Combining statistical intervals and market prices: The worst case state price distribution

2019 ◽  
Vol 212 (1) ◽  
pp. 272-285
Author(s):  
Per Aslak Mykland
Keyword(s):  
Worst Case ◽  
Market Prices ◽  
State Price ◽  
Price Distribution

scholarly journals Hedging with Futures and Options under a Truncated Cash Price Distribution

1999 ◽  
Vol 31 (3) ◽  
pp. 449-459 ◽  
Author(s):  
Steven D. Hanson ◽  
Robert J. Myers ◽  
James H. Hilker
Keyword(s):  
Supply And Demand ◽  
Agricultural Producers ◽  
Market Prices ◽  
Basis Risk ◽  
Agricultural Improvement ◽  
Loan Rate ◽  
Price Distribution ◽  
Farm Programs ◽  
Yield Risk ◽  
Futures And Options

AbstractMany agricultural producers face cash price distributions that are effectively truncated at a lower limit through participation in farm programs designed to support farm prices and incomes. For example, the 1996 Federal Agricultural Improvement Act (FAIR) makes many producers eligible to obtain marketing loans which truncate their cash price realization at the loan rate, while allowing market prices to freely equilibrate supply and demand. This paper studies the effects of truncated cash price distributions on the optimal use of futures and options. The results show that truncation in the cash price distribution facing an individual producer provides incentives to trade options as well as futures. We derive optimal futures and options trading rules under a range of different truncation scenarios. Empirical results highlight the impacts of basis risk and yield risk on the optimal futures and options portfolio.

scholarly journals Dynamic Approach for Index Option Pricing Using Different Models

2017 ◽  
Vol 13 (2) ◽  
pp. 105-120
Author(s):  
Prashanta kumar Behera ◽  
Dr Ramraj T Nadar
Keyword(s):  
Option Pricing ◽  
Stock Price ◽  
Option Price ◽  
Pricing Options ◽  
State Price ◽  
Price Distribution ◽  
Historical Distribution ◽  
Risk Neutral ◽  
Risk Neutral Density ◽  
Index Option

Option pricing is one of the exigent and elementary problems of computational finance. Our aims to determine the nifty index option price through different valuation technique.  In this paper, we illustrate the techniques for pricing of options and extracting information from option prices. We also describe various ways in which this information has been used in a number of applications. When dealing with options, we inevitably encounter the Black-Scholes-Merton option pricing formula, which has revolutionized the way in which options are priced in modern time. Black and Scholes (1973) and Merton (1973) on pricing European style options assumes that stock price follows a geometric Brownian motion, which implies that the terminal stock price has a lognormal distribution. Through hedging arguments, BSM shows that the terminal stock price distribution needed for pricing option can be stated without reference to the preference parameter and to the growth rate of the stock. This is now known as the risk-neutral approach to option pricing. The terminal stock price distribution, for the purpose of pricing options, is now known as the state-price density or the risk-neutral density in contrast to the actual stock price distribution, which is sometimes referred to as the physical, objective, or historical distribution.

scholarly journals Pricing Strategy versus Heterogeneous Shopping Behavior under Market Price Dispersion

2016 ◽  
Vol 2016 ◽  
pp. 1-8
Author(s):  
Francisco Álvarez ◽  
José-Manuel Rey ◽  
Raúl G. Sanchis
Keyword(s):  
Market Price ◽  
Shopping Behavior ◽  
Pricing Strategy ◽  
Limited Information ◽  
Market Prices ◽  
Price Distribution ◽  
The Family ◽  
Error Distributions ◽  
Strategy Versus ◽  
Potential Customers

We consider the ubiquitous problem of a seller competing in a market of a product with dispersed prices and having limited information about both his competitors’ prices and the shopping behavior of his potential customers. Given the distribution of market prices, the distribution of consumers’ shopping behavior, and the seller’s cost as inputs, we find the computational solution for the pricing strategy that maximizes his expected profits. We analyze the seller’s solution with respect to different exogenous perturbations of parametric and functional inputs. For that purpose, we produce synthetic price data using the family of Generalized Error Distributions that includes normal and quasiuniform distributions as particular cases, and we also generate consumers’ shopping data from different behavioral assumptions. Our analysis shows that, beyond price mean and dispersion, the shape of the price distribution plays a significant role in the seller’s pricing solution. We focus on the seller’s response to an increasing diversity in consumers’ shopping behavior. We show that increasing heterogeneity in the shopping distribution typically lowers seller’s prices and expected profits.

Mosaic Mapping: A Means of Tiling Images to Shorten Acquisition Speed for Lower - Magnification SEM Images and Wavelength Dispersive Spectrometers (WDS) X-Ray Maps

1996 ◽  
Vol 54 ◽  
pp. 438-439
Author(s):  
J.D. Geller ◽  
C.R. Herrington
Keyword(s):  
Limiting Factors ◽  
X Rays ◽  
Angular Range ◽  
Acceptance Angle ◽  
Sem Images ◽  
Worst Case ◽  
X Ray ◽  
Focusing Distance ◽  
Layered Crystals ◽  
Working Distance

The minimum magnification for which an image can be acquired is determined by the design and implementation of the electron optical column and the scanning and display electronics. It is also a function of the working distance and, possibly, the accelerating voltage. For secondary and backscattered electron images there are usually no other limiting factors. However, for x-ray maps there are further considerations. The energy-dispersive x-ray spectrometers (EDS) have a much larger solid angle of detection that for WDS. They also do not suffer from Bragg’s Law focusing effects which limit the angular range and focusing distance from the diffracting crystal. In practical terms EDS maps can be acquired at the lowest magnification of the SEM, assuming the collimator does not cutoff the x-ray signal. For WDS the focusing properties of the crystal limits the angular range of acceptance of the incident x-radiation. The range is dependent upon the 2d spacing of the crystal, with the acceptance angle increasing with 2d spacing. The natural line width of the x-ray also plays a role. For the metal layered crystals used to diffract soft x-rays, such as Be - O, the minimum magnification is approximately 100X. In the worst case, for the LEF crystal which diffracts Ti - Zn, ˜1000X is the minimum.

Reducing Probabilistic Weather Forecasts to the Worst Case Scenario: Anchoring Effects

2008 ◽  
Author(s):  
Sonia Savelli ◽  
Susan Joslyn ◽  
Limor Nadav-Greenberg ◽  
Queena Chen
Keyword(s):  
Case Scenario ◽  
Worst Case ◽  
Weather Forecasts ◽  
Worst Case Scenario ◽  
Anchoring Effects

Analisis Rantai Nilai Komoditas Cabai Merah

2019 ◽  
Vol 2 (1) ◽  
pp. 336-346
Author(s):  
Dhamon Oridilla B
Keyword(s):  
Distribution Pattern ◽  
Distribution Patterns ◽  
Added Value ◽  
Commodity Chain ◽  
Market Prices ◽  
Data Analyst ◽  
Bargaining Position ◽  
Agricultural Business ◽  
The Government ◽  
Red Peppers

Candi Village in Bandungan District is one of the Chili Supply Sub-district for Semarang Regency and surrounding area has agro-climate suitable for the development of various agricultural commodities supported by wide market opportunity, so it is suitable for agricultural business development. The purpose of this research is to identify the distribution pattern of red pepper, to know each value of commodity chains and distribution, to design alternative distribution pattern of red pepper.Population in this research is 88 respondents from 735 of member of chilli farmer in Desa Candi with total area of 150,3 hectare consisting of rice field, moor and yard. Methods of data analyst using quantitative approach is done by using Margin Marketing Analysis. The results include: (1) The pattern of distribution of existing farming business grows naturally in accordance with the developments and needs of the perpetrators, the actors in this pattern are farmers, wholesalers, collectors, wholesalers, retailers, consumers. (2) The value of the red chili commodity chain in this naturally grown pattern often makes pricing more dominant by traders, so farmers receive prices slightly lower than market prices. (3) Some obstacles faced in distributing red peppers are the difficulty of changing the mindset of the community about advanced farming, this is best utilized by market participants (chain of distribution) who are more informed and always keep abreast of market dynamics. Conventional marketing pattern by farmer cause price level accepted by farmer in general relatively smaller compared to price received by trader. Suggestions shorten the chain of distribution patterns, increase the added value of products and improve the bargaining position of farmers and for the government always guide / accompany farmers in getting accurate market information, which can be used as farmers in bargaining, Increased market transparency can act as a trigger for the functioning of a market, improved competition and increased adaptation to meet the needs of supply and opportunity to compete with market prices. Desa Candi di Kabupaten Bandungan adalah salah satu Kecamatan Penyedia Cabai untuk Kabupaten Semarang dan sekitarnya memiliki agroklimat yang cocok untuk pengembangan berbagai komoditas pertanian yang didukung oleh peluang pasar yang luas, sehingga sangat cocok untuk pengembangan bisnis pertanian. Tujuan dari penelitian ini adalah untuk mengidentifikasi pola distribusi cabai merah, untuk mengetahui masing-masing nilai rantai komoditas dan distribusi, untuk merancang alternatif pola distribusi cabai merah. Populasi dalam penelitian ini adalah 88 responden dari 735 anggota petani cabai di Desa Candi dengan total luas 150,3 hektar yang terdiri dari sawah, tegalan dan pekarangan. Metode analis data menggunakan pendekatan kuantitatif dilakukan dengan menggunakan Analisis Pemasaran Margin. Hasil meliputi: (1) Pola distribusi usaha pertanian yang ada tumbuh secara alami sesuai dengan perkembangan dan kebutuhan pelaku, pelaku dalam pola ini adalah petani, pedagang besar, pengumpul, pedagang besar, pedagang besar, pengecer, konsumen. (2) Nilai rantai komoditas cabai merah dalam pola yang dikembangkan secara alami ini sering membuat penetapan harga lebih dominan oleh para pedagang, sehingga petani menerima harga yang sedikit lebih rendah daripada harga pasar. (3) Beberapa kendala yang dihadapi dalam mendistribusikan paprika merah adalah sulitnya mengubah pola pikir masyarakat tentang pertanian maju, hal ini paling baik digunakan oleh pelaku pasar (rantai distribusi) yang lebih banyak informasi dan selalu mengikuti perkembangan dinamika pasar. Pola pemasaran konvensional oleh petani menyebabkan tingkat harga yang diterima petani pada umumnya relatif lebih kecil dibandingkan dengan harga yang diterima pedagang. Saran mempersingkat rantai pola distribusi, meningkatkan nilai tambah produk dan meningkatkan posisi tawar petani dan bagi pemerintah selalu membimbing / menemani petani dalam mendapatkan informasi pasar yang akurat, yang dapat digunakan sebagai petani dalam tawar-menawar, Peningkatan transparansi pasar dapat bertindak sebagai pemicu berfungsinya pasar, meningkatnya kompetisi dan peningkatan adaptasi untuk memenuhi kebutuhan pasokan dan peluang untuk bersaing dengan harga pasar.

Solar Renewable Energy Credit Price Volatility and Investment Returns: Have Policies Stranded Capital Investment?

Commonwealth ◽  
2017 ◽  
Vol 19 (1) ◽  
Author(s):  
Somayeh Youssefi ◽  
Patrick L. Gurian
Keyword(s):  
Solar Energy ◽  
Capital Investment ◽  
Supply And Demand ◽  
Price Volatility ◽  
The United States ◽  
Investment Model ◽  
Capital Investments ◽  
Demand Model ◽  
Market Prices ◽  
Investment Returns

Pennsylvania is one of a number of U.S. states that provide incentives for the generation of electricity by solar energy through Solar Renewal Energy Credits (SRECs). This article develops a return on investment model for solar energy generation in the PJM (mid-­Atlantic) region of the United States. Model results indicate that SREC values of roughly $150 are needed for residential scale systems to break even over a 25-­year project period at 3% interest. Market prices for SRECs in Pennsylvania have been well below this range from late 2011 through the first half of 2016, indicating that previous capital investments in solar generation have been stranded as a result of steep declines in the value of SRECs. A simple conceptual supply and demand model is developed to explain the sharp decline in market prices for SRECs. Also discussed is a possible policy remedy that would add unsold SRECs in a given year to the SREC quota for the subsequent year.

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