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

• 전기학회논문지
• /
• 제63권7호
• /
• pp.889-895
• /
• 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.

• 한국가스학회지
• /
• 제2권3호
• /
• pp.18-24
• /
• 1998

본 연구에서는 한계비용 이론에 바탕을 둔 램지가격결정방식과 효율적요소가격결정방식을 이용하여 천연가스 가격체계의 이론적 모형을 도출함으로써 사회후생의 최적화를 달성하기 위한 국내 가스가격결정방식의 개선방향을 제시하였다. 사례연구를 통하여 국내 가스산업의 현행 원가보상방식, 램지가격결정방식과 효율적요소가격결정방식에 의한 가격간에 배분효율성과 사회후생을 비교 분석하였다. 배분효율성은 도시가스용의 경우에 원가보상방식이 램지가격결정방식 및 효율적요소가격결정방식에 비하여 높게 나타났으나, 발전용의 경우는 원가보상방식이 두 방식에 비하여 낮음을 알 수 있었다. 반면에 사회후생효과는 현행의 원가보상에 의한 가격결정방식보다 램지가격결정방식과 효율적요소가격결정방식을 적용하는 것이 보다 더 향상되는 것으로 나타났다.

• 보건행정학회지
• /
• 제18권3호
• /
• pp.128-146
• /
• 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.

• 동아시아경상학회지
• /
• 제9권4호
• /
• pp.93-102
• /
• 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 Society for Industrial and Applied Mathematics
• /
• 제14권4호
• /
• pp.249-273
• /
• 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].

• 한국기술혁신학회:학술대회논문집
• /
• 한국기술혁신학회 2001년도 추계학술대회
• /
• pp.3-17
• /
• 2001

In this paper, we compare the market performances under circuit pricing whereby users are charged based on their length of usage time and under packet pricing whereby users are charged based on the amount of information received. We show that, if packet pricing is introduced, the market price rises contrary to the government's expectation but that the overall social welfare is unambiguously increased because packet pricing reflects the social cost properly while circuit pricing does not. Also, we show that, if delivery of multi-media files requires a much higher speed, a move to packet pricing lowers the price of multi-media transmission, thereby increasing the usage of multimedia data in the absence of congestion, which may not be the case in the presence of congestion.

• 한국경영과학회지
• /
• 제34권4호
• /
• pp.123-138
• /
• 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.

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

• 대한전기학회:학술대회논문집
• /
• 대한전기학회 2003년도 하계학술대회 논문집 A
• /
• pp.624-626
• /
• 2003

Transmission pricing is one of important issues related to competitive electricity markets since rational pricing scheme ensures a fair competition between this market participants. Transmission pricing scheme is classified briefly into marginal cost pricing and embedded cost pricing. In economic efficiency, marginal cost pricing is more adequate for competitive electricity market. However, this pricing scheme requires revenue reconciliation since it cannot ensure full recovery of Transco's revenue requirements. This paper presents a new revenue reconciliation to maximize social welfare. For this analysis, this paper provides the results applied by various revenue reconciliation methodologies.