With the development of product development technology and the rapid rise of online retailing, the market competition becomes increasingly fierce. Based on consumer utility function, this article established a two-stage dynamic pricing model and discussed pricing strategies under consumer behavior and market competition. Findings indicate that product quality difference and consumer valuation d...

This paper discusses a new approach to contingent claim valuation in general incomplete market models. We determine the neutral derivative price which occurs if investors maximize their local utility and if derivative demand and supply are balanced. We also introduce the sensitivity process of a contingent claim. This process quantifies the reliability of the neutral derivative price and it can...

We address a method for pricing electricity contracts based on valuation of ability to produce power, which is considered as the true underlying for electricity derivatives. This approach shows that an evaluation of free production capacity provides a framework where a change–of–numeraire transformation converts electricity forward market into the common settings of money market modeling. Using...

return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. using a var-bekk framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillove...

Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the cred...