Mean-reverting stock model and pricing rules for Asian currency option

2018 ◽  
Vol 34 (6) ◽  
pp. 4261-4268 ◽  
Author(s):  
Yuhong Sheng ◽  
Gang Shi
Keyword(s):  
Currency Option ◽  
Pricing Rules ◽  
Stock Model

scholarly journals Shadow pricing rules for partially traded goods

1996 ◽  
Vol 11 (3) ◽  
pp. 169-182 ◽  
Author(s):  
Elio Londero
Keyword(s):  
Traded Goods ◽  
Shadow Pricing ◽  
Pricing Rules

scholarly journals Pricing Unbundled Network Elements and the FCC's TELRIC Rule: Economic and Modeling Issues

2002 ◽  
Vol 1 (2) ◽  
Author(s):  
Timothy J. Tardiff
Keyword(s):  
Incremental Cost ◽  
Fundamental Question ◽  
Network Industries ◽  
Operating Environment ◽  
Capital Equipment ◽  
Competitive Network ◽  
Long Run ◽  
Pricing Rules ◽  
Asset Values ◽  
Competitive Outcomes

This paper addresses the fundamental question of what costs and prices would look like under competitive conditions and how close the FCC's total element long-run incremental cost (TELRIC) pricing rules allow one to approximate such competitive outcomes. We consider: what types of firms would enter in competitive network industries, what effect would new entry have on the asset values and prices of incumbent firms, and what impact would competition have on (1) the types and vintages of capital equipment, (2) prices for that equipment, and (3) conditions in the operating environment? The paper concludes by highlighting alternative pricing proposals offered by contending parties and identifying the major drivers that explain what have proven to be large differences among competing proposals.

scholarly journals Modeling Volatility in Foreign Currency Option Pricing

2009 ◽  
Vol 13 (3/4) ◽  
pp. 189-208 ◽  
Author(s):  
Ariful Hoque ◽  
◽  
Felix Chan ◽  
Meher Manzur ◽  
◽  
...  
Keyword(s):  
Option Pricing ◽  
Foreign Currency ◽  
Currency Option ◽  
Modeling Volatility ◽  
Currency Option Pricing
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