High-frequency trading and automated algorithm impose high requirements on computational methods. We provide a model-free option pricing approach with neural networks, which can be applied to real-time pricing and hedging of FX options. In contrast to well-known theoretical models, an essential advantage of our approach is the simultaneous pricing across different strike prices and parsimonious...

In this paper we explore the possibility, heretofor unexplored in the marketing literature, that firms “invest funds” in their pricing processes. This builds on some of the recent economic work on the costs of price adjustment. To do this we undertook a two-year, cross-disciplinary, ethnographic study on the nature of investments made by senior managers to enhance the effectiveness of the prici...

The use of time-inhomogeneous additive processes in option pricing has become increasingly popular in recent years due to the ability of these models to adequately price across both strike and maturity with relatively few parameters. In this paper we use the property of selfsimilarity to construct two classes of models whose time one distributions agree with those of prespecified Lévy processes...

We investigate intermediary asset pricing theories empirically and find strong support for intermediary book leverage as the relevant state variable. A parsimonious dynamic pricing model that uses detrended broker-dealer leverage as a price of risk variable, and innovations to broker-dealer leverage as pricing factor is shown to perform well in time series and cross sectional tests of a wide va...

This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan’s GARCH option models where conditional returns are constrained to being normal, as well as extends Merton’s jump-diffusion model by allowing return volatility to exhibit GARCH-like behavior. Empirical analysis on the S&P 500 index r...

Congestion pricing is one of the major travel demand management policies to reduce traffic volumes in metropolitans. One of the main factors for effective implementation of this policy is to analyze users' response to different toll rates. In this paper, the willingness of users to pay for using their personal cars is evaluated. The stated preference method was applied for data gathering. Sever...

A medium-sized west-European telecom company experienced a worsening trend in performance, indicating that the organization did not learn from history, in combination with much time and energy spent on preparation and review of project proposals. In order to create more transparency in the supplier proposal process a pilot was started on Functional Size Measurement pricing (FSM-pricing). In thi...

My results suggest that the primary role of performance pricing in bank debt contracts is to delay costly renegotiation. This effect is concentrated in long-term loans, indicating that the renegotiation reduction benefits of pricing grids are larger for long maturities. For instance, a five-year loan with a pricing grid is refinanced for pricing-related reasons on average a year later than a si...

Option pricing is the the core content of modern finance. American option is widely accepted by investors for its flexibility of exercising time. In this paper, American option pricing formula is calculated for uncertain financial market and some mathematical properties of them are discussed. In addition, some examples are proposed. keywords: finance, uncertain process, option pricing