Greek milk price decomposition

2020 ◽  
Vol 9 (1/2) ◽  
pp. 55
Author(s):  
Dikaios Tserkezos ◽  
Fotios Symeonidis
Keyword(s):  
Price Decomposition

Taxi planning: Branch and price decomposition

2018 ◽  
Vol 233 (9) ◽  
pp. 3395-3407
Author(s):  
Luís C Ibanez ◽  
Angel G Marín
Keyword(s):  
Flow Model ◽  
Real Data ◽  
Multicommodity Flow ◽  
Planning Problem ◽  
Branch And Price ◽  
Routing And Scheduling ◽  
Flow Capacity ◽  
Price Decomposition ◽  
Aircraft Routing And Scheduling ◽  
Model Structures

Taxi planning problem studies aircraft routing and scheduling on the airport ground. Taxi planning has been formulated using a binary multicommodity flow model in a space-time airport network. The flow capacity constraints are used to represent the conflicts among aircraft, given an airport’s capacity. Branch and price methodology has been adapted to take advantage of the integer model structures. The computational tests have been run with real data from Adolfo Suárez Madrid-Barajas airport. The tests were oriented toward comparing the new adapted branch and price with the classic Branch and Bound algorithm, trying to obtain conclusions that are useful for airport managers.

scholarly journals Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications

2017 ◽  
Vol 2017 ◽  
pp. 1-16
Author(s):  
Raúl Merino ◽  
Josep Vives
Keyword(s):  
Implied Volatility ◽  
Option Price ◽  
Model Parameters ◽  
Numerical Comparison ◽  
Cev Model ◽  
Volatility Models ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Volatility Surface ◽  
Price Decomposition

We obtain a Hull and White type option price decomposition for a general local volatility model. We apply the obtained formula to CEV model. As an application we give an approximated closed formula for the call option price under a CEV model and an approximated short term implied volatility surface. These approximated formulas are used to estimate model parameters. Numerical comparison is performed for our new method with exact and approximated formulas existing in the literature.

scholarly journals Greek milk price decomposition

2020 ◽  
Vol 9 (1/2) ◽  
pp. 55
Author(s):  
Fotios Symeonidis ◽  
Dikaios Tserkezos
Keyword(s):  
Price Decomposition

scholarly journals A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models

2015 ◽  
Vol 2015 ◽  
pp. 1-11 ◽  
Author(s):  
Raúl Merino ◽  
Josep Vives
Keyword(s):  
Stochastic Volatility ◽  
Stock Price ◽  
Implied Volatility ◽  
Option Price ◽  
Exponential Model ◽  
Heston Model ◽  
Call Option ◽  
Itô Calculus ◽  
Decomposition Formula ◽  
Price Decomposition

We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model, extending a previous decomposition formula for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used for this purpose are nonanticipative. In particular, we also see that equivalent results can be obtained by using Functional Itô Calculus. Using the same generalizing ideas, we also extend to nonexponential models the alternative call option price decomposition formula written in terms of the Malliavin derivative of the volatility process. Finally, we give a general expression for the derivative of the implied volatility under both the anticipative and the nonanticipative cases.

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