Search results for: pricing

Authors: Ali Safdari-Vaighani

Abstract:

Pricing financial contracts on several underlying assets received more and more interest as a demand for complex derivatives. The option pricing under asset price involving jump diffusion processes leads to the partial integral differential equation (PIDEs), which is an extension of the Black-Scholes PDE with a new integral term. The aim of this paper is to show how basket option prices in the jump diffusion models, mainly on the Merton model, can be computed using RBF based approximation methods. For a test problem, the RBF-PU method is applied for numerical solution of partial integral differential equation arising from the two-asset European vanilla put options. The numerical result shows the accuracy and efficiency of the presented method.

Keywords: basket option, jump diffusion, ‎radial basis function, RBF-PUM

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Authors: V. Benedico, C. Anacleto, A. Bearzi, L. Brice, V. Delahaye

Abstract:

The aim in present paper is to construct an affordable and reliable commodity prices based on a recalculation of its cost through time which allows visualize the potential risks and thus, take more appropriate decisions regarding forecasts. Here attention has been focused on Levy model, more reliable and realistic than classical random Gaussian one as it takes into consideration observed abrupt jumps in case of sudden price variation. In application to Energy Trading sector where it has never been used before, equations corresponding to Levy model have been written for electricity pricing in European market. Parameters have been set in order to predict and simulate the price and its evolution through time to remarkable accuracy. As predicted by Levy model, the results show significant spikes which reach unconventional levels contrary to currently used Brownian model.

Keywords: commodity pricing, Lévy Model, price spikes, electricity market

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Authors: Laxuman Thakuri

Abstract:

Community-based forest management is often glorified as one of the best forest management alternatives in the developing countries like Nepal. It is also believed that the transfer of forest management authorities to local communities is decisive to take efficient decisions, maximize the forest benefits and improve the people’s livelihood. The community forestry of Nepal also aims to maximize the forest benefits; share them among the user households and improve their livelihood. However, how the local communities fix the price of forest products and local pricing made by the forest user groups affects to equitable forest benefits-sharing among the user households and their livelihood improvement objectives, the answer is largely silent among the researchers and policy-makers alike. This study examines local pricing system of forest products in the lowland community forestry and its effects on equitable benefit-sharing and livelihood improvement objectives. The study discovered that forest user groups fixed the price of forest products based on three criteria: i) costs incur in harvesting, ii) office operation costs, and iii) livelihood improvement costs through community development and income generating activities. Since user households have heterogeneous socio-economic conditions, the forest user groups have been applied low pricing strategy even for high-value forest products that the access of socio-economically worse-off households can be increased. However, the results of forest products distribution showed that as a result of low pricing strategy the access of socio-economically better-off households has been increasing at higher rate than worse-off and an inequality situation has been created. Similarly, the low pricing strategy is also found defective to livelihood improvement objectives. The study suggests for revising the forest products pricing system in community forest management and reforming the community forestry policy as well.

Keywords: community forestry, forest products pricing, equitable benefit-sharing, livelihood improvement, Nepal

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Authors: A. Chateauneuf, M. Mostoufi, D. Vyncke

Abstract:

Monte Carlo (MC) simulation is a technique that provides approximate solutions to a broad range of mathematical problems. A drawback of the method is its high computational cost, especially in a high-dimensional setting, such as estimating the Tail Value-at-Risk for large portfolios or pricing basket options and Asian options. For these types of problems, one can construct an upper bound in the convex order by replacing the copula by the comonotonic copula. This comonotonic upper bound can be computed very quickly, but it gives only a rough approximation. In this paper we introduce the Comonotonic Monte Carlo (CoMC) simulation, by using the comonotonic approximation as a control variate. The CoMC is of broad applicability and numerical results show a remarkable speed improvement. We illustrate the method for estimating Tail Value-at-Risk and pricing basket options and Asian options when the logreturns follow a Black-Scholes model or a variance gamma model.

Keywords: control variate Monte Carlo, comonotonicity, option pricing, scientific computing

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Authors: M. Babul Hasan

Abstract:

Management sciences (MS), big group of companies and industries or government policies (GP) is affiliated with a huge number of decision ingredients and complicated restrictions. Every factor in MS, every product in Industries or decision in GP is not always bankable in practice. After formulating these models there arises large-scale mixed integer programming (MIP) problem. In this paper, we developed decomposition-based pricing procedure to filter the unnecessary decision ingredients from MIP where the variables in huge number will be abated and the complicacy of restrictions will be elementary. A real life numerical example has been illustrated to demonstrate the methods. We develop the computer techniques for these methods by using a mathematical programming language (AMPL).

Keywords: Lagrangian relaxation, decomposition, sub-problem, master-problem, pricing, mixed IP, AMPL

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Authors: B. F. Nteumagne, E. Pindza, E. Mare

Abstract:

We apply Lie symmetries analysis to price and hedge options in the fractional Brownian framework. The reputation of Lie groups is well spread in the area of Mathematical sciences and lately, in Finance. In the presence of transactions costs and under fractional Brownian motions, analytical solutions become difficult to obtain. Lie symmetries analysis allows us to simplify the problem and obtain new analytical solution. In this paper, we investigate the use of symmetries to reduce the partial differential equation obtained and obtain the analytical solution. We then proposed a hedging procedure and calibration technique for these types of options, and test the model on real market data. We show the robustness of our methodology by its application to the pricing of digital options.

Keywords: fractional brownian model, symmetry, transaction cost, option pricing

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Authors: Saeed Sayyad Hagh Shomar

Abstract:

Traffic congestion pricing in urban streets is one of the most suitable options for solving the traffic problems and environment pollutions in the cities of the country. Unlike its acceptable outcomes, there are problems concerning the necessity to pay by the mass. Regarding the fact that public response in order to succeed in this strategy is so influential, studying their response and behavior to get the feedback and improve the strategies is of great importance. In this study, a questionnaire was used to examine the public reactions to the traffic congestion pricing schemes at the center of Tehran metropolis and the factors involved in people’s decision making in accepting or rejecting the congestion pricing schemes were assessed based on the data obtained from the questionnaire as well as the international experiences. Then, by analyzing and comparing the schemes, guidelines to reduce public objections to them are discussed. The results of reviewing and evaluating the public reactions show that all the pros and cons must be considered to guarantee the success of these projects. Consequently, with targeted public education and consciousness-raising advertisements, prior to initiating a scheme and ensuring the mechanism of the implementation after the start of the project, the initial opposition is reduced and, with the gradual emergence of the real and tangible benefits of its implementation, users’ satisfaction will increase.

Keywords: demand management, international experiences, traffic congestion pricing, public acceptance, public reactions, public objection

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Authors: Zainab Atia, Hongwei He, Panagiotis Sarantopoulos

Abstract:

Over the past few years, firms have witnessed a massive increase in sophisticated algorithmic deployment, which has become quite pervasive in today’s modern society. With the wide availability of data for retailers, the ability to track consumers using algorithmic pricing has become an integral option in online platforms. As more companies are transforming their businesses and relying more on massive technological advancement, pricing algorithmic systems have brought attention and given rise to its wide adoption, with many accompanying benefits and challenges to be found within its usage. With the overall aim of increasing profits by organizations, algorithmic pricing is becoming a sound option by enabling suppliers to cut costs, allowing better services, improving efficiency and product availability, and enhancing overall consumer experiences. The adoption of algorithms in retail has been pioneered and widely used in literature across varied fields, including marketing, computer science, engineering, economics, and public policy. However, what is more, alarming today is the comprehensive understanding and focus of this technology and its associated ethical influence on consumers’ perceptions and behaviours. Indeed, due to algorithmic ethical concerns, consumers are found to be reluctant in some instances to share their personal data with retailers, which reduces their retention and leads to negative consumer outcomes in some instances. This, in its turn, raises the question of whether firms can still manifest the acceptance of such technologies by consumers while minimizing the ethical transgressions accompanied by their deployment. As recent modest research within the area of marketing and consumer behavior, the current research advances the literature on algorithmic pricing, pricing ethics, consumers’ perceptions, and price fairness literature. With its empirical focus, this paper aims to contribute to the literature by applying the distinction of the two common types of algorithmic pricing, dynamic and personalized, while measuring their relative effect on consumers’ behavioural outcomes. From a managerial perspective, this research offers significant implications that pertain to providing a better human-machine interactive environment (whether online or offline) to improve both businesses’ overall performance and consumers’ wellbeing. Therefore, by allowing more transparent pricing systems, businesses can harness their generated ethical strategies, which fosters consumers’ loyalty and extend their post-purchase behaviour. Thus, by defining the correct balance of pricing and right measures, whether using dynamic or personalized (or both), managers can hence approach consumers more ethically while taking their expectations and responses at a critical stance.

Keywords: algorithmic pricing, dynamic pricing, personalized pricing, price ethicality

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Authors: Rong-Tsorng Wang

Abstract:

In this paper, we derive a pricing formula for catastrophe equity put options (or CatEPut) with non-homogeneous loss and approximated compound distributions. We assume that the loss claims arrival process is a nonhomogeneous Poisson process (NHPP) representing the clustering occurrences of loss claims, the size of loss claims is a sequence of independent and identically distributed random variables, and the accumulated loss distribution forms a compound distribution and is approximated by a heavy-tailed distribution. A numerical example is given to calibrate parameters, and we discuss how the value of CatEPut is affected by the changes of parameters in the pricing model we provided.

Keywords: catastrophe equity put options, compound distributions, nonhomogeneous Poisson process, pricing model

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Authors: Guillaume Leduc

Abstract:

In this paper, we describe a broad setting under which the error of the approximation can be quantified, controlled, and for which convergence occurs at a speed of n⁻¹ for European and American options. We describe how knowledge of the error allows for arbitrarily fast acceleration of the convergence.

Keywords: random walk approximation, European and American options, rate of convergence, option pricing

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Authors: Erindi Allaj

Abstract:

This paper studies arbitrage pricing theory in financial markets with transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded volume. The investors in the market always buy at the ask and sell at the bid price. Transaction costs are composed of two terms, one is able to capture the implicit transaction costs and the other the price impact. Moreover, a new definition of a self-financing portfolio is obtained. The self-financing condition suggests that continuous trading is possible, but is restricted to predictable trading strategies which have left and right limit and finite quadratic variation. That is, predictable trading strategies of infinite variation and of finite quadratic variation are allowed in our setting. Within this framework, the existence of an equivalent probability measure is equivalent to the absence of arbitrage opportunities, so that the first fundamental theorem of asset pricing (FFTAP) holds. It is also proved that, when this probability measure is unique, any contingent claim in the market is hedgeable in an L2-sense. The price of any contingent claim is equal to the risk-neutral price. To better understand how to apply the theory proposed we provide an example with linear transaction costs.

Keywords: arbitrage pricing theory,
transaction costs, fundamental theorems of arbitrage, financial markets

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Authors: Francesco Berald, Yunhui Zhao

Abstract:

The COVID-19 pandemic further extended the multi-year housing boom in advanced economies and emerging markets alike against massive monetary easing during the pandemic. In this paper, we analyze the pricing-out phenomenon in the U.S. residential housing market due to higher house prices associated with monetary easing. We first set up a stylized general equilibrium model and show that although monetary easing decreases the mortgage payment burden, it would raise house prices and lower housing affordability for first-time homebuyers (through the initial housing wealth channel and the liquidity constraint channel that increases repeat buyers’ housing demand), and increase housing wealth inequality between first-time and repeat homebuyers. We then use the U.S. household-level data to quantify the effect of the house price change on housing affordability relative to that of the interest rate change. We find evidence of the pricing-out effect for all homebuyers; moreover, we find that the pricing-out effect is stronger for first-time homebuyers than for repeat homebuyers. The paper highlights the importance of accounting for general equilibrium effects and distributional implications of monetary policy while assessing housing affordability. It also calls for complementing monetary easing with well-targeted policy measures that can boost housing affordability, particularly for first-time and lower-income households. Such measures are also needed during aggressive monetary tightening, given that the fall in house prices may be insufficient or too slow to fully offset the immediate adverse impact of higher rates on housing affordability.

Keywords: pricing-out, U.S. housing market, housing affordability, distributional effects, monetary policy

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Authors: Betul Zehra Karagul

Abstract:

A game consists of strategies that each actor has in his/her own choice strategies, and a game regulates the certain rules in the strategies that the actors choose, express how they evaluate their knowledge and the utility of output results. Game theory examines the human behaviors (preferences) of strategic situations in which each actor of a game regards the action that others will make in spite of his own moves. There is a balance between each player playing a game with the final number of players and the player with a certain probability of choosing the players, and this is called Nash equilibrium. The insurance is a two-person game where the insurer and insured are the actors. Both sides have the right to act in favor of utility functions. The insured has to pay a premium to buy the insurance cover. The insured will want to pay a low premium while the insurer is willing to get a high premium. In this study, the state of equilibrium for insurance pricing was examined in terms of the insurer and insured with game theory.

Keywords: game theory, insurance pricing, Nash equilibrium, utility function

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Authors: Mohammad Saber Rohi, Saghar Heidari

Abstract:

In this paper, we studied the pricing problem of American options under a regime-switching model with the possibility of a non-optimal exercise policy (early or late exercise time) which is called an irrational strategy. For this, we consider a Markovmodulated model for the dynamic of the underlying asset as an alternative model to the classical Balck-Scholes-Merton model (BSM) and an intensity-based model for the irrational strategy, to provide more realistic results for American option prices under the irrational behavior in real financial markets. Applying a partial differential equation (PDE) approach, the pricing problem of American options under regime-switching models can be formulated as coupled PDEs. To solve the resulting systems of PDEs in this model, we apply a finite element method as the numerical solving procedure to the resulting variational inequality. Under some appropriate assumptions, we establish the stability of the method and compare its accuracy to some recent works to illustrate the suitability of the proposed model and the accuracy of the applied numerical method for the pricing problem of American options under the regime-switching model with irrational behaviors.

Keywords: irrational exercise strategy, rationality parameter, regime-switching model, American option, finite element method, variational inequality

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Authors: Madia Safdar, G. Amjad Hussain, Mashhood Ahmad

Abstract:

One of the major challenges of today’s era is peak demand which causes stress on the transmission lines and also raises the cost of energy generation and ultimately higher electricity bills to the end users, and it was used to be managed by the supply side management. However, nowadays this has been withdrawn because of existence of potential in the demand side management (DSM) having its economic and- environmental advantages. DSM in domestic load can play a vital role in reducing the peak load demand on the network provides a significant cost saving. In this paper the potential of demand response (DR) in reducing the peak load demands and electricity bills to the electric users is elaborated. For this purpose the domestic appliances are modeled in MATLAB Simulink and controlled by a module called energy management controller. The devices are categorized into controllable and uncontrollable loads and are operated according to real-time tariff pricing pattern instead of fixed time pricing or variable pricing. Energy management controller decides the switching instants of the controllable appliances based on the results from optimization algorithms. In GAMS software, the MILP (mixed integer linear programming) algorithm is used for optimization. In different cases, different constraints are used for optimization, considering the comforts, needs and priorities of the end users. Results are compared and the savings in electricity bills are discussed in this paper considering real time pricing and fixed tariff pricing, which exhibits the existence of potential to reduce electricity bills and peak loads in demand side management. It is seen that using real time pricing tariff instead of fixed tariff pricing helps to save in the electricity bills. Moreover the simulation results of the proposed energy management system show that the gained power savings lie in high range. It is anticipated that the result of this research will prove to be highly effective to the utility companies as well as in the improvement of domestic DR.

Keywords: controllable and uncontrollable domestic loads, demand response, demand side management, optimization, MILP (mixed integer linear programming)

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Authors: Dai-Ling Li, Jung-Fa Cheng, Min-Lang Huang, Yun-Yao Chi

Abstract:

The hedonic pricing model has been popularly applied to describe the economic value of environmental amenities in urban housing, but the results for cultural heritage variables remain relatively ambiguous. In this paper, integrated variables extending by GIS-based data and an existing typology of communities used to examine how cultural heritage and environmental amenities and disamenities affect housing prices across urban communities in Tainan, Taiwan. The developed models suggest that, although a sophisticated variable for central services is selected, the centrality of location is not fully controlled in the price models and thus picked up by correlated peripheral and central amenities such as cultural heritage, open space or parks. Analysis of these correlations permits us to qualify results and present a revised set of relatively reliable estimates. Positive effects on housing prices are identified for views, various types of recreational infrastructure and vicinity of nationally cultural sites and significant landscapes. Negative effects are found for several disamenities including wasteyards, refuse incinerators, petrol stations and industries. The results suggest that systematic hypothesis testing and reporting of correlations may contribute to consistent explanatory patterns in hedonic pricing estimates for cultural heritage and landscape amenities in urban.

Keywords: hedonic pricing model, cultural heritage, landscape amenities, housing

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Authors: Arlan Zandro Brucal, John Lynham

Abstract:

With the accelerated sea-level rise (SLR) increasingly becoming a concern, demand for coastal management and protection is expected to grow. Among the coastal management and protection methods, building seawalls are among the most controversial due to the negative externalities they impose on beachgoers and neighboring properties. This paper provides estimates of the external cost associated with building seawalls on the island of Oahu in Hawaii. Using hedonic pricing approach on real properties sold between 1980-2010 and aerial photographs of seawalls in 1995, the paper finds that (1) while seawalls do increase the value of protected properties, the share of armored properties appear to be negatively correlated with property sale prices, suggesting that the positive effect of seawalls tend to decline as more and more rely on this coastal management method; and (2) the value of beachfront properties tend to decline as they get approach seawalls. Results suggest that policymakers should devise a policy that would internalize the externalities associated with private-sector adaptation to climate change.

Keywords: private sector climate change adaptation, externalities, sea-level rise, hedonic pricing

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Authors: Salah Alrabeei, Mohammad Yousuf

Abstract:

The goal of option pricing theory is to help the investors to manage their money, enhance returns and control their financial future by theoretically valuing their options. However, most of the option pricing models have no analytical solution. Furthermore, not all the numerical methods are efficient to solve these models because they have nonsmoothing payoffs or discontinuous derivatives at the exercise price. In this paper, we solve the American option under jump diffusion models by using efficient time-dependent numerical methods. several techniques are integrated to reduced the overcome the computational complexity. Fast Fourier Transform (FFT) algorithm is used as a matrix-vector multiplication solver, which reduces the complexity from O(M2) into O(M logM). Partial fraction decomposition technique is applied to rational approximation schemes to overcome the complexity of inverting polynomial of matrices. The proposed method is easy to implement on serial or parallel versions. Numerical results are presented to prove the accuracy and efficiency of the proposed method.

Keywords: integral differential equations, jump–diffusion model, American options, rational approximation

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Authors: Mohan Bikram Thapa

Abstract:

Despite the successful implementation of community forestry program, a number of pros and cons have been raised on Terai community forestry in the case of lowland locally called Terai region of Nepal, which climatically belongs to tropical humid and possessed high-quality forests in terms of ecology and economy. The study aims to investigate the local pricing strategy of forest products and its impacts on equitable forest benefits sharing, the collection of community fund and carrying out livelihood improvement activities. The study was carried out on six community forests revealed that local people have substantially benefited from the community forests. However, being the region is heterogeneous by socio-economic conditions and forest resources have higher economic potential, the decision of low pricing strategy made by the local people have created inequality problems while sharing the forest benefits, and poorly contributed to community fund collection and consequently carrying out limited activities of livelihood improvement. The paper argued that the decision of low pricing strategy of forest products is counterproductive to promote the equitable benefit-sharing in the areas of heterogeneous socio-economic conditions with high-value forests. The low pricing strategy has been increasing accessibility of better off households at a higher rate than poor, as such households always have the higher affording capacity. It is also defective to increase the community fund and carry out activities of livelihood improvement effectively. The study concluded that unilateral decentralized forest policy and decision-making autonomy to the local people seems questionable unless their decision-making capacities are enriched sufficiently. Therefore, it is recommended that empowerments of decision-making capacity of local people and their respective institutions together with policy and program formulation are prerequisite for efficient and equitable community forest management and its long-term sustainability.

Keywords: benefit sharing, community forest, livelihood, pricing mechanism, Nepal

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Authors: Yoke-Mui Lim, Yahaya Ahmad

Abstract:

Conservation works in Malaysia that is procured by public organisation usually follow the traditional approach where the works are tendered based on Bills of Quantities (BQ). One of the purposes of tendering is to enable the selection of a competent contractor that offers a competitive price. While competency of the contractors are assessed by their technical knowledge, experience and track records, the assessment of pricing will be dependent on the tender amount. However, the issue currently faced by the conservation works sector is the difficulty in assessing the competitiveness and reasonableness of the tender amount due to the high variance between the tenders amount. Thus, this paper discusses the factors that cause difficulty to the tenderers in pricing competitively in a bidding exercise for conservation tenders. Data on tendering is collected from interviews with conservation works contractors to gain in-depth understanding of the barriers faced in pricing tenders of conservation works. Findings from the study lent support to the contention that the variance of tender amount is very high amongst tenderers. The factors identified in the survey are the format of BQ, hidden works, experience and labour and material costs.

Keywords: building conservation, Malaysia, bill of quantities, tender

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Authors: Saleh Alzahrani, Halim Boussabaine

Abstract:

Many of Public Private Partnership (PPP) are developed based on a public project is to be awarded to a private party within a one contractual framework. PPP project risks typically include the development and construction of a new asset as well as its operation. Certainly the most severe consequences of risks through the construction period are price and time overruns. These events are among the most generally used situation in value for money analysis risks. The sources of risk change during the time in PPP project. In traditional procurement, the public sector usually has to cover all prices suffering from these risks. At least there is plenty to suggest that price suffering is a norm in some of the projects that are delivered under traditional procurement. This paper will find the impact of exogenous risk factors into actual construction price into PPP projects. The paper will present a brief literature review on PPP risk pricing strategies and then using system dynamics (SD) to analyses of the risks associated with the estimated project price. Based on the finding from these analyses a risk pricing association model is presented and discussed. The paper concludes with thoughts for future research.

Keywords: public private partnership (PPP), risk, risk pricing, system dynamics (SD)

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Authors: Gaosheng Ju

Abstract:

Our empirical evidence supports a model of consumption planning behaviors with the following two characteristics. First, households formulate a rational consumption target based on their desired target, displaying a diminishing sensitivity to the discrepancy between them. Second, the established target is a reference point for their planned consumption. The diminishing sensitivity leads to opposite reactions in higher and lower quantiles of both consumption targets and consumption growth to changes in economic conditions. This phenomenon accounts for the perplexingly low correlation between consumption and other macroeconomic variables. Furthermore, the opposing movements of consumption targets offer new insights into consumption-based asset pricing.

Keywords: consumption planning, reference point, diminishing sensitivity, quantile regression, asset pricing puzzles

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Authors: Lidia Sanchis-Marco, Antonio Rubia, Pedro Serrano

Abstract:

This paper studies the informational content of pricing errors in the term structure of sovereign CDS spreads. The residuals from a non-arbitrage model are employed to construct a Price discrepancy estimate, or noise measure. The noise estimate is understood as an indicator of market distress and reflects frictions such as illiquidity. Empirically, the noise measure is computed for an extensive panel of CDS spreads. Our results reveal an important fraction of systematic risk is not priced in default swap contracts. When projecting the noise measure onto a set of financial variables, the panel-data estimates show that greater price discrepancies are systematically related to a higher level of offsetting transactions of CDS contracts. This evidence suggests that arbitrage capital flows exit the marketplace during time of distress, and this consistent with a market segmentation among investors and arbitrageurs where professional arbitrageurs are particularly ineffective at bringing prices to their fundamental values during turbulent periods. Our empirical findings are robust for the most common CDS pricing models employed in the industry.

Keywords: credit default swaps, noise measure, illiquidity, capital arbitrage

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Authors: Chenhong Peng

Abstract:

Beijing, the capital city of China, is running out of water. The water resource per capita in Beijing is only 106 cubic meter, accounts for 5% of the country’s average level and less than 2% of the world average level. The tension between water supply and demand is extremely serious. For one hand, the surface and ground water have been over-exploited during the last decades; for the other hand, water demand keep increasing as the result of population and economic growth. There is a massive gap between water supply and demand. This paper will focus on addressing the water shortage in Beijing city by increasing water use efficiency in domestic sector. First, we will emphasize on the changing structure of water supply and demand in Beijing under the economic development and restructure during the last decade. Second, by analyzing the water use efficiency in agriculture, industry and domestic sectors in Beijing, we identify that the key determinant for addressing the water crisis is to increase the water use efficiency in domestic sector. Third, this article will explore the two primary causes for the water use inefficiency in Beijing: The ineffective water pricing policy and the poor water education and communication policy. Finally, policy recommendation will offered to improve the water use efficiency in domestic sector by making and implementing an effective water pricing policy and people-engaged water education and communication policy.

Keywords: Beijing, water use efficiency, domestic sector, water pricing policy, water education policy

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Authors: Saleh Alzahrani, Halim Boussabaine

Abstract:

The majority of Public Private Partnership (PPP) are developed based on the rationale that the design, construction, operation, and financing of a public project is to be awarded to a private party within a single contractual framework. PPP project risks normally include the development and construction of a new asset as well as its operation for decades. Undoubtedly the most serious consequences of risks during the construction period are price and time overruns. These events are amongst the most broadly used scenarios in value for money analysis risks. The sources of risk change over the life cycle of a PPP project. In traditional procurement, the public sector normally has to cover all price distress from these risks. At least there is plenty evidence to suggest that price distress is a norm in some of the projects that are delivered under traditional procurement. This paper will find the impact of construction risk factors into actual construction price into PPP projects. The paper will present a brief literature review on PPP risk pricing strategies, and then using system dynamics (SD) to analyses of the risks associated with the estimated project price. Based on the finding from these analyses a risk pricing association model is presented and discussed. The paper concludes with thoughts for future research.

Keywords: Public Private Partnership (PPP), Risk, Risk Pricing, System Dynamics (SD), construction price

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Authors: Manas Shah

Abstract:

Black Scholes option pricing model is one of the most important concepts in modern world of computational finance. However, its practical use can be challenging as one of the input parameters must be estimated; implied volatility of the underlying security. The more precisely these values are estimated, the more accurate their corresponding estimates of theoretical option prices would be. Here, we present a novel model based on Cuckoo Search Optimization (CS) which finds more precise estimates of implied volatility than Particle Swarm Optimization (PSO) and Genetic Algorithm (GA).

Keywords: black scholes model, cuckoo search optimization, particle swarm optimization, genetic algorithm

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Authors: Brent McKenzie, Victoria Taylor

Abstract:

The use of QR (Quick Response Codes) codes for customer scanning with mobile phones is a rapidly growing trend. The QR code can provide the consumer with product information, user guides, product use, competitive pricing, etc. One sector for QR use has been in retail, through the use of Electronic Shelf Labeling (henceforth, ESL). In Europe, the use of ESL for pricing has been in practice for a number of years but continues to lag in acceptance in North America. Stated concerns include costs as a key constraint, but there is also evidence that consumer acceptance represents a limitation as well. The purpose of this study is to present the findings of a consumer based study to gage the impact on their use in the retail food sector.

Keywords: electronic price labels, consumer behaviour, grocery shopping, mixed methods research

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Authors: Samipraj Mishra

Abstract:

Despite the successful implementation of community forestry program, a number of pros and cons have been raised on Terai community forestry in the case of lowland locally called Terai region of Nepal, which is climatically belongs to tropical humid and possessed high quality forests in terms of ecology and economy. The study aims to investigate the local pricing strategy of forest products and its impacts on equitable forest benefit sharing, collection of community fund and carrying out livelihood improvement activities. The study was carried out on six community forests revealed that local people have substantially benefited from the community forests. However, being the region is heterogeneous by socio-economic conditions and forest resources have higher economical potential, the decision of low pricing strategy made by the local people have created inequality problems while sharing the forest benefits, and poorly contributed to community fund collection and consequently carrying out limited activities of livelihood improvement. The paper argued that the decision of low pricing strategy of forest products is counter-productive to promote the equitable benefit sharing in the areas of heterogeneous socio-economic conditions with high value forests. The low pricing strategy has been increasing accessibility of better off households at higher rate than poor; as such households always have higher affording capacity. It is also defective to increase the community fund and carry out activities of livelihood improvement effectively. The study concluded that unilateral decentralized forest policy and decision-making autonomy to the local people seems questionable unless their decision-making capacities are enriched sufficiently. Therefore, it is recommended that empowerment of decision-making capacity of local people and their respective institutions together with policy and program formulation are prerequisite for efficient and equitable community forest management and its long-term sustainability.

Keywords: community forest, livelihood, socio-economy, pricing system, Nepal

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Authors: Laxuman Thakuri

Abstract:

Despite the large number of in-depth case studies focused on policy analysis, institutional arrangement, and collective action of common property resource management; how the local institutions take the pricing decision of forest products in community forest management and what kinds of effects produce it, the answers of these questions are largely silent among the policy-makers and researchers alike. The study examined how the local institutions take the pricing decision of forest products in the lowland community forestry of Nepal and how the decisions affect to equitable distribution of benefits and livelihood improvement which are also objectives of Nepalese community forestry. The study assumes that forest products pricing decisions have multiple effects on equitable distribution and livelihood improvement in the areas having heterogeneous socio-economic conditions. The dissertation was carried out at four community forests of lowland, Nepal that has characteristics of high value species, matured-experience of community forest management and better record-keeping system of forest products production, pricing and distribution. The questionnaire survey, individual to group discussions and direct field observation were applied for data collection from the field, and Lorenz curve, gini-coefficient, χ²-text, and SWOT (Strong, Weak, Opportunity, and Threat) analysis were performed for data analysis and results interpretation. The dissertation demonstrates that the low pricing strategy of high-value forest products was supposed crucial to increase the access of socio-economically weak households, and to and control over the important forest products such as timber, but found counter productive as the strategy increased the access of socio-economically better-off households at higher rate. In addition, the strategy contradicts to collect a large-scale community fund and carry out livelihood improvement activities as per the community forestry objectives. The crucial part of the study is despite the fact of low pricing strategy; the timber alone contributed large part of community fund collection. The results revealed close relation between pricing decisions and livelihood objectives. The action research result shows that positive price discrimination can slightly reduce the prevailing inequality and increase the fund. However, it lacks to harness the full price of forest products and collects a large-scale community fund. For broader outcomes of common property resource management in terms of resource sustainability, equity, and livelihood opportunity, the study suggests local institutions to harness the full price of resource products with respect to the local market.

Keywords: community, equitable, forest, livelihood, socioeconomic, Nepal

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Authors: Pratheeba Subramanian, Anjula Gurtoo, Mary Mathew

Abstract:

Transaction of patents in emerging patent markets is gaining momentum. Pricing patents for a transaction say patent sale remains a challenge. Patents vary in their pricing with some patents fetching higher prices than others. Sale of patents in portfolios further complicates pricing with multiple patents playing a role in pricing a bundle. In this paper, a set of 138 US patents sold individually as single invention lots and 462 US patents sold in bundles of 120 portfolios are investigated to understand the dynamics of selling prices of singletons and portfolios and their determinants. Firstly, price variations when patents are sold individually as singletons and portfolios are studied. Multivariate statistical techniques are used for analysis both at the lot level as well as at the individual patent level. The results show portfolios fetching higher prices than singletons at the lot level. However, at the individual patent level singletons show higher prices than per patent price of individual patent members within the portfolio. Secondly, to understand the price determinants, the effect of patent, seller, and bundling related characteristics on selling prices is studied separately for singletons and portfolios. The results show differences in the set of characteristics determining prices of singletons and portfolios. Selling prices of singletons are found to be dependent on the patent related characteristics, unlike portfolios whose prices are found to be dependent on all three aspects – patent, seller, and bundling. The specific patent, seller and bundling characteristics influencing selling price are discussed along with the implications.

Keywords: auction, patents, portfolio bundling, seller type, selling price, singleton

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