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Rodriguez, Claudia Patricia. "Transmission pricing". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape4/PQDD_0028/MQ50390.pdf.
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Jonason, Andreas. "Innovative pricing". Doctoral thesis, Stockholm : Tekniska högsk, 2001. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-3221.
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Loon, Joyce van. "Algorithmic pricing". Maastricht : Maastricht : Universitaire Pers ; University Library, Universiteit Maastricht [host], 2009. http://arno.unimaas.nl/show.cgi?fid=14955.
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Gesua', Sive Salvadori Davide <1993>. "Transfer pricing". Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10654.
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Jordan-Wagner, James M. (James Michael). "Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market". Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330578/.
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Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances.
Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and R2 all indicate that the arbitrage pricing theory was a better descriptor of the Eurobond market.
The excess returns were also examined using stochastic dominance. Arbitrage pricing theory never dominated the capital asset pricing model using first-order criteria, but consistently dominated using second-order criteria. The results were discussed in terms of the implications for investors and portfolio managers.
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Ahmed, Hasib. "Pricing of Idiosyncratic Risk in an Intermediary Asset Pricing Model". ScholarWorks@UNO, 2019. https://scholarworks.uno.edu/td/2659.
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Standard asset pricing theories suggest that only systematic risk is priced. Empirical studies report a relationship between idiosyncratic volatility or risk (IVOL) and asset price. The most common explanation for this anomaly is that households under-diversify creating a Bad Model problem. This paper uses an Intermediary Asset Pricing Model (IAPM) as a way to control for under-diversification in evaluating the relationship between IVOL and asset price. We find that IVOL premia is lower in an IAPM. Our findings indicate that under-diversification can explain the anomaly partially.
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Ehlers, Philippe Serge. "Pricing credit derivatives". Zürich : ETH, 2007. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=17274.
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Huang, Liang Hai. "Pricing exchange options". Thesis, University of Macau, 2005. http://umaclib3.umac.mo/record=b1447320.
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Prostakova, Irina, e Alexander Tazov. "Energy Derivatives Pricing". Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16174.
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In this paper we examine energy derivatives pricing. The previous studies considered the same source of uncertainty for the spot and the futures prices. We investigate the problem of futures pricing with two independent sources of risk. In general the structure of the oil and gas futures markets is closely related to some stock indices. Therefore, we develop a model for the futures market and compound derivatives with pricing in accordance with the correspondent index. We derive a framework for energy derivatives pricing, compute the price of the European call option on futures and corresponding hedging strategy. We calculate the price of the European call option adjusted for an index level, study the American put option on futures and corresponding hedging strategies.
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Xue, Jiang. "Pricing Callable Bonds". Thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-162962.
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Reneby, Joel. "Pricing corporate debt". Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1998. http://www.hhs.se/efi/summary/474.htm.
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Li, Peng. "Asset pricing anomalies". Thesis, University of Leeds, 2016. http://etheses.whiterose.ac.uk/15615/.
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Ly, Steven. "Dynamic Pricing Communication". Thesis, KTH, Radio Systems Laboratory (RS Lab), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229904.
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Parking is an old concept, which fundamentally involves leaving a vehicle at a place. Parking has been considered as a subsidiary activity to owning a car. However, these days owning a car has become the norm, which leads to a greater demand for parking. Unregulated parking demand often leads to increased traffic congestion, when there are not enough parking spaces to keep up with the demand. Congestion itself has a negative impact on the environment and causes safety issues. A common solution to reduce congestion have been by influencing the demand for parking spaces through parking prices. During recent years, the existing pricing strategies have not been able to keep up with the daily changes in demand. Therefore, stakeholders in the parking industry have started to shift towards working for dynamic pricing. Dynamic pricing utilizes a pricing strategy that sets the price according to the current demand and occupancy. However, the parking industry is missing a key feature to fully enable dynamic pricing. There is no communication standard in the parking industry. Thus, there is no efficient communication mean for the stakeholders to share their parking-related information (such as location, occupancy, and tariff data). This thesis has developed and proposes a protocol for sharing such parking-related information. The aim is that the protocol will be used as a communication standard in the parking industry. Due to limited time, the most focus was put on completing the protocol for tariff data. However, the developed protocol can be considered as a partial solution towards dynamic pricing. Because the protocol can still be used to properly share tariff data. Based on the evaluation, the protocol could express a variety of tariffs. The tariffs that are expressible have use cases such as early bird, residential, or on-street parking. To make integration easier, for the parking industry, the protocol includes tools to aid integrations of the protocol. A future work will be to complete the support of location and occupancy related data. Additionally, it has been discussed that the protocol will onwards be developed as open-source.Parkering har sedan länge varit ett stort område, vilket enkelt innebär att ett fordon lämnas på en plats. Parkering har för det mesta haft ett sekundärt syfte från att äga en bil. Men eftersom antalet bilägare ökar, ökar även parkeringsbehovet. Om det inte finns tillräckligt med parkeringar för att kunna tillfredsställa behovet, leder det till en ökad trafikträngsel. Trafikträngsel skapar både miljöproblem och säkerhetsproblem. Den huvudsakliga metoden för att påverka parkeringsbehovet har varit genom att skapa lägre en efterfrågan. Efterfrågan har sänkts genom att justeringar av parkeringsavgifter. Då efterfrågan på senaste tiden har ökat markant, räcker de traditionella parkeringsavgifterna inte längre till. För att lösa problemen, har många bolag och organisationer börjat jobba mot en dynamisk prissättning. Dynamisk prissättning använder sig av en prisstrategi som sätter parkeringsavgifterna i realtid baserat på den nuvarande efterfrågan och tillgång. Däremot har parkeringsindustrin i nuläget inte de nödvändiga kommunikationskanalerna som krävs för att anta en dynamisk prissättning. Examensarbetets huvudsyfte har varit att utveckla ett protokoll som gör det möjligt att dela parkeringsrelaterade data så som: plats-, ockuperings- och tariffdata. Huvudmålet med protokollet är att det senare ska kunna bli en standard i parkeringsindustrin. På grund av tidsbegränsningar, har den största fokusen av utvecklingen lagt på stöd för tariffdata. Därmed kan inte protokollet antas som den fullständiga lösningen för dynamisk prissättning. Dock, kan protokollet ses som en delvis lösning, då det med protokollet är möjligt att korrekt dela med sig av tariffdata. Evalueringen visade att det gick, med hjälp av det utvecklade protokollet, att beskriva flera sorters tariffer utan att förlora någon viktig information. Tariffer som gick att beskriva används för bland annat: gatu-, infarts- och boendeparkeringar. Ett framtida projekt blir att utveckla och färdigställa protokollet för fullt stöd av plats- och ockuperingsdata. Ytterligare har det diskuterats om att den fortsatta utvecklingen av protokollet, ske som öppen källkod (open-source).
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Bieta, Volker, Udo Broll e Wilfried Siebe. "Strategic option pricing". Technische Universität Dresden, 2020. https://tud.qucosa.de/id/qucosa%3A71719.
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In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset? The traditional answer is obtained with the help of a replicating portfolio by ruling out arbitrage. Instead a two-person game from the Nash equilibrium of which the option price can be derived is formulated. Consequently both the underlying asset’s price at expiration and the price of the option on this asset are endogenously determined. The option price derived this way turns out, however, to be identical to the classical no-arbitrage option price of the binomial model if the expiration-date prices of the underlying asset and the corresponding risk-neutral probability are properly adjusted according to the Nash equilibrium data of the game.
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Byström, Martin. "Module-based pricing". Thesis, KTH, Skolan för industriell teknik och management (ITM), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-293169.
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Modularity has the possibility to fulfil a wide range of customer requirements by using relatively few input components. The benefits of modularization from an engineering perspective have been confirmed repeatedly by multiple researchers, but less attention has been drawn to the question of how to effectively price the large number of variants of top-level configurations. In terms of pricing, a common approach is to add a contribution margin to the production cost, but there are problems associated with this method. In general, there should be possibilities to: i) base price on value, not cost (i.e., price structure); ii) ensure consistency in pricing between configurations (i.e., pricing policy); and iii) maintain the prices over time (i.e., price maintenance). Contribution margin on production cost approach does not effectively fulfill these three criteria. This thesis aims to contribute to filling this research gap by introducing the concept of module-based pricing: a top-level configuration’s list price should be the sum of the prices of its modules. The model, MBPN, developed in this thesis minimizes the difference in the outcome of any existing and a new, modular based model as a neutral starting point. The model uses applied least squares method with an option to set variable limits on the module prices to achieve e.g., value-based module pricing. The results present a case of a successful transition from a contribution margin on production cost approach to module-based pricing for a configurable product.Modularisering har möjligheten att uppfylla ett stort antal kundkrav med utgångspunkt i relativt få komponentvariationer. De ingenjörsmässiga fördelarna med detta tillvägagångssätt har bekräftats upprepade gånger i olika studier, men mindre uppmärksamhet har riktats mot hur man effektivt kan prissätta de olika varianter av konfigureringar som uppkommer med modulariseringsstrategier. Gällande prissättning av konfigurerade produkter är det vanligt att använda en bidragsmarginal på produktionskostnaden, men det finns problem associerade med denna metod. Generellt bör det finnasmöjligheter att: i) basera pris på värde, inte kostnad (dvs. prisstruktur); ii) säkerställa enhetlighet i prissättningen mellan konfigurationer (dvs. prissättningspolicy); och iii) upprätthålla priserna över tid (dvs. prisunderhåll). Bidragsmarginal på produktionskostnaden uppfyller inte dessa tre kriterier. Detta examensarbete introducerar därför konceptet modulbaserad prissättning: konfigureringens listpris utgörs av summan av dess modulers priser. Modellen, MBPN, utvecklad i detta examensarbete minimerar skillnaden i utfallet av en befintlig och en ny, modulbaserad modell som en neutral utgångspunkt. Modellen är en tillämpad minsta kvadratmetod med möjligheter att applicera variabelgränser för att uppnå t.ex. värdebaserad modulprissättning. Resultatet visar på en framgångsrik övergång från en prissättningsmodell baserad på bidragsmarginal på produktionskostnad till modulbaserad prissättning för en konfigurerbar produkt.
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Bozhkov, D. S. "Charity in pricing". Thesis, Sumy State University, 2017. http://essuir.sumdu.edu.ua/handle/123456789/66249.
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Nowadays enterprises in any sphere of activities can not achieve their aims without considering important social needs. The social importance of commodity producers is realized through various programs (sponsorship, patronage, support, etc.). One of the new forms of activities is their involvement in pricing.
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Bozhkov, D. S. "Charity in pricing". Thesis, Sumy State University, 2017. http://essuir.sumdu.edu.ua/handle/123456789/65321.
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Le, Guen Thibault. "Data-driven pricing". Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/45627.
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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2008.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (p. 143-146).
In this thesis, we develop a pricing strategy that enables a firm to learn the behavior of its customers as well as optimize its profit in a monopolistic setting. The single product case as well as the multi product case are considered under different parametric forms of demand, whose parameters are unknown to the manager. For the linear demand case in the single product setting, our main contribution is an algorithm that guarantees almost sure convergence of the estimated demand parameters to the true parameters. Moreover, the pricing strategy is also asymptotically optimal. Simulations are run to study the sensitivity to different parameters.Using our results on the single product case, we extend the approach to the multi product case with linear demand. The pricing strategy we introduce is easy to implement and guarantees not only learning of the demand parameters but also maximization of the profit. Finally, other parametric forms of the demand are considered. A heuristic that can be used for many parametric forms of the demand is introduced, and is shown to have good performance in practice.
by Thibault Le Guen.
S.M.
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Mengler, Jan. "Arbitrage Pricing Theory". Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-77153.
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Determination of the stock expected return is an important element of asset management. This paper presents an Arbitrage Pricing Theory model, which strives to estimate the expected return explaining the historical volatility of the stock prices. This paper presents the model as it was introduced, necessary extension for application to a small market included. Statistical methods on which the model has been build are discussed -- factor analysis completed by principal component analysis. In the practical part, the model is applied to the Czech market with an assessment of the success of the application. The forces which were expected to represent risk factors for the market have been examined as well. It will be shown that the model may contribute to the understanding of risk behaviour of the stocks.
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Bimaj, Arjola. "Psychology of pricing". Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-162611.
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Price is the element of the marketing mix that has direct effect in the profits of a company. The right price can boost the profit and the wrong price can significantly shrink it. Thus, the businesses need to set the right price in order to maximize their revenues. However, the newest factors in the economic field, the continuous changes in the environment and the current financial situation in the world has eroded the pricing power and forces the managers to look in every direction in order to be able and keep up with the changes. Therefore, the aim of the thesis is to study the psychology of pricing related to the factors that affect the consumers' psychology and behavior when it comes to purchasing decision. The information will be then useful inputs for the companies in order to understand these factors and use them to set the most suitable pricing method for their product.
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Russell, Joseph F. "Analysis of commercial pricing factors : a framework for commercial item pricing". Thesis, Monterey, Calif. Naval Postgraduate School, 2002. http://hdl.handle.net/10945/6028.
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Approved for public release; distribution is unlimited.Recent procurement reform initiatives within the Federal Government have served to significantly reduce the requirement for offerors to provide the Government with cost or pricing data in advance of contract negotiations. The goal of these initiatives is to streamline the procurement process and achieve a procurement environment that more closely resembles the practices of the commercial sector. In order for the Government Contracting Officer to effectively analyze an offer as fair and reasonable and obtain a negotiating position, the Contracting Officer must recognize and understand a myriad of elements that contribute to a commercial firm's pricing objectives. The purpose of this research is to examine the elements that influence a contractor's pricing as well as the factors applied to their purchasing decisions. This paper will present data that can be analyzed without the benefit of cost or pricing data. The thesis provides a framework for Government Contracting Officers to recognize and analyze this data in preparing for contract negotiations.
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Law, Yan Tai. "Pricing under random information flow and the theory of information pricing". Thesis, Imperial College London, 2012. http://hdl.handle.net/10044/1/9292.
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This thesis presents a mathematical formulation of informational inhomogeneity in financial markets, with emphasis on its impact on asset volatility, the notion of information extraction, and the role of information providers. We begin with a brief review of the BHM framework, which models the market filtration by an information process consisting of a signal and a noise term, such that the signal-to-noise ratio is determined by the information flow rate. Motivated by the observations that valuable information is rarely circulated homogeneously across financial markets, and that the information flow rate is typically random, we introduce, in the first part of the thesis, an extension of the BHM approach that leads to the simplest class of stochastic volatility models. In this extended framework we derive closed form expressions: for (a) asset price processes; (b) pricing formulae for options; and (c) option deltas. We show that the model can be calibrated to fit volatility surfaces reasonably well, and that it can be used effectively to model information manipulation. In the second part we introduce a framework for the valuation of information. In particular, a new formulation of the utility-indifference argument is introduced and used as a basis for pricing. We regard information as a quantity that converts a prior distributions into a posterior distributions. The amount of information can thus be quantified by relative entropy. The key to our theory is to equate the maximised a posterior utility with the a posterior expectation of the utility of the a priori optimal strategy. This formulation leads to one price for a given quantity of upside, and another for a given quantity of downside information. Various intuitive, as well as counterintuitive implications (for example, price of information is not necessarily an increasing function of the volume of information) of our theory are discussed in detail.
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Shi, Qi. "Three Essays on empirical cross-sectional asset pricing using multi-factor pricing models". Thesis, Griffith University, 2017. http://hdl.handle.net/10072/370429.
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My three essays contain three studies using multi-factor asset pricing models, where all the data are based on the US market. The first study extends intertemporal CAPMs with a few macro pricing factors: inflation or the cycle of industrial production (IP). I regard this specification of such models as a multi-factor pricing model, where this multi-factor linear pricing model can alternatively be derived from a consumption-based model from a theoretical perspective. I find significant evidence that the augmented multi-factor models outperform the original ICAPM. The results show that inflation is a key additional factor in the pricing models for the 25 size/book-to-market portfolios, while the cycle of IP is another vital additional factor in pricing models for the 25 size/momentum portfolios. Moreover, I find that most pricing information contained in the momentum factor is the inclusive information of the IP cycle, where the cycle of IP is generated by using the Hodrick–Prescott filter. The second study extends another two ICAPMs and Hou, Karolyi and Kho's three-factor model with inflation. The evidence shows that inflation significantly aids the original models in pricing 25 size/book-to-market portfolios in cross-sectional tests. Hence, I provide further robust evidence that inflation is the vital factor in the factor pricing models for the 25 size/book-to-market portfolios and a few other portfolios. Inflation provides additional explanatory power beyond Fama-French’s five factors in pricing the cross-sectional variation of 25 size/book-to-market portfolios. The third study investigates the performance of multi-factor asset pricing models in explaining the cross-section variation of the large number of expanding portfolios and a set of different portfolios, where the multi-factor models refer to the Fama-French three-factor model augmented by other pricing factors. I investigate the performance of several well-regarded multi-factor models by using Hansen’s general method of momentum (GMM), which is another alternative and very robust complement/guarantee to the only regression-based procedure in the previous literature. The results continuously support the superiority of the augmented multi-factor models. In general, augmented multi-factor models outperform the original models in a sound portion of different portfolios, where the original model refers to Fama-French’s three-factor model. In conclusion, my essays shed light on a fresh type of linear asset pricing model with sound theoretical background, and my research justifies the superiority of the multi-factor pricing model over Fama-French’s three-factor model in explaining the cross-sectional variation of equity returns with robust evidence.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Dept Account,Finance & Econ
Griffith Business School
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Stepanchuk, Tanja. "Optimal pricing strategies how nonlinear programming enables optimal pricing in digital environment". Hamburg Kovač, 2009. http://d-nb.info/1000250164/04.
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Möllerstedt, Lena. "Transfer Pricing : Svenska domstolars tillämpning av OECD Transfer Pricing Guidelines vid armlängdsprisberäkningar". Thesis, Jönköping University, JIBS, Commercial Law, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-359.
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Johnstone, Jeffrey Carl, e Patrick Daniel Keavney. "Pricing Strategy, Pricing Stability and Financial Condition in the Defense Aerospace Industry". Thesis, Monterey, California. Naval Postgraduate School, 1987. http://hdl.handle.net/10945/41618.
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Approved for public release, distribution unlimitedAll original copies missing. Best digital copy available.
The purpose of this research is to determine if pricing strategy and pricing stability for products in the defense aerospace industry can be predicted based on a firm's financial condition. The sample for this research includes 17 contractors and 52 missile and aircraft programs. Two separate issues are addressed. The first issue concerns the relationship between financial condition and contractor pricing strategy. The second concerns the relationship between organizational slack and pricing stability. The overall findings are: 1) That a limited amount of variation in pricing strategy can be explained through the use of a linear regression model using financial ratios; and 2) That no apparent relationship exists between organizational slack and pricing stability.
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Baker, Bradley James. "Pricing Participant Sport: The Pricing Development Process in Long-Distance Running Events". Diss., Temple University Libraries, 2017. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/423748.
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Tourism and SportD.B.A.
The current research investigates pricing practices and consumer behavior in long-distance running events. Two studies address (1) current practices in pricing and registration policies for long-distance running events, and (2) factors that influence the decision-making process by which event organizers develop, adopt, and implement particular pricing policies. Study One involves a descriptive census of policies currently in use for a comprehensive list of running events in the United States that include races at the full or half marathon distance. Study Two adopts a multi-case study approach based on semi-structured interviews of running event organizers, supplemented by additional organizational documents, to investigate the pricing and registration policy development process. Collectively, these two studies examine the what, the why, and the how of pricing policy development in long-distance running events. Based on study findings, a conceptual model was developed incorporating major sources of influence (organizational, consumer, environmental, and event) on the pricing policy development process. This research contributes to sport management by providing deeper understanding of how participant sport, specifically long-distance running events, is priced and how pricing decisions influence consumer behaviors. Results additionally provide practical insight for running event organizers seeking to improve or enhance pricing policies and revenue management by understanding both common and atypical practices in use throughout the running event industry. Finally the current research lays a foundation for a stream of future research building on findings from two studies and data generated in the process of addressing the overarching research questions.
Temple University--Theses
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Smit, L., e Niekerk T. Van. "Selecting a pricing strategy : a statistical approach". Journal for New Generation Sciences, Vol 12, Issue 1: Central University of Technology, Free State, Bloemfontein, 2014. http://hdl.handle.net/11462/656.
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Published ArticlePricing management, as part of the marketing strategy of an organisation, is a difficult and highly complex - but also critically important - management activity, as it affects the revenue and therefore the profits of an organisation. However, scholars such as Bruck (2010), Cram (2006:5), Eugster, Kakkar and Roegner (2000:133), Hinterhuber (2004:765) and Pratt (2007) believe that the pricing function in organisations has largely been neglected by managers and academics and that price is generally set by guesswork and not by scientific means. This article maintains that the pricing function in an organisation can be successfully managed through the implementation of a pricing plan. A critically important step in the pricing plan is to select a pricing strategy or combination of pricing strategies to set the price of a product or service. A number of nonparametric statistical tests are available to assist management in the selection of the most suitable pricing strategy, or combination of pricing strategies, when determining the price of a product or service. The aim of this article is to demonstrate the use of statistical methods in selecting a pricing strategy as part of a comprehensive pricing plan. The article contains an analysis of selected literature, while taking a descriptive and statistical approach to demonstrate the use of statistical methods in selecting a pricing strategy.
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Holzner, Anna. "Nutzenorientiertes Pricing von Messeleistungen". Wiesbaden : Dt. Univ.-Verl, 2006. http://dx.doi.org/10.1007/978-3-8350-9089-7.
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Bregman, Yuliya. "Pricing in new markets". Diss., lmu, 2009. http://nbn-resolving.de/urn:nbn:de:bvb:19-95859.
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Lowther, George Edward. "Derivative pricing with options". Thesis, University of Cambridge, 1999. https://www.repository.cam.ac.uk/handle/1810/265436.
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We consider the problem of pricing and hedging general path dependent derivatives on a single asset, supposing that we already know the prices of the vanilla options. If we are to avoid introducing arbitrage possibilities, then this is the same as finding a model under which the discounted asset price is a martingale and for which every vanilla option has its price equal to the expected value of its discounted payout. It has been shown by Dupire ([1], [2]) that if we restrict ourselves to diffusions, then the local volatility surface can be determined by a simple equation which involves differentiating the option prices with respect to their maturity and strike price. We considerably extend this result of Dupire. First, we show that if we generalise the possible models for the asset price to include what we shall term comparable processes, then there exists a unique such model fitting the observed option prices. The option prices need not be differentiable - just that they are continuous with respect to the maturity. One problem with the method proposed by Dupire is that no matter how many options we may observe in practise, it is impossible to calculate the local volatility surface to within any degree of accuracy. However, we show that the model for the asset price does depend on the observed options in a continuous way, so the proposed method of pricing derivatives is stable. We show that if we use implicit finite differences to fit the observed option prices ever more closely, then the associated model for the asset price will always converge to the unique comparable martingale consistent with these option prices. This theorem requires no preconditions, and works for all possible comparable processes, not just diffusions. The same is true for implicit finite differences, as long the associated trinomial processes do not contain any negative probabilities. Fina~Jy, we extend the well known link between arbitrage and the existence of equivalent martingale measures. We show that if the market consists of non-negative continuous assets, then there exists an equivalent martingale measure if and only if it does not admit arbitrage in a carefully defined approximating sense. This extends a similar result by Delbaen [1], which only concerned bounded processes.
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Björklund, Wictor. "Personalized pricing through profiling". Thesis, Stockholms universitet, Juridiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-153198.
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Choi, Hoyong. "Essays on asset pricing". Thesis, London School of Economics and Political Science (University of London), 2016. http://etheses.lse.ac.uk/3395/.
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The first chapter studies the impact of variance risk in the Treasury market on both term premia and the shape of the yield curve. Under minimal assumptions shared by standard structural and reduced-form asset pricing models, I show that an observable proxy of variance risk in the Treasury market can be constructed via a portfolio of Treasury options. The observable variance risk has the ability to explain the time variation in term premia, but is largely unrelated to the shape of the yield curve. Using the observable variance risk, I also propose a new representation of no-arbitrage term structure models. All the pricing factors in the model are observable, tradable, and hence economically interpretable. The representation can also accommodate both unspanned macro risks and unspanned stochastic volatility in the term structure literature. The second chapter shows that it is beneficial to incorporate a particular zero-cost trading strategy into approaches that extract a stochastic discount factor from asset prices in a model-free manner (e.g. the Hansen-Jagannathan minimum variance stochastic discount factor). The strategy mimics the Radon-Nikodym derivative between two pricing measures with alternative investment horizons, and is hence characterized by the term structure of the SDF (or the dynamics of the SDF). Incorporating the strategy into the Euler equation significantly enhances the ability of the extracted stochastic discount factor to explain crosssectional variation of expected asset returns. Furthermore, the strategy remarkably tightens various lower bounds for the stochastic discount factor, hence setting a more stringent hurdle for equilibrium asset pricing models. The third chapter studies variance risk premiums in the Treasury market. We first develop a theory to price variance swaps and show that the realized variance can be perfectly replicated by a static position in Treasury futures options and a dynamic position in the underlying. Pricing and hedging is robust even if the underlying jumps. Using a large options panel data set on Treasury futures with different tenors, we report the following findings: First, the term-structure of implied variances is downward sloping across maturities and increases in tenors. Moreover, the slope of the term structure is strongly linked to economic activity. Second, returns to the Treasury variance swap are negative and economically large. Shorting a variance swap produces an annualized Sharpe ratio of almost two and the associated returns cannot be explained by standard risk factors. Moreover, the returns remain highly statistically significant even when accounting for transaction costs and margin requirements.
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Strand, Niklas. "Empirical studies of pricing". Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2001. http://www.hhs.se/efi/summary/570.htm.
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Linder, Martin, e Tobias Nylin. "Pricing of radar data". Thesis, Linköpings universitet, Kommunikations- och transportsystem, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-104020.
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In this thesis we examine the issue regarding pricing of radar data and surveillance to the operators of air navigation service (ANS) at the aerodromes in Sweden. The question of who should be responsible for providing radar data to the operators is being managed that results in if it should be LFV, as it is today, the government or another authority. This is being examined since LFV in 2010 lost its monopoly position in the terminal area in Sweden. LFV still has monopoly on the en route part, and thru the en route income finances the radar data to all operators in Sweden. Air traffic service units (ATS) receive the radar data without any compensation to LFV, this needs to be regulated and conditions and prerequisites are necessary to be implemented. Our supervisor at LFV, Anders Andersson, has been the primary source of information regarding the current situation, background for the problem and also provided relevant documents with proper information. Laws and regulations have been accessed via the Swedish Transport Agency’s website and scientific articles on monopolies and pricing in aviation and other markets have been used in order to compare earlier issues similar to ours. The literature studies combined with interviews with Anders Andersson are the foundations of the development of the pricing schemes. The result of the thesis is presented as three different pricing schemes where each one of them are presented in tables and analysed how it will affect the ATS. In the first pricing scheme the cost for maintenance is equally divided between all ATS, this means every ATS has to pay the same cost regardless size of the airport, number of movement and net sales. The second pricing scheme is based on number of landings per year and divides the ATS in three categories. This scheme increases the cost with concern to the number of landings, which results in the larger ATS are charged more than the smaller ATS. The final pricing scheme is divided in four categories and based on terminal control area (TMA) and requirements on surveillance service. This means the different categories are based on a combination of the median distance flown in TMA and the different requirements the ATS must provide surveillance service. This pricing scheme is a disadvantage for the military airports and the ATS with associated TMA. The conclusions that can be made are the Swedish Transport Agency needs to implement some distinct guidelines and regulations regarding how the pricing should be made, where the pricing schemes and analysis in this thesis could form the basis for future investigations.
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Yan, Hongjun. "Asset pricing under imperfections". Thesis, London Business School (University of London), 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.417453.
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Kuo, Jing-Ming. "Essays in asset pricing". Thesis, University of Essex, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.499797.
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Hansen, Peder. "Pricing exotic power options". Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-248571.
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Koulafetis, Panayiota. "Asset pricing in UK". Thesis, City University London, 2000. http://openaccess.city.ac.uk/8108/.
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The thesis contributes to the literature in the following ways: First it contributes to the body of literature by extending our knowledge on the predictive ability of alternative Unconditional methodologies. Second it adds to the body of litareture by providing practical tests so as to assess the performance of Conditional models. Third the thesis extends our knowledge on the sensitivity of utilising different portfolio formation criteria, while testing both Unconditional and Conditional asset pricing inferences. Fourth it contributes to the body of literature by extending our knowledge on Unconditional and Conditional beta models and their comparative performance. Fifth the thesis adds to the existing literature by estimating the Industry cost of capital, using the following different models, Unconditional, Conditional, the Arbitrage Pricing Model and the Capital Asset Pricing model. Thus provides empirical evidence using a practical application, estimation of the Industry cost of capital, of which model provides a better description of UK returns. Chapter 4 introduces the portfolio returns used in the thesis and examines the size, price earnings ratio, dividend yield effect and their interactions. The time-series of the primary portfolios start in 1956 and ends in 1996. We find that for the 1976-1996 period, that the dividend yield and PE effect subsume the size effect. However the PE effect subsumes the dividend yield effect and it is the PE effect that is the most dominant. The best documented of all stock market effects, the small-firm premium went into reverse during 1989-1996. The size effect lives on, but for the latest decade, it is the largest firms that outperform the smallest ones by 10.26% per annum. Chapter 5, which examines Unconditional models, aims to examine the predictive ability of alternative Unconditional methodologies. Another objective that is explored is the sensitivity of results to different grouping techniques, of size; PE ratio and dividend yield portfolio groupings. The third issue examined entails the identification of priced factors in the UK market, over a twenty year of period, (1976-1996), and for a data-set (approximately 6000 companies), which provides a complete history of firms traded on the London Stock exchange, inclusive of Unlisted securities market. We find that that the choice of one methodology over another has important implications and that there is a sensitivity of results to different portfolio groupings. Chapter 6, which examines Conditional models, i. e., conditioned on a set of instrumental variables, models the dynamic behaviour of portfolio returns using a Conditional Asset Pricing Model and examine the behaviour of macroeconomic risk premiums over time. We provide practical tests of Conditional Asset Pricing Models and forecast (i) the sign of the price of risk using the probit model, (ii) the magnitude of the price of risk and (iii) portfolio returns for the size, PE ratio and dividend yield portfolios. We find that the instrumental variables show ability to predict variation of the price of risk of the return on FTSE, S&P 500, unexpected UK stock exchange turnover, change in money supply, imports, inflation and portfolio returns. Chapter 7 compares first Unconditional (constant) and Conditional (time-varying & conditioned on a set of instrumental variables) beta models and second the CAPM and the APM, estimates the industry cost of capital. We find differences, between constant unconditional betas and conditional betas cost of capital. The average Mean Square Error (MSE) for the conditional betas are smaller compared to constant betas. Moreover we find that the CAPM has larger MSE not only compared to the APT model with conditional betas, but with APT with unconditional betas. The Conditional beta model provides the best description of UK returns. We also run Monte Carlo simulations and test the statistical significance of the errors of the Conditional beta model. We find the errors to be statistically insignificant.
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劉伯文 e Pak-man Lau. "Option pricing: a survey". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31977911.
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Ren, Linghui, e 任凌晖. "Transfer pricing in China". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B45157819.
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Romero, Alberto. "Filtering in asset pricing". Thesis, University of British Columbia, 2013. http://hdl.handle.net/2429/45100.
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In the first chapter of this thesis, I propose a nonlinear filtering method to estimate latent processes based on the Taylor series approximations. The filter extends conventional methods such as the extended Kalman filter or the unscented Kalman filter and provides a tractable way to estimate filters of any order. I apply the filter to different models and demonstrate that this method is a good approach for the estimation of unobservable states as well as for parameter inference. I also find that filters with Taylor approximations can be as accurate as conventional Monte Carlo filters and computationally more efficient. Through this chapter I show that filters with Taylor approximations are a good approach for a number of problems in finance and economics that involve nonlinear dynamic modeling.
In the second chapter, I investigate the recently documented, large time-series variation in the empirical market Sharpe ratio. I revisit the empirical evidence and ask whether estimates of Sharpe ratio volatility may be biased due to the limitations of the standard ordinary least squares (OLS) methods used in estimation. Based on simulated data from a standard calibration of the long-run risks model, I find that OLS methods used in prior literature produce Sharpe ratio volatility five times larger than its true variability. The difference arises due to measurement error. To address this issue, I propose the use of filtering techniques that account for the Sharpe ratio's time variation. I find that these techniques produce Sharpe ratio volatility estimates of less than 15% on a quarterly basis, which match more closely the predictions of standard asset pricing models.
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Lowrey, Craig. "Electricity pricing and regulation". Thesis, Brunel University, 1999. http://bura.brunel.ac.uk/handle/2438/7390.
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This work aims to assess the development of competition in the electricity industry of England and Wales, emphasising one of the key elements of the restructured industry, the pool - a centralised day ahead electricity spot market. The pool's structure is examined, along with the relationship that the pool has with the market for electricity forward contracts. However, the key to this work is the relationship between the major electricity generators and the industry's regulator. This is introduced through two theoretical models, and undertaken through a series of econometric models using pool prices, forward prices, electricity demand, and the sharep rices of the major generators: National Power and Powergen. The work tests the hypotheses put forward by Green( 1992) and Helm & Powell (1992) of an inverse relationship between the volume of output that a generator sells forward through contracts and the general level of pool prices. The break-up of the first and second sets of forward contracts - which expired in 1991 and 1993 - and their impact on pool prices are assessed By using the market model, this work examines the impact of a series of both regulatory and nonregulatory events on the share returns of National Power and Powergen. Given the existence of spot and forward markets for electricity, one would expect a relationship between the prices in these markets The relationship is examined for England and Wales by a synthetic data set that approximates the prices at which the contracts were sold. The relationship is then examined using actual and forecast electricity prices for California, this latter analysis forming part of an overview of electricity deregulation in America. Ultimately, this research hopes to add to the growing amount of material on energy privatisation - a topic that continues to promote interest and controversy in academic and industrial circles.
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Armstrong, Mark. "Pricing in multiproduct firms". Thesis, University of Oxford, 1993. http://ora.ox.ac.uk/objects/uuid:3af11153-479b-48b6-a8ea-3aa2318effb6.
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This thesis is a theoretical analysis of optimal pricing by firms when consumer demands are uncertain. The purpose is to extend the familiar literature on single-product nonlinear pricing in two directions: to cases where the firm is regulated and to the case where the firm produces several products. Chapter 1 embeds these problems into the general setting of models of asymmetric information and, as well as covering existing work on the pricing decisions of firms facing adverse selection, discusses other areas including repeated contracts, auctions, signalling and the uses of what is known as the 'first-order approach'. Chapter 2 analyzes nonlinear pricing by a regulated single-product firm. As an alternative to requiring the firm to offer a given linear tariff two different types of regulation which allow nonlinear pricing are considered, namely, average revenue regulation and optional tariff regulation. Chapter 3 introduces the topic of multiproduct pricing when consumers have differing tastes for the various goods. The important simplifying assumption is that consumers wish to buy either one unit of a good or none at all. There are three main results: if consumers' taste parameters are continuously distributed then the firm will not offer all goods to all consumers; in the symmetric two-good case it is shown that (subject to a kind of 'hazard rate' condition) the firm will offer the bundle of two goods at a discount compared with the charge for the two goods separately; and the pricing strategy when the number of goods becomes large is solved approximately. Chapter 4 relaxes the assumption of unit demands and uses differential methods to analyze the multiproduct nonlinear pricing problem. In the symmetric case when taste parameters are continuously distributed the firm will choose to exclude some low-demand consumers from the market. It is shown that when parameters are independently distributed the firm will wish to introduce a degree of cross-dependence into its tariff. Sufficient conditions for a tariff to be optimal are derived and any tariff which satisfies these conditions necessarily will induce 'pure bundling', so that once a consumer decides to participate in the market at all she will choose to buy all goods. A class of cases is solved explicitly using these sufficient conditions. Since other solutions may be hard to solve analytically, a procedure for numerically generating solutions for the two-good case is described and two more solutions are described.
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Hanke, Michael. "Automation and airline pricing". Thesis, Cranfield University, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.285303.
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Scott, Morton Fiona. "Firm pricing and entry". Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/11958.
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Gohil, Rishi. "Water : pricing the priceless". Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/107518.
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Thesis: M. Eng. in Logistics, Massachusetts Institute of Technology, Supply Chain Management Program, 2016.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 62-64).
Unilever, a large multi-national Consumer Packaged Goods (CPG) company, uses water as an essential ingredient in its products and as a critical component in its manufacturing processes. In many instances, the price of water does not reflect market dynamics insofar as water is cheaper where there is low availability and vice versa. Business continuity costs due to poor water quality or water shortages may far outweigh the direct costs that Unilever incurs in purchasing water. Hence, by performing a literature review, numerous interviews with experts and stakeholders and an extensive review of existing water valuation tools, we created a framework that is capable of calculating a comprehensive value of water for any of Unilever's 250+ manufacturing sites based on site-specific conditions. We identified and developed the three core components of our framework, namely: purchase price, processing and handling cost and business disruption cost. Our main contribution is the estimation of a business disruption cost that takes into consideration mitigation options available and a scenario analysis of different water-related events to yield the total value-at-risk. A risk- adjusted value of water would enable Unilever to optimize water use and build resilience within its manufacturing operations by incentivizing water efficiency and catchment-based water stewardship initiatives where they are needed most. As the evaluation of a comprehensive price of water is a complex challenge, this project is a first step towards building a more robust framework. We have listed several recommendations that would strengthen the framework.
by Rishi Gohil and María Carolina Méndndez Vives.
M. Eng. in Logistics
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Gu, Chenchen. "Option Pricing Using MATLAB". Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/382.
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This paper describes methods for pricing European and American options. Monte Carlo simulation and control variates methods are employed to price call options. The binomial model is employed to price American put options. Using daily stock data I am able to compare the model price and market price and speculate as to the cause of difference. Lastly, I build a portfolio in an Interactive Brokers paper trading [1] account using the prices I calculate. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.
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Richards, Darren Glyn. "Pricing American exotic options". Thesis, University of Cambridge, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.624594.
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Lakshmanan, Meenakshi. "Pricing in communication networks". Thesis, University of Cambridge, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.624263.
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