• No results found

Stochastic Dynamic Pricing Game Model

A Three Stage Stochastic Dynamic Pricing Game Model Affected by New Products into the Market

A Three Stage Stochastic Dynamic Pricing Game Model Affected by New Products into the Market

... 2 If 17 is formed, the merchant will adopt cutting price for promotion strategy in period 1 and will adopt the strategy of maximizing the current period’s profit in the final two periods[r] ...

7

Three Important Applications of Mathematics in Financial Mathematics

Three Important Applications of Mathematics in Financial Mathematics

... differential game method to study option pricing problem and invest- ment decision problem is an important direction of the development of modern financial theory, and some achievements have been ...random ...

6

Valuation of Game Option Bonds under the Generalized Ho Lee Model: A Stochastic Game Approach

Valuation of Game Option Bonds under the Generalized Ho Lee Model: A Stochastic Game Approach

... of stochastic games was originated by the seminal paper of Shapley ...in stochastic games play a series of stage games that depends on a ...Ho-Lee model which is a dis- crete-time term structure ...

11

Capital Asset Pricing Model and Stochastic Volatility: A Case study of India

Capital Asset Pricing Model and Stochastic Volatility: A Case study of India

... The performance of Bansal and Yaron (2004) model improves significantly when using EGARCH and PGARCH volatilities. As shown in Table. 2, The market volatility coefficent is significant in all five portfolios. For ...

19

A dynamic stochastic model of lifetime smoking behavior

A dynamic stochastic model of lifetime smoking behavior

... their model, agents are concerned with expected longevity. Agents in the model understand that smoking accumulates in a capital stock that decreases expected longevity at a fixed ...their model is to ...

94

Pricing Portfolio Credit Derivatives with Stochastic Recovery and Systematic Factor

Pricing Portfolio Credit Derivatives with Stochastic Recovery and Systematic Factor

... copula model, a default time for each asset is expressed using copula functions, and loss distributions are calculated directly using numerical exper- ...copula model is important. [20] introduce a ...

9

A novel pricing model to new financial products based on the game theory

A novel pricing model to new financial products based on the game theory

... are stochastic and the number of No Show customers is related with the number of customers booking tickets, it is hard to get the revenue expectation through the above ...

6

A SCHEMATIC STUDY OF ONLINE PRODUCT SYSTEM USING AUCTION MECHANISM

A SCHEMATIC STUDY OF ONLINE PRODUCT SYSTEM USING AUCTION MECHANISM

... I use Status and Gender as control variables. handles the general preferences toward different pricing systems. I let subjects rate the six pricing systems product by product. Meanwhile, they need to ...

7

Robust Capacity Control in Revenue Management: A Literature Review

Robust Capacity Control in Revenue Management: A Literature Review

... First, there is still a gap between classical revenue management theory and robust revenue management. For example, there is few literature on robust auc- tion mechanism design. Comparing to dynamic pricing ...

10

Revenue Management in Multi-Firm, Multi-Product Price Competition

Revenue Management in Multi-Firm, Multi-Product Price Competition

... the game with 2 cars of each type available for ...the game; at the end of the 10th period the game ...period model is chosen as it allows some chance that a firm will sell out of cars before ...

176

Option pricing under the double stochastic volatility with double jump model

Option pricing under the double stochastic volatility with double jump model

... the pricing of power options when the dynamics of the risky underling asset follows the double stochastic volatility with double jump ...considered model by fast Fourier transform method, Monte Carlo ...

8

Consumer options and forward pricing : theory and empirical analyses in ticket markets

Consumer options and forward pricing : theory and empirical analyses in ticket markets

... of model II with that of model I it can be seen that selling early is non-significant in the game-based fan model (model II) whereas it is significant and helps in the team-based fan ...

128

Dynamic game model of endogenous growth with consumption externalities

Dynamic game model of endogenous growth with consumption externalities

... Abstract. This paper introduces consumption externalities into an endogenous growth model of common capital accumulation and char- acterizes balanced growth equilibria. Contrary to the standard argu- ment in ...

20

Ordinary Least Squares Estimation of a Dynamic Game Model

Ordinary Least Squares Estimation of a Dynamic Game Model

... We have shown there can be some non-trivial computational gains in de…ning estimators that opti- mize objective functions constructed in terms of expected payo¤s instead of choice probabilities for the estimation of ...

33

Cloud Market Maker: An automated dynamic pricing marketplace for cloud users

Cloud Market Maker: An automated dynamic pricing marketplace for cloud users

... In recent years growing companies have needed to invest heavily in their IT infrastructures. This makes it difficult for new startups to become established and for small companies to develop and achieve their business ...

50

Option Pricing with Stochastic Volatility

Option Pricing with Stochastic Volatility

... Conclusion The study permits to obtain closed form solution for option pricing with stochastic volatility by assuming normal distribution obtained by the properties of the bivariate stan[r] ...

9

PRICING OPTION UNDER STOCHASTIC VOLATILITY DOUBLE JUMP MODEL (SVJJ)

PRICING OPTION UNDER STOCHASTIC VOLATILITY DOUBLE JUMP MODEL (SVJJ)

... Through the definition of contingent claim value, we cannot express the call value in term of closed formula since the probability density function of the underlying asset under SVJJ model is not available. ...

16

Monte Carlo Pricing Scheme for a Stochastic-Local Volatility Model

Monte Carlo Pricing Scheme for a Stochastic-Local Volatility Model

... SLV model is presented in Section II, where we outline the calibration procedure in addition to the two different pricing methods ...and pricing procedures can be found in ...Carlo pricing ...

6

Comparative Studies on Cooperative Stochastic Differential Game and Dynamic Sequential Game of Economic Maturity

Comparative Studies on Cooperative Stochastic Differential Game and Dynamic Sequential Game of Economic Maturity

... our model provides us with a useful framework in which we can explicitly explore in which way and to what extent political institutions affect economic performance in a specific growth ...

44

Stochastic Volatility Jump Diffusion Model for Option Pricing

Stochastic Volatility Jump Diffusion Model for Option Pricing

... the model descriptions for the option ...between stochastic dif- ferential equations and partial differential equations for the jump-diffusion process with jump stochastic volatil- ity is presented ...

8

Show all 10000 documents...

Related subjects