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This article studies four transform pricing methods in the context of general equilibrium (GE) framework. The four … methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular … among actuarial literature and practice. The transform pricing methods offer a convenient solution to contingent claim …
Persistent link: https://www.econbiz.de/10008987668
This article studies four transform pricing methods in the context of general equilibrium (GE) framework. The four … methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular … among actuarial literature and practice. The transform pricing methods offer a convenient solution to contingent claim …
Persistent link: https://www.econbiz.de/10013148085
This article studies four transform pricing methods in the context of general equilbrium (GE) framework. The four … methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular … among actuarial literature and practice. The transform pricing methods offer a convenient solution to contingent claim …
Persistent link: https://www.econbiz.de/10014196557
We calculate the American local volatility. New insights on the American vanilla, call and put options in this paper are presented. In particular, the sensitivities of these products to the local volatility surface are illustrated. The Automatic Algorithmic Differentiation (AAD) pseudo code is...
Persistent link: https://www.econbiz.de/10013073621
Analyzing price data from sequential German electricity markets, namely the day-ahead and intraday auction, a puzzling but apparently systematic pattern of price premiums can be identified. The price premiums are highly correlated with the underlying demand profile. As there is evidence that...
Persistent link: https://www.econbiz.de/10011750488
Persistent link: https://www.econbiz.de/10015445314
Persistent link: https://www.econbiz.de/10015047762
We investigate pricing strategies based on yield management systems (YMS), such as early discounting, overbooking and …
Persistent link: https://www.econbiz.de/10014046932
We study the problem of a retailer that maximizes profit through joint replenishment, pricing and removal decisions …
Persistent link: https://www.econbiz.de/10012949863
during a finite selling season and fulfills orders through multiple fulfillment centers. The e-tailer faces a Joint Pricing … every period. An important feature of the second heuristic is that it decouples the pricing and fulfillment decisions …
Persistent link: https://www.econbiz.de/10012969701