Social Cost Pricing when Public Transport is an Option Value

Option Pricing when Underlying Process is Unknown

This paper proves that a simultaneously delta-neutral and gamma-neutral position can be established with the underlying asset and two options on the same asset, without any assumption on the underlying process of the asset price. This hedging strategy leads to the same fundamental partial differential equation as derived by Black and Scholes (1973), except that the variance function is the mark...

Optimal public transport pricing: Flat pricing vs. user-specific marginal social cost charging

Optimal Public Transport Pricing: Towards an Agent-based Marginal Social Cost Approach

In this paper, marginal cost-pricing rules are applied to an agent-based model. User-specific optimal bus fares are estimated by simulating user interactions at a microscopic level. We consider external effects of prolonged in-vehicle and waiting times (including the effect of full buses on boarding denials) induced by passengers boarding vehicles. We give a new-look to the relationship between...

INSURANCE VALUE OF INTERNATIONAL RESERVES An Option Pricing Approach

A quantitative framework is developed to bring forward the insurance motive for holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides the same insurance coverage as the reserves. This quantitative framework is applied to calculating the cost of a regional insurance arrangement (e.g. an Asian Monetary Fund) and to ...

When Waiting is not an Option : Learning Options with a Deliberation Cost

Recent work has shown that temporally extended actions (options) can be learned fully end-to-end as opposed to being specified in advance. While the problem of how to learn options is increasingly well understood, the question of what good options should be has remained elusive. We formulate our answer to what good options should be in the bounded rationality framework (Simon, 1957) through the...