A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b± : [0, T ]→R+ have been hit during the time interval [0, T ]. Using a probabilistic approach, we obtain a decomposition of the barrier option price into the corresponding European option price minus the barrier premium for a w...

In this thesis I discuss the method of time-change and its applications in quantitative finance. I mainly consider the time change by writing a continuous diffusion process as a Brownian motion subordinated by a subordinator process. I divide the time change method into two cases: deterministic time change and stochastic time change. The difference lies in whether the subordinator process is a ...

The aim of this paper is to study the impact of various sources of uncertainty on the pricing of a special longevity–based instrument: a q-forward contract. At the expiry of a q-forward contract, the realized mortality rate for a given population is exchanged in return for a fixed (mortality) rate that is agreed at the initiation of the contract. Pricing a q-forward involves determining this fi...

We compare the option pricing formulas of Louis Bachelier and Black-Merton-Scholes and observe – theoretically and by typical data – that the prices coincide very well. We illustrate Louis Bachelier’s efforts to obtain applicable formulas for option pricing in pre-computer time. Furthermore we explain – by simple methods from chaos expansion – why Bachelier’s model yields good short-time approx...

This study examines the relationship between above-market price (or overpricing), along with various housing attributes, and time on the market (TOM). The study covers nearly 4,000 transactions of marketed domestic units of different living tenures, flat sizes, price ranges, and other physical characteristics in the Hong Kong residential property market. The results show that factors such as th...

Online publishers rely on real-time bidding (RTB) markets to sell their remnant inventory and increasingly to command higher prices for “premium” content. However, content providers have lagged advertisers historically in the sophistication of their pricing models, as evidenced by the large increase in demand-side platforms without corresponding investment on the sell-side. Informed advertisers...

The extent to which society benefits from an upgrade to a telecommunications network infrastructure depends on when that upgrade occurs. This paper discusses a proactive pricing approach in which the regulator defines a pricing policy to induce a profit-seeking monopoly carrier to upgrade the infrastructure at the socially desirable time. We discuss how the regulator can determine the optimal t...

Drivers in urban neighborhoods who patrol streets, seeking inexpensive on-street parking create a significant fraction of measured traffic congestion. The pool of drivers patrolling at any time can be modeled as a queue, where ‘queue service’ is the act of parking in a recently vacated parking space and queue discipline is SIRO – Service In Random Order. We develop a queueing model of such driv...

Objective: The main objective of this research is to explain the accrual anomaly using accruals factor (CMA) and accrual-based factor-mimicking portfolios as well as checking whether accrual anomaly is risk-based or mispricing. According to rational frictionless asset pricing model, the ability of accruals to predict returns should come from the loadings on this accrual factor loading that pred...