Search results for " pricing"
showing 10 items of 146 documents
Is the French mobile phone cartel really a cartel?
2009
International audience; France Telecom (FT), SFR and Bouygues Telecom (BT) have been fined by France's Conseil de la Concurrence (CC) for organizing a mobile phone cartel with stable market shares (one-half, one-third and one-sixth, respectively) and for directly exchanging commercial information. While not contesting the legal decision, it is argued here that the economic reasoning is flawed. (1) As the CC made much of the firms' stable market shares, we have first followed this line of reasoning by considering that the market shares are quotas under uniform costs. Even if there is a general incentive to form a monopolistic cartel, BT was too small for it to be worth its while to join it; it i…
Productivity analysis of Latvian companies using ORBIS database
2021
International audience; This research study uses ORBIS microdata at the company level to analyse productivity of 167 thousand economically active Latvian companies over 2011-2018. The aim of the study is twofold-to find factors consistently associated with productivity at the company level; and to recommend possible criteria for companies to receive a state support (from the view of enhancing aggregate productivity in the long term). Our research results show that productivity of Latvian companies is positively related to their size, age, as well as location closer to Riga and other big cities. However, there is a substantial within-group variation in productivity between companies. Multiva…
Wine - investment: a profitable alternative investment or a simple long term pleasure?
2014
International audience; The purpose of this work is twofold: - to make a first historic analysis of performance through an investment in wine by comparing its performance with those that would have been possible to obtain at the same time by providing financial term investments; - to introduce the regional diversity of performance by considering the situation in the three selected geographic areas.
Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders
2006
In this paper we study the dynamics of price adjustments in an artificial market where portfolio traders with bounded rationality and limited resources interact through a continuous, electronic open book. The present work extends the model developed in [? ] introducing endogenous target individual portfolio holdings. We model the agents’ order-flow investment decision as an optimal choice given individual characteristics and the available information. We depart from the standard asset pricing framework in two ways. First, we assume that investors have imperfect information about the returns distribution. In particular, we assume that agents hold arbitrary priors about securities’ returns, w…
On the evolution of monopoly pricing in Internet-assisted search markets
2014
This study examines the evolution of prices in markets with Internet price-comparison search engines. The empirical study analyzes laboratory data of prices available to informed consumers, for two industry sizes and two conditions on the sample (complete and incomplete). Distributions are typically bimodal. One of the two modes of distribution, corresponding to monopoly pricing, tends to attract such pricing strategies increasingly over time. The second one, corresponding to interior pricing, follows a decreasing trend. Monopoly pricing can serve as a means of insurance against more competitive (but riskier) behavior. In fact, experimental subjects who initially earn low profits due to int…
Latvian pharmaceutical market: a review of marketing components and development trends
2021
In-depth market assessment is crucial prior making investments into product development and decisions on marketing strategy, especially in markets with small volume and low value like Latvian pharmaceutical market. Transparent market data and constant market reviews are expected to retain already existing pharmaceutical suppliers and attract new ones; although annual reports of general market figures are available publicly, reviews of pharmaceutical market marketing figures and activities are not being published. By assessing and studying Latvian pharmaceutical market and its marketing components the possible risks and development trends can be outlined and further addressed by pharmaceutic…
Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming
2008
AbstractThis paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.
An Iterative Method for Pricing American Options Under Jump-Diffusion Models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou's and Merton's jump-diffusion models show that the resulting iteration converges rapidly.
A Conditional Value–at–Risk Model for Insurance Products with Guarantee
2009
We propose a model to select the optimal portfolio which underlies insurance policies with a guarantee. The objective function is defined in order to minimise the conditional value at-risk (CVaR) of the distribution of the losses with respect to a target return. We add operational and regulatory constraints to make the model as flexible as possible when used for real applications. We show that the integration of the asset and liability side yields superior performances with respect to naive fixed-mix portfolios and asset based strategies. We validate the model on out-of-sample scenarios and provide insights on policy design.
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
2014
Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing of options under such models, namely the Bates model and the so-called stochastic volatility with contemporaneous jumps (SVCJ) model. The nonlocality of the jump terms in these models leads to matrices with full matrix blocks. Standard discretization methods are not viable directly since they would require the inversion of such a matrix. Instead, we adopt a two-step implicit-explicit (IMEX) time discretization scheme, the IMEX-CNAB scheme, where the jump term is treated ex…