. A...

75 FR 57539 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Approving...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-09-21

..., will also contain information and analysis of EOW and EOM trading patterns, and index price volatility... similar to regular index options, except the exercise settlement value will be based on the index value...\\ In light of historic Commission concerns about expanding p.m. settlement, CBOE has represented that...

78 FR 6391 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-01-30

... shares other than 100.\\8\\ Moreover, the concept of listing and trading parallel options products of... system capacity, the Exchange has analyzed its capacity and represents that it and the Options Price Reporting Authority (``OPRA'') have the necessary systems capacity to handle the potential additional...

77 FR 76578 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-12-28

... volatility level. Occasionally, certain market activity occurs that makes it difficult to effect these types... options and a combination strategy outside of the currently prevailing market quotes in the individual... settlement price.\\10\\ In essence, CME has a market for complex, multi-part order strategies that is entirely...

78 FR 16320 - Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing of Proposed...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-14

... Defined,'' 6.11, ``Openings (and sometimes Closings),'' Rule 6.13, ``Complex Order Execution,'' Rule 6.15... outside of specified price bands, as defined in Section I(N) of the Plan. These requirements would be coupled with trading pauses, as defined in Section I(Y) of the Plan, to accommodate more fundamental price...

77 FR 74247 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing And Immediate Effectiveness of...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-12-13

... outcry specifically provides the following: (1) If an OTP Holder or OTP Firm purchases (sells) one or... priority in purchasing (selling) up to the equivalent number of option contracts of the same series that the OTP Holder or OTP Firm purchased (sold) at the higher (lower) price or prices, provided that the...

77 FR 58431 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-09-20

... that will allow CBSX Traders to send silent orders, silent-mid orders, silent-post-mid orders, and... Taker fees for transactions in securities priced $1 or greater relating to these new order types. For transactions in securities priced less than $1, these new order types will be subject to the same Maker and...

76 FR 51099 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Granting...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-08-17

.... For each contract month, CBOE will determine the at-the-money strike price. The Exchange will then select the at-the-money and out- of-the money series with non-zero bid prices and determine the midpoint... that the further away that series is from the at-the-money strike, the less weight that is accorded to...