• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.685-695
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• 2021

This study explores the impact of stochastic volatility in option pricing. To be more specific, we compare the option pricing performance between stochastic volatility option pricing model, namely, Heston option pricing model and standard Black-Scholes option pricing. Our finding, based on the market price of SET50 index option between May 2011 and September 2020, demonstrates stochastic volatility of underlying asset return for all level of moneyness. We find that both deep in the money and deep out of the money option exhibit higher volatility comparing with out of the money, at the money, and in the money option. Hence, our finding confirms the existence of volatility smile in Thai option markets. Further, based on calibration technique, the Heston option pricing model generates smaller pricing error for all level of moneyness and time to expiration than standard Black-Scholes option pricing model, though both Heston and Black-Scholes generate large pricing error for deep-in-the-money option and option that is far from expiration. Moreover, Heston option pricing model demonstrates a better pricing accuracy for call option than put option for all level and time to expiration. In sum, our finding supports the outperformance of the Heston option pricing model over standard Black-Scholes option pricing model.

• The Transactions of The Korean Institute of Electrical Engineers
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• 제63권7호
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• pp.889-895
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• 2014

Korea electric power industry had been under vertical monopoly but is typically getting restructured for free competition. An ideal pricing system under the competitive market system is 'unbundled pricing system' and 'marginal pricing system', but the current pricing system still adheres to the traditional bundled system and the average cost pricing system. Especially, progressive electricity rates for residential use reflect governmental policy-making which is focused on income redistribution & welfare, industrial supports and energy saving. This study proposes new and reasonable residential electricity pricing systems which are Time-Of-Use (TOU) and Real-Time Pricing (RTP) to reflect variations in the wholesale price of electricity. It also presents examples of various tariffs for residential electricity pricing systems.

• Journal of the Korean Institute of Gas
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• 제2권3호
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• pp.18-24
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• 1998

This paper attempts to improve domestic natural gas pricing system, thereby optimizing social welfare. This is done by deriving theoretical frameworks of natural gas pricing, which make use of both Ramsey component pricing rule and Efficient component pricing rule based on the theory of marginal cost. Allocative efficiency and social welfare between gas prices derived from the three pricing mechanism, present Cost-based pricing, Ramsey component pricing rule and Efficient component pricing rule, are analysed and compared in the case study. For the city gas, allocative efficiency of Cost-based pricing is higher than that of Ramsey component pricing rule and Efficient component pricing rule. In contrast, for the natural gas consumed for power generation, allocative efficiency of Cost-based pricing is lower than the other two pricing systems. It also turns out that social welfare is improved by the prices driven from Ramsey component pricing rule and Efficient component pricing rule rather than present Cost-based pricing.

• Health Policy and Management
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• 제18권3호
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• pp.128-146
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• 2008

Nonlinear pricing abounds in practice because it is a potentially powerful pricing method to explore consumer surplus. The various forms of nonlinear pricing are feasible within a given industry. In this context, it is important for manufacturers and retailers to understand which nonlinear pricing scheme is appropriate to apply in their specific situation and which nonlinear pricing schedule is the most profitable in their market situation. Although the merits of nonlinear pricing are well documented, the attempt to apply nonlinear pricing in medical service has been relatively rare. The researcher aims to try to full this gap by applying a practice-oriented simulation model to health examination data. We compare the sales volumes among nonlinear pricing scheme such as n-block tariff, two-part tariff, and uniform pricing. We found that n-block tariff outperforms two-part tariff and uniform pricing.

• East Asian Journal of Business Economics (EAJBE)
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• 제9권4호
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• pp.93-102
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• 2021

Purpose - Among the various pricing approaches used to set fares for express trains, this study explores a method of utilizing a customer-based pricing approach. The purpose of this study is to figure out how to apply the customer-based pricing approach to fares of new railway services using express trains. Research design, data, and methodology - This study was conducted through a literature review and case studies. In the literature review, we examined three approaches, focusing on the customer-based pricing approach and its application. In the case studies, we show how a customer-based pricing approach can be applied to determining the fares for railway services. Result - Some studies have used a customer-based pricing approach to set railway service rates, adapting the concepts of customer-based pricing such as demand, elasticity, value and willingness to pay. When setting fares of new railway services, it is recommended to use the customer-based approach in conjunction with other pricing approaches. Conclusion - This study demonstrates that a customer-based pricing approach is a promising tool in making decisions on railway fares. By applying a customer-based pricing approach to fares for new railway services using express trains, railway operators can utilize new service rates and increase the profitability of the railway business.

• Journal of the Korean Operations Research and Management Science Society
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• 제34권4호
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• pp.123-138
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• 2009

This study examined the first- and second-best pricing by stable dynamics in congested transportation networks. Stable dynamics, suggested by Nesterov and de Palma (2003), is a new model which describes and provides a stable state of congestion in urban transportation networks. The first-best pricing in user equilibrium models introduces user-equilibrium in the system-equilibrium by tolling the difference between the marginal social cost and the marginal private cost on each link. Nevertheless, the second-best pricing, which levies the toll on some, but not all, links, is relevant from the practical point of view. In comparison with the user equilibrium model, the stable dynamic model provides a solution equivalent to system-equilibrium if it is focused on link flows. Therefore the toll interval on each link, which keeps up the system-equilibrium, is more meaningful than the first-best pricing. In addition, the second-best pricing in stable dynamic models is the same as the first-best pricing since the toll interval is separately given by each link. As an effect of congestion pricing in stable dynamic models, we can remove the inefficiency of the network with inefficient Braess links by levying a toll on the Braess link. We present a numerical example applied to the network with 6 nodes and 9 links, including 2 Braess links.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제14권4호
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• pp.249-273
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• 2010

Often in practice, the implied volatility of an option is calculated to find the option price tomorrow or the prices of, nearby' options. To show that one does not need to adhere to the Black- Scholes formula in this scheme, Figlewski has provided a new pricing formula and has shown that his, alternating passive model' performs as well as the Black-Scholes formula [8]. The Figlewski model was modified by Henderson et al. so that the formula would have no static arbitrage [10]. In this paper, we show how to construct a huge class of such static no arbitrage pricing functions, making use of distortions, coherent risk measures and the pricing theory in incomplete markets by Carr et al. [4]. Through this construction, we provide a more elaborate static no arbitrage pricing formula than Black-Sholes in the above scheme. Moreover, using our pricing formula, we find a volatility curve which fits with striking accuracy the synthetic data used by Henderson et al. [10].

• KSII Transactions on Internet and Information Systems (TIIS)
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• 제15권8호
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• pp.3068-3085
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• 2021

The economics of big data knowledge, especially cloud computing and statistical data of consumer preferences, has attracted increasing academic and industry practitioners' attention. Firms nowadays require purchasing not only external private patent knowledge from other firms, but also proprietary big data knowledge to support their new product development. Extant research investigates pricing strategies of external private patent knowledge and proprietary big data knowledge separately. Yet, a comprehensive investigation of pricing strategies of these two types of knowledge is in pressing need. This research constructs an overarching pricing model of external private patent knowledge and proprietary big data knowledge through the lens of firm profitability as a knowledge transaction recipient. The proposed model can help those firms who purchase external knowledge choose the optimal knowledge structure and pricing strategies of two types of knowledge, and provide theoretical and methodological guidance for knowledge transaction recipient firms to negotiate with knowledge providers.

• The Journal of Korean Institute of Communications and Information Sciences
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• 제33권5B호
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• pp.334-343
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• 2008

In this work we propose a universal pricing machine, which incorporates a universal pricing framework for the future IEEE802.16 WiMAX service with multiple classes of service. A multimedia service is provided by a QoS provisioning scheme in the WiMAX network and universal pricing means that it can compute the price for any type of service in a unified framework. In the proposed pricing framework we incorporate multiple types of services such as the real time and nonreal time services that are supposed to be provided in the WiMAX network. To that purpose, let us first carry out an analysis on the current pricing scheme of Korean WiMAX service which incorporates only the data size. From that analysis we propose a new pricing scheme for the future WiMAX service that provides different service classes in the network. Via numerical experiment, we verify the implication of the work.

• Asia-Pacific Journal of Business
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• 제10권4호
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• pp.197-204
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• 2019

The transfer pricing mechanism is a tool commonly used to transfer the tax base from countries with high taxation in countries with low taxation. In many countries, this financial operations generate significant tax revenue losses. In an attempt to limit tax revenue losses, many public authorities have introduced regulations on transfer pricing, but the effectiveness of these rules has proved limited, and they contributed to the increasing complexity of tax laws and to the appearance of additional costs for companies. Historically, transfer pricing (TP) was not a substantial issue in Mongolia. The tax legislation contains basic TP rules, but there is limited guidance and enforcement in practice. At the moment, Mongolian tax authorities are not conducting specific transfer pricing audits. Nevertheless, tax authorities are starting to pay more attention to transactions between related parties and potential transfer pricing adjustments. This study examines a transfer pricing regulations of Mongolia.