Relevant bibliographies by topics / Pricing – Computer simulation

Academic literature on the topic 'Pricing – Computer simulation'

Author: Grafiati

Published: 4 June 2021

Last updated: 7 February 2022

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Journal articles on the topic "Pricing – Computer simulation"

Chung, Doo-Shik, Hyeon Jo, and Soung-Hie Kim. "Dynamic Pricing for User Created Contents : Computer Modeling and Simulation." Journal of the Korea Contents Association 12, no. 6 (June 28, 2012): 56–67. http://dx.doi.org/10.5392/jkca.2012.12.06.056.

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Aly Dia, El Hadj. "Simulation of Lévy processes and option pricing." Journal of Computational Finance 17, no. 2 (December 2013): 41–69. http://dx.doi.org/10.21314/jcf.2013.260.

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Stamatopoulos, Nikitas, Daniel J. Egger, Yue Sun, Christa Zoufal, Raban Iten, Ning Shen, and Stefan Woerner. "Option Pricing using Quantum Computers." Quantum 4 (July 6, 2020): 291. http://dx.doi.org/10.22331/q-2020-07-06-291.

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We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods. The options that we cover include vanilla options, multi-asset options and path-dependent options such as barrier options. We put an emphasis on the implementation of the quantum circuits required to build the input states and operators needed by amplitude estimation to price the different option types. Additionally, we show simulation results to highlight how the circuits that we implement price the different option contracts. Finally, we examine the performance of option pricing circuits on quantum hardware using the IBM Q Tokyo quantum device. We employ a simple, yet effective, error mitigation scheme that allows us to significantly reduce the errors arising from noisy two-qubit gates.

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GUPTA, APARNA, SHIVKUMAR KALYANARAMAN, and LINGYI ZHANG. "A SPOT PRICING FRAMEWORK FOR PRICING INTRA-DOMAIN ASSURED BANDWIDTH SERVICES." International Journal of Information Technology & Decision Making 04, no. 01 (March 2005): 35–58. http://dx.doi.org/10.1142/s021962200500143x.

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The Internet today offers primarily a best-effort service. Research and technology development efforts are currently underway to allow the provisioning of better than best-effort quality of service assurances. In this article, we develop a spot pricing framework for expected bandwidth guaranteed Internet service contracts on a single domain. A nonlinear pricing model that maximizes the total surplus with cost constraints forms the basis for the framework. The spot price process is obtained for different demand profiles of the customer-base and demand arrival characteristics. Simulation modeling and analysis is employed to implement the pricing framework and analyze the price process under different market conditions and changes due to network failures. The framework when implemented at access or exchange points of different service provider domains will provide assured bandwidth for inter-domain traffic.

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James, Lancelot, Dohyun Kim, and Zhiyuan Zhang. "Exact simulation pricing with Gamma processes and their extensions." Journal of Computational Finance 17, no. 2 (December 2013): 3–39. http://dx.doi.org/10.21314/jcf.2013.259.

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Han, Gyu-Sik, Bo-Hyun Kim, and Jaewook Lee. "Kernel-based Monte Carlo simulation for American option pricing." Expert Systems with Applications 36, no. 3 (April 2009): 4431–36. http://dx.doi.org/10.1016/j.eswa.2008.05.004.

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Jang, Hanbyeol, Sangkwon Kim, Junhee Han, Seongjin Lee, Jungyup Ban, Hyunsoo Han, Chaeyoung Lee, Darae Jeong, and Junseok Kim. "Fast Monte Carlo Simulation for Pricing Equity-Linked Securities." Computational Economics 56, no. 4 (November 11, 2019): 865–82. http://dx.doi.org/10.1007/s10614-019-09947-2.

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Boyle, Phelim P., Adam W. Kolkiewicz, and Ken Seng Tan. "An improved simulation method for pricing high-dimensional American derivatives." Mathematics and Computers in Simulation 62, no. 3-6 (March 2003): 315–22. http://dx.doi.org/10.1016/s0378-4754(02)00248-3.

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Panini, R., and R. P. Srivastav. "Option pricing with Mellin transnforms." Mathematical and Computer Modelling 40, no. 1-2 (July 2004): 43–56. http://dx.doi.org/10.1016/j.mcm.2004.07.008.

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EBRAHIM, MUHAMMED-SHAHID. "PRICING ASSET BACKED ISLAMIC FINANCIAL INSTRUMENTS." International Journal of Theoretical and Applied Finance 03, no. 01 (January 2000): 59–83. http://dx.doi.org/10.1142/s0219024900000048.

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The social impact of bankruptcies and loan defaults result in structural impairment of the economy. This paper presents a judicious methodology for pricing durable asset backed financing facilities while reducing their risk of default. Although the framework of the study is that of an Islamic banking system, it can also be implemented by conventional intermediaries. Both credit as well as hybrid (quasi-equity) facilities in the form of Bai' Bithman Ajil (BBA)/Ijara wal-'Iqtina and Decreasing Mudharabah (DM) instruments are discussed using computer simulation. These are applied to the cases of automobile financing and home mortgages. Placing additional assets as Rehn (security) has the capacity to improve the financing ratio and/or the term to maturity of both kinds of vehicles.

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Dissertations / Theses on the topic "Pricing – Computer simulation"

Xiang, Xiangzhong, and 項祥中. "Mechanism design for auctions and pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/202375.

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Recent years have seen extensive studies on the pricing problem, as well as its many variances. They have found important applications in computational economics. Nowadays typical applications can be found in internet advertising, Google’s Auction for TV ads and many other resource allocation problems in electronic markets. In electronic markets, thousands of trading activities are processed in the internet or done automatically by computer programs. It is highly required that the trading mechanisms are efficient enough. In the thesis, we will study various pricing problems from different perspectives. The first problem we study is the design of auction mechanism when bidders are unit-demand. It can be applied in internet advertising. Thousand of advertisers bid for space in webpages to show their advertisements. We model the new problem and apply the General Second Price (GSP) mechanism to the problem. GSP is an efficient mechanism with linear time complexity. Moreover, we show that GSP has an envy-free equilibrium which can maximize the profit of advertisers. Auction mechanisms where bidders can bid for multiple items are also studied. A famous example of such auction is the Dutch flower auction. Such multi-unit auctions are widely studied these years. But budget constraints are not considered in many previous works. We study the scenario that each bidder has a budget on the money paid to the auctioneer and the valuation functions of bidders are non-linear. For the model, we design an adaptive clinching auction mechanism. The mechanism is proved to be incentive-compatible, which encourages bidders to reveal their true values, and Pareto-optimal, which ensures that no bidder can improve her utility without decreasing those of others. In some auctions, the items on sale are not available at the same time. For example, TV stations sell time-slots for advertisements on a daily basis. The advertisers are arriving and departing online and bidding for a set of timeslots. For the auction, we design a competitive mechanism which is truthful, i.e., all bidders have the incentive to submit their true private values to the auctioneer. Another important property the mechanism achieves is promptness, which makes sure that any advertiser that wins some time-slots could learn her payment immediately after winning these time-slots. In some pricing problems, upon the arrival of a new buyer, the seller needs to decide immediately whether he will sell his goods or not and what is the price. When buyers are unit-demand and each seller has b items on sale, the online pricing problem can be modelled by online weighted b-matching problem. For the problem, we show a randomized algorithm which achieves near-optimal competitive ratio. When buyers are not unit-demand, things are much more complicated. We consider a general model in which each buyer wants to buy a bundle of items and has a non-increasing valuation function for those items. We design a randomized algorithm which achieves low competitive ratio and derive a non-trivial lower bound on the competitive ratios.
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Computer Science
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Doctor of Philosophy

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Katz, Jonathan L. "A practicability study on the development of a standard, stand-alone computerized contract pricing model for contract pricing and negotiations." Thesis, Monterey, California : Naval Postgraduate School, 1990. http://handle.dtic.mil/100.2/ADA232012.

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Thesis (M.S. in Management)--Naval Postgraduate School, June 1990.
Thesis Advisor(s): Hart, E. Neil. Second Reader: Liao, Shu. "June 1990." Description based on signature page. DTIC Identifier(s): Contract pricing model, contract administration, pricing, negotiations, computerized simulation, theses. Author(s) subject terms: Pricing model; contract pricing and negotiations. Includes bibliographical references (p. 115). Also available online.

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Nhongo, Tawuya D. R. "Pricing exotic options using C++." Thesis, Rhodes University, 2007. http://hdl.handle.net/10962/d1008373.

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This document demonstrates the use of the C++ programming language as a simulation tool in the efficient pricing of exotic European options. Extensions to the basic problem of simulation pricing are undertaken including variance reduction by conditional expectation, control and antithetic variates. Ultimately we were able to produce a modularized, easily extend-able program which effectively makes use of Monte Carlo simulation techniques to price lookback, Asian and barrier exotic options. Theories of variance reduction were validated except in cases where we used control variates in combination with the other variance reduction techniques in which case we observed increased variance. Again, the main aim of this half thesis was to produce a C++ program which would produce stable pricings of exotic options.

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Aktaran-Kalayci, Tuba. "Steady-State Analyses: Variance Estimation in Simulations and Dynamic Pricing in Service Systems." Diss., Georgia Institute of Technology, 2006. http://hdl.handle.net/1853/13993.

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In this dissertation, we consider analytic and numeric approaches to the solution of probabilistic steady-state problems with specific applications in simulation and queueing theory. Our first objective on steady-state simulations is to develop new estimators for the variance parameter of a selected output process that have better performance than certain existing variance estimators in the literature. To complete our analysis of these new variance estimators, called linear combinations of overlapping variance estimators, we do the following: establish theoretical asymptotic properties of the new estimators; test the theoretical results on a battery of examples to see how the new estimators perform in practice; and use the estimators for confidence interval estimation for both the mean and the variance parameter. Our theoretical and empirical results indicate the new estimators' potential for improvements in accuracy and computational efficiency. Our second objective on steady-state simulations is to derive the expected values of various competing estimators for the variance parameter. In this research, we do the following: formulate the machinery to calculate the exact expected value of a given estimator for the variance parameter; calculate the exact expected values of various variance estimators in the literature; compute these expected values for certain stochastic processes with complicated covariance functions; and derive expressions for the mean squared error of the estimators studied herein. We find that certain standardized time series estimators outperform their competitors as the sample size becomes large. Our research on queueing theory focuses on pricing of the service provided to individual customers in a queueing system. We find sensitivity results that enable efficient computational procedures for dynamic pricing decisions for maximizing the long-run average reward in a queueing facility with the following properties: there are a fixed number of servers, each with the same constant service rate; the system has a fixed finite capacity; the price charged to a customer entering the system depends on the number of customers in the system; and the customer arrival rate depends on the current price of the service. We show that the sensitivity results considered significantly reduce the computational requirements for finding the optimal pricing policies.

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Lee, Brendan Chee-Seng Banking &amp Finance Australian School of Business UNSW. "Incorporating discontinuities in value-at-risk via the poisson jump diffusion model and variance gamma model." Awarded by:University of New South Wales, 2007. http://handle.unsw.edu.au/1959.4/37201.

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We utilise several asset pricing models that allow for discontinuities in the returns and volatility time series in order to obtain estimates of Value-at-Risk (VaR). The first class of model that we use mixes a continuous diffusion process with discrete jumps at random points in time (Poisson Jump Diffusion Model). We also apply a purely discontinuous model that does not contain any continuous component at all in the underlying distribution (Variance Gamma Model). These models have been shown to have some success in capturing certain characteristics of return distributions, a few being leptokurtosis and skewness. Calibrating these models onto the returns of an index of Australian stocks (All Ordinaries Index), we then use the resulting parameters to obtain daily estimates of VaR. In order to obtain the VaR estimates for the Poisson Jump Diffusion Model and the Variance Gamma Model, we introduce the use of an innovation from option pricing techniques, which concentrates on the more tractable characteristic functions of the models. Having then obtained a series of VaR estimates, we then apply a variety of criteria to assess how each model performs and also evaluate these models against the traditional approaches to calculating VaR, such as that suggested by J.P. Morgan???s RiskMetrics. Our results show that whilst the Poisson Jump Diffusion model proved the most accurate at the 95% VaR level, neither the Poisson Jump Diffusion or Variance Gamma models were dominant in the other performance criteria examined. Overall, no model was clearly superior according to all the performance criteria analysed, and it seems that the extra computational time required to calibrate the Poisson Jump Diffusion and Variance Gamma models for the purposes of VaR estimation do not provide sufficient reward for the additional effort than that currently employed by Riskmetrics.

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Hagtvedt, Reidar. "Applications of Decision Analysis to Health Care." Diss., Georgia Institute of Technology, 2007. http://hdl.handle.net/1853/22535.

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This dissertation deals with three problems in health care. In the first, we consider the incentives to change prices and capital levels at hospitals, using optimal control under the assumption that private payers charge higher prices if patients consume more hospital services. The main results are that even with fixed technology, investment and prices exhibit explosive growth, and that prices and capital stock grow in proportion to one another. In the second chapter, we study the flow of nosocomial infections in an intensive care unit. We use data from Cook County Hospital, along with numerous results from the literature, to construct a discrete event simulation. This model highlights emergent properties from treating the flow of patients and pathogens in one interconnected system, and sheds light on how nosocomial infections relate to hospital costs. We find that the system is not decomposable to individual systems, exhibiting behavior that would be difficult to explain in isolation. In the third chapter, we analyze a proposed change in diversion policies at hospitals, in order to increase the number of patients served, without an increase in resources. Overcrowding in hospital emergency departments is caused in part by the inability to send patients to main hospital wards, due to limited capacity. When a hospital is completely full, the hospital often goes on ambulance diversion, until some spare capacity has opened up. Diversion is costly, and often leads to waves of diversions in systems of hospitals, a situation that is regarded as highly problematic in public health. We construct and analyze a continuous-time Markov chain model for one hospital. The intuition behind the model is that load-balancing between various hospitals in a metro area may hinder full congestion. We find that a more flexible contract may benefit all parties, through the partial diversion of federally insured patients, when a hospital is very close to full. Discrete event simulation models are run to assess the effect, using data from DeKalb Medical Center, and also to show that in a two-hospital system, more federally insured patients are served using this mechanism.

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Waserhole, Ariel. "Optimisation des systèmes de véhicules en libre service par la tarification." Thesis, Grenoble, 2013. http://www.theses.fr/2013GRENM049/document.

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Nous étudions les systèmes de véhicules en libre service en aller-simple : avec emprunt et restitution dans des lieux éventuellement différents. La publicité promeut l'image de flexibilité et d'accessibilité (tarifaire) de tels systèmes, mais en réalité il arrive qu'il n'y ait pas de véhicule disponible au départ, voire pire, pas de place à l'arrivée. Il est envisageable (et pratiqué pour Vélib' à Paris) de relocaliser les véhicules pour éviter que certaines stations soient vides ou pleines à cause des marées ou de la gravitation. Notre parti-pris est cependant de ne pas considérer de ``relocalisation physique'' (à base de tournées de camions) en raison du coût, du trafic et de la pollution occasionnées (surtout pour des systèmes de voitures, comme Autolib' à Paris). La question à laquelle nous désirons répondre dans cette thèse est la suivante : Une gestion via des tarifs incitatifs permet-elle d'améliorer significativement les performances des systèmes de véhicules en libre service ?
One way Vehicle Sharing Systems (VSS), in which users pick-up and return a vehicle in different places is a new type of transportation system that presents many advantages. However, even if advertising promotes an image of flexibility and price accessibility, in reality customers might not find a vehicle at the original station (which may be considered as an infinite price), or worse, a parking spot at destination. Since the first Bike Sharing Systems (BSS), problems of vehicles and parking spots availability have appeared crucial. We define the system performance as the number of trips sold (to be maximized). BSS performance is currently improved by vehicle relocation with trucks. Our scope is to focus on self regulating systems through pricing incentives, avoiding physical station balancing. The question we are investigating in this thesis is the following: Can a management of the incentives increases significantly the performance of the vehicle sharing systems?

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Books on the topic "Pricing – Computer simulation"

Humphreys, Paul. Computational Economics. Edited by Don Ross and Harold Kincaid. Oxford University Press, 2009. http://dx.doi.org/10.1093/oxfordhb/9780195189254.003.0013.

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Computational economics is a relatively new research technique in economics, but it is inexorably taking its place alongside the more traditional methods of general theory, abstract modeling, data analysis, and the more recent experimental economics. Perhaps because of its relative newness, the term computational economics currently has no determinate meaning. In contemporary use, it refers to a heterogeneous cluster of techniques implemented on concrete digital computers ranging from the numerical solution of the Black-Scholes partial differential equation for pricing options through automated trading strategies to agent-based computer simulations of the evolution of cooperation. Because of this heterogeneity, it is not possible to provide a comprehensive coverage of the topic in this article. Another reason for this restricted scope is that many of the methods used in computational economics have considerable technical interest but no particular philosophical relevance.

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Book chapters on the topic "Pricing – Computer simulation"

Mariello, Andrea, Manuel Dalcastagné, and Mauro Brunato. "HotelSimu: Simulation-Based Optimization for Hotel Dynamic Pricing." In Lecture Notes in Computer Science, 341–55. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-53552-0_31.

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Holčapek, Michal, and Tomáš Tichý. "Option Pricing with Fuzzy Parameters via Monte Carlo Simulation." In Communications in Computer and Information Science, 25–33. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-23062-2_4.

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Zhang, Nan, Ka Lok Man, and Eng Gee Lim. "Pricing Bermudan Interest Rate Swaptions via Parallel Simulation under the Extended Multi-factor LIBOR Market Model." In Lecture Notes in Computer Science, 472–81. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-35606-3_56.

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Dekhandji, Fatma Zohra. "Smart Metering and Pricing Policy in Smart Grids." In Advances in Computer and Electrical Engineering, 48–69. IGI Global, 2021. http://dx.doi.org/10.4018/978-1-7998-4027-5.ch003.

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Pricing policy is one of the tools allowing the involvement of customers in the balance between the supply and the demand in smart grids. The present chapter aims at presenting the smart metering action including the bidirectional measurement of energy for smart houses equipped with renewable energies as well as the way a smart meter communicates data at the required timing to and from the control center. A typical bill establishment explaining how the net billing is produced along with a discussion about different pricing policies that the utility may adopt to reduce the peak load demand is also presented. The work is concluded by a typical simulation of a smart city modeled in LABVIEW software.

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Takenaka, Takeshi, Kousuke Fujita, Nariaki Nishino, Tsukasa Ishigaki, and Yoichi Motomura. "Transdisciplinary Approach to Service Design Based on Consumer’s Value and Decision Making." In Electronic Services, 197–213. IGI Global, 2010. http://dx.doi.org/10.4018/978-1-61520-967-5.ch014.

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Science and technology are expected to support actual service provision and to create new services to promote service industries’ productivity. However, those problems might not be solved solely in a certain research area. This paper describes that it is necessary to establish transdisciplinary approaches to service design in consideration of consumers’ values and decision making. Recent research trends of services are overviewed. Then a research framework is proposed to integrate computer sciences, human sciences, and economic sciences. Three study examples of services are then presented. The first study is a multi-agent simulation of a cellular telephone market based on results of a psychological survey. The second presents a cognitive model constructed through integration of questionnaire data of a retail business and Bayesian network modeling. The third presents a pricing mechanism design for service facilities––movie theaters––using an economic experiment and agent-based simulation.

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Conference papers on the topic "Pricing – Computer simulation"

Meili, Liu. "Taxi Pricing System Simulation Design." In ICCCV'20: 2020 the 3rd International Conference on Control and Computer Vision. New York, NY, USA: ACM, 2020. http://dx.doi.org/10.1145/3425577.3425594.

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Jia, Zhongxiang. "“Photographing money” task pricing." In 6TH INTERNATIONAL CONFERENCE ON COMPUTER-AIDED DESIGN, MANUFACTURING, MODELING AND SIMULATION (CDMMS 2018). Author(s), 2018. http://dx.doi.org/10.1063/1.5039137.

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Jiaying Pan, Lian Xue, Zheming Huang, and Quanyu Lin. "Numerical simulation of the stock option pricing." In 2010 International Conference on Computer Application and System Modeling (ICCASM 2010). IEEE, 2010. http://dx.doi.org/10.1109/iccasm.2010.5619157.

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Kamdar, Ashish, and Alessandra Orsoni. "Development of Value-Based Pricing Model for Software Services." In 2009 11th International Conference on Computer Modelling and Simulation. IEEE, 2009. http://dx.doi.org/10.1109/uksim.2009.93.

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Han, Wei. "A Dynamic Pricing Algorithm by Bayesian Q-learning." In 2010 Second International Conference on Computer Modeling and Simulation (ICCMS). IEEE, 2010. http://dx.doi.org/10.1109/iccms.2010.240.

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Liu, Zehua, Nan Zhang, and Hongfeng Han. "Information pricing based on trusted system." In 6TH INTERNATIONAL CONFERENCE ON COMPUTER-AIDED DESIGN, MANUFACTURING, MODELING AND SIMULATION (CDMMS 2018). Author(s), 2018. http://dx.doi.org/10.1063/1.5039087.

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Marques-Neto, H. T., V. A. F. Almeida, and J. M. Almeida. "Pricing Broadband Internet Adaptive Services." In 2007 15th International Symposium on Modeling, Analysis, and Simulation of Computer and Telecommunication Systems (MASCOTS). IEEE, 2007. http://dx.doi.org/10.1109/mascots.2007.53.

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Yabin Li and Congdong Li. "Research on the simulation model of medical service pricing." In 2015 4th International Conference on Computer Science and Network Technology (ICCSNT). IEEE, 2015. http://dx.doi.org/10.1109/iccsnt.2015.7490698.

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Yang, Haijun, and Cui Wang. "A Memory Reduction Monte Carlo Simulation for Pricing Multi-assets American Options." In 2009 WRI World Congress on Computer Science and Information Engineering. IEEE, 2009. http://dx.doi.org/10.1109/csie.2009.192.

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Yong Chen and Yanchun Zhou. "Pricing American options on assets with dividends by a Brownian bridge simulation method." In 2011 International Conference on Computer Science and Network Technology (ICCSNT). IEEE, 2011. http://dx.doi.org/10.1109/iccsnt.2011.6181937.

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