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Trading Pricing Model
Pricing is an important component of trading decision-making. Through pricing, trading agents aim to achieve their decision-making goal of maximizing...
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Pricing of Vulnerable Timer Options
First introduced by Société Générale Corporate and Investment Banking in 2007, timer options are financial instruments whose payoffs rely on a random...
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Machine Learning Solutions for Fast Real Estate Derivatives Pricing
The rapid development of machine learning provides new ideas to solve the challenges in pricing financial derivatives, which remains a major obstacle...
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Pricing Fade-in Options Under GARCH-Jump Processes
In this paper, we investigate fade-in options under GARCH-jump processes. Specifically, we adopt NIG distributions to capture jump risk, and both...
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Pricing Strategies and Partial Privatization Policy
This study examines whether discriminatory or uniform pricing is socially preferable in the context of introducing partial privatization: where a...
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Option Pricing Based on the Residual Neural Network
We employ an innovative deep learning method to price options quickly and accurately. Specifically, we construct the Residual Neural Network model...
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Marginal pricing equilibrium with externalities in Riesz spaces
The purpose of this paper is to prove the existence of a marginal pricing economic equilibrium in presence of increasing returns and externalities in...
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Dynamic Modeling and Simulation of Option Pricing Based on Fractional Diffusion Equations with Double Derivatives
The work adopts Caputo fractional derivative, conformable fractional derivative and local fractional derivative to study option pricing problems in...
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Equilibrium asset pricing with short rate risk
I study the exact percentage price reaction (in absolute value) to changes in the short rate for long-lived assets in a tractable long-run risk...
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Optimal coordinated congestion pricing for multiple regions: a surrogate-based approach
Congestion pricing is one of the efficient travel demand management strategies. Many existing researches focus on dealing with the toll optimization...
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The Revenue Impact of Differential Seat Pricing and Competition in the Movie Theater Market
This study empirically investigates the revenue return to differential seat pricing in the Korean movie theater market and how it is affected by...
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Pricing in firm-to-firm trade: evidence from a Danish multinational
We study pricing decisions in firm-to-firm trade. Using novel detailed transaction-level data from a Danish multinational firm, we uncover...
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InterFuel Competition as a Factor in the Evolution of Natural Gas Pricing in Europe
AbstractThe exceptionally high volatility of exchange prices on European trading floors reduces the investment attractiveness of the gas industry....
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Ramsey pricing: a simple example of a subordinate commodity
We present preferences exhibiting a so-called subordinate good, namely a commodity such that the willingness to pay for it increases when the...
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Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model
In this paper we develop a closed-form spread option pricing formula based on Gauss-Hermite quadrature (GHQ) and show that the proposed method is a...
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Location and Price Competition on a Uniform Path with Different Pricing Policies
This paper models duopolistic competition between an online retailer and a physical store retailer with the online retailer modelled as a firm with...
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A parking pricing scheme considering parking dynamics
Powerful parking management approaches are vital in metropolitan areas where parking resource is limited and congestion is severe. To date, parking...
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The effects of downstream entry in a vertical mixed oligopoly: the role of input pricing
We study the effects of downstream entry in a vertical mixed oligopoly where a privatized upstream firm supplies a common input to asymmetric...
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Pricing Convertible Bonds with the Penalty TF Model Using Finite Element Method
In this paper, we discuss finite element methods (FEM) for solving numerically the so-called TF model, a PDE-based model for pricing convertible...
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Common ownership in a delivered pricing duopoly
This study investigates how common ownership affects the location choice of duopolists. We formulate a ship** (delivered pricing) model on the...
