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A Cross-Sectional Analysis of Variation in Charges and Prices across California for Percutaneous Coronary Intervention
A Cross-Sectional Analysis Prices across California
2014/11/7
Though past studies have shown wide variation in aggregate hospital price indices and specific procedures, few have documented or explained such variation for distinct and common episodes of care. We ...
Analysis of variation in charges and prices paid for vaginal and caesarean section births: a cross-sectional study
Analysis of variation vaginal caesarean section births
2014/11/7
This article aims to examine the between-hospital variation of charges and discounted prices for uncomplicated vaginal and caesarean section deliveries, and to determine the institutional and market-l...
A model of commodity prices after Sir Arthur Lewis
Sir Arthur Lewis World income Cointegration
2014/3/24
We develop an idea from Arthur Lewis’ paper on unlimited supplies of labor to model the longrun behavior of the prices of primary commodity produced by poor countries. Commodity supply is
assumed inf...
网上英式拍卖与固定价格机制的比较
英式拍卖 固定价格机制 电子商务
2012/9/11
网上拍卖是电子商务成功应用的典范，这一新型动态定价机制为传统网络营销带来了新的活力。本文通过研究需求不确定的前提下，当商家销售有限商品时，采用英式拍卖所能获得的收益，并且证明了在这种情况下英式拍卖弱优于固定价格机制，从而表明英式拍卖适用于这种环境。
Exponential Levy models with stochastic volatility and stochastic jump-intensity
spectral theory normal operator Levy process stochastic volatility stochastic jump-intensity
2012/6/4
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. Both the volatility and jump-intensity of the L\'evy process ...
A note on super-hedging for investor-producers
arbitrage pricing theory markets with proportional transaction costs non-linear returns super replication theorem
2012/3/2
We study the situation of an agent who can trade on a financial market and can also transform some assets into others by means of a production system, in order to price and hedge derivatives on produc...
Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
Stochastic control generalized verification theorem portfolio optimization indifference pricing exponential forward performance
2012/3/2
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, th...
Stock Price Processes with Infinite Source Poisson Agents
fractional Brownian motion arbitrage stock price model stable L´ evy motion long-range dependence self-similarity
2011/7/5
We construct a general stochastic process and prove weak convergence results. It
is scaled in space and through the parameters of its distribution. We show that
our simplified scaling is equivalent ...
Continuous-time trading and the emergence of probability
Continuous-time trading emergence of probability
2010/11/1
This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized ...
Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give par-
ticipation in the performance of a risky asset while protecting the invested capital. This protection is...
Homogeneous Volatility Bridge Estimators
volatility variance estimators efficiency Wiener processes homoge-neous functions
2010/11/3
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, h...
In this paper we introduce a simple continuous-time asset pricing framework, based on general multidimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification f...
Study of the risk-adjusted pricing methodology model with methods of Geometrical Analysis
transaction costs invariant reductions exact solutions singular perturbation
2010/11/2
Families of exact solutions are found to a nonlinear modification of the Black-Scholes equation. This risk-adjusted pricing methodology model (RAPM) incorporates both transaction costs and the risk fr...