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Implementing a stochastic model for oil futures prices
(ELSEVIER SCIENCE BV, 2003)
This paper develops a parsimonious three-factor model of the term structure of oil futures prices that can be easily estimated from available futures price data. In addition, it proposes a new simple spreadsheet implementation ...
Pricing Derivatives Securities with Prior Information on Long- Memory Volatility
(Centro de Investigación y Docencia Económicas, A.C., 2003)
Contingent Preannounced Pricing Policies with Strategic Consumers
(Informs, 2016)
Companies in diverse industries must decide the pricing policy of their inventories over time. This decision becomes
particularly complex when customers are forward looking and may defer a purchase in the hope of future ...
Close form pricing formulas for Coupon Cancellable CoCos
(Elsevier Science Bv, 2014-05)
Contingent Convertibles ('CoCos') are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called death-spiral effect: ...
An N-factor Gaussian model of oil futures prices
(JOHN WILEY & SONS INC, 2006)
This article studies the ability of an N-factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches ...
Term-structure estimation in markets with infrequent trading
(WILEY-BLACKWELL, 2007)
There are two issues that are of central importance in term-structure analysis. One is the modelling and estimation of the current term structure of spot rates. The second is the modelling and estimation of the dynamics ...
The Value of Observing the Buyer Arrival Time in Dynamic Pricing
(2020)
We consider a dynamic pricing problem where a firm sells one item to a single buyer in order to maximize expected revenues. The firm commits to a price function over an infinite horizon. The buyer arrives at some random ...
The price of a threat: how social identity threat influences price sensitivity
(2018-09-18)
Traditional economic theory suggests that poor consumers are consistently more price sensitive than their wealthier counterparts. Recent research, however, indicates that various economic-related burdens, such as the cost ...