Search results for " pricing"

European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis

2015

In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the option price is obtained. While the dominant term in the expansion it is shown to be the classical Black and Scholes solution, the correction terms appear at $O(\varepsilon^{1/2})$ and $O(\varepsilon)$. The optimal hedging strategy is then explicitly obtained for the Scott's model.

The value of time and transport policies in a parallel road network

2007

Abstract One of the key questions in the evaluation of transport policies and investment decisions is the valuation of the time savings or losses arising from such decisions. This paper uses the stated preference method to determine the value of time in a given traffic context characterised by a road parallel network. The values obtained are higher than usual in Spanish project evaluation which, among other things, points out the need for specific studies of all transport projects whenever possible. Finally, two cases are described which illustrate the relevance of the value of time. The first evaluates time savings related to the pricing policies of a motorway competing with a trunk road. …

Viability of new road infrastructure with heterogeneous users

2011

This paper explores the importance of heterogeneity in value of time and route choice when assessing the viability of new road infrastructure to alleviate congestion problems. The model incorporates strategic interaction between road operators in a cost-benefit framework and several competitive regimes are considered. It is then employed to establish the financial and socio-economic viability of a congestion pricing demonstration entering Madrid city centre, where road users have to choose between a free but highly congested road and a priced free-flowing road (semi-private regime). A logit estimation is undertaken with information from a questionnaire among road users in the Eastern Madrid…

A First Look at Stock Markets

2012

THE CARMA INTEREST RATE MODEL

2014

In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.

Italian red wine in the Japanese market: a hedonic price analysis

2017

This study applies the hedonic pricing model to examine important objective attributes appearing on the label of Italian wines influencing average customer wine prices in Japan. Data on 829 red Italian wines sold in the Japanese market were collected through the wine searcher dataset, and the information included on the wine labels, useful for assisting in the selection and appreciation of wines, has been included. A log-linear model was esteemed and the proposed hedonic equation accounted for 43.5% of the variation in wine prices. The results indicate that international grape varieties, alcohol content and the year of production explain most of the price difference. On the other hand, the …

Channel Occupancy-Based Dynamic Spectrum Leasing in Multichannel CRNs: Strategies and Performance Evaluation

2016

Spectrum leasing has been proposed as an effective approach for enabling more flexible spectrum utilization in CRNs. In CRNs, a primary network (PN) which consists of multiple primary users (PUs) can lease part of the licensed spectrum to secondary users (SUs) in exchange for operational benefits. The focus of this study is to investigate how and to what extent the PN allows spectrum leasing in CRNs, considering the QoS requirements of the PN and the secondary network (SN). Correspondingly, we propose two dynamic spectrum leasing strategies, which can improve the QoS performance of SUs while ensuring sufficient remuneration for PUs. In order to dynamically adjust the portion of leased bandw…

A simple operation strategy of battery storage systems under dynamic electricity pricing: An Italian case study for a medium-scale public facility

2014

In the electricity market, wholesale energy prices depend on the balance between energy production and load demand. In the last few years, electricity market has become more and more flexible as many utilities have started to replace the fixed retail prices schemes with prices changing during the day. Dynamic pricing, also known as Real-Time Pricing (RTP), reflects the trend of the wholesale market and allows to reduce the volatility of the wholesale prices, also contributing to a reduction of demand peaks. Electricity customers take advantage of dynamic pricing by shifting their consumption according to the real-time prices or by using Battery Energy Storage Systems (BESS) to shift electri…

Cloud Services Pricing Models

2013

A major condition for commercial success is a well-defined pricing strategy, however, cloud service providers face many challenges around pricing. Clearness and transparency in pricing is beneficial for all the actors in the ecosystem, where the currently existing abundance of different pricing models makes decision making difficult for service providers, partners, customers and competitors. In this paper, the SBIFT pricing model is evaluated and updated to cloud context. As a result, a 7-dimensional cloud pricing framework is proposed that helps clarifying the possible pricing models in order to let companies differentiate themselves from competitors by price. The framework can be used als…

Financial aspects of business models : reducing costs and increasing revenues in a cloud context

2018

The emergence of cloud computing induces opportunities for software vendors and for organizations with great storage needs. Indeed, software companies have begun to adopt cloud technologies and offer their software as a service to customers instead of selling software products. As a result, their revenue models have changed, and the diversity and complexity of the resulting pricing models have created both opportunities and impediments to competition in the market. On the other hand, due to the exponentially growing volume of digital content, organizations have an increasing demand for storage and need to choose between private, public, and hybrid storage solutions. This decision requires c…