A tree approach to options pricing under regime-switching jump diffusion models

A simple, efficient tree is developed to price options in a very general regime-switching jump diffusion model. Under this model, the switching rates of the switching process depend on the underlying stock price process. Sufficient conditions that guarantee the positivity of branch probabilities are provided. Using the regime-switching tree, we approximate Heston's stochastic volatility model with an additional jump component. Finally, we illustrate the effectiveness of the tree method by several numerical examples.     

A note on the optimal pricing and production decisions with price‐driven substitution

Recently, Kim and Bell ( 2011 ) developed a revenue managemnent pricing model with price‐driven substitution. The authors considered production decisions under unlimited production capacity and investigated the impact of price‐driven substitution on a firm's pricing and production decisions. The authors modeled the consumer demands for each market segment as linear additive demand function based on exogenous variables, where demand substitution occurred as a function of price differences between the two products. In this article, we extend this work to examine the impact of a production capacity constraint on the firm's joint pricing and inventory decisions. Based on this extended model, we investigate the impact of price‐driven substitution on a firm's pricing and production decisions where there is a limit on total capacity. We show how revenue managers should adjust prices and production levels to take into account price‐driven substitution under a capacity constraint setting. Both deterministic and stochastic models are developed, and the impact of price‐driven substitution and a capacity constraint on the optimal prices, production levels, and revenues is illustrated.     

基于接纳控制的智能电网需求响应

采用效用函数刻画用户的用电满意度, 将需求响应问题建模为一类凸优化问题. 针对电力供应商的供电量不能满足用户最小用电需求的问题, 结合分布式用电量调度和实定价, 设计两类接纳控制算法. 仿真结果表明, 通过接纳控制, 满足了购电用户的最小用电需求, 保证了用户的用电质量, 能够实现电网的供需平衡.     

基于网络图的产品生产、运输、定价综合决策模型

针对大型垄断厂商在商品生产、运输、定价决策中独立考虑生产定价和运输两个环节的弊端, 提出一种将产量决策、运输决策和定价决策3 个环节作为一个系统进行考虑的综合决策模型. 借助利润网络图, 构建同时考虑生产及运输成本以及市场需求的商品生产、运输和定价综合决策模型, 并探讨模型的解法及其理论基础. 通过给出的应用案例表明, 相比传统决策模型, 利用综合决策模型可以提高15.50% 的利润.

     

再制造率随机的闭环供应链产品差别定价策略

考虑闭环供应链的差别定价问题, 制造商回收废旧产品, 并生产新产品和再制造产品, 再制造率随机. 采用Stackelberg 博弈方法, 研究集中决策和分散决策下相应产品的最优定价, 给出供应链各成员的最优利润. 结果表明:若制造商对产品延迟定价, 则集中决策下回收价格高于分散决策, 而销售价格均低于分散决策; 当零售商的保守利润不低于一定值时, 集中决策下总利润不低于分散决策, 制造商可以采用改进的两部定价契约协调供应链.

     

基于Cournot-Bertrand 混合竞争的企业集团转移定价决策

研究多部门企业集团在最终产品市场面临Cournot-Bertrand 混合竞争时的转移定价决策问题. 由动态博弈的逆向归纳求解方法可知, 均衡转移定价策略将随着最终产品之间的关系而有所差异. 当竞争对手仅生产最终产品时, 最优转移价格高于边际成本, 且采用价格-产量竞争优于产量-价格竞争; 当竞争对手为垂直一体化企业时, 采用产量-价格竞争的最优转移价格高于边际成本, 采用价格-产量竞争则低于边际成本, 而且采用产量-价格竞争优于价格-产量竞争.

     

基于分布估计的二进制人工蜂群算法

为了充分利用种群的全局统计信息,将分布估计算法引入二进制人工蜂群算法,提出一种基于分布估计的二进制人工蜂群算法。该算法利用分布估计算法获得的全局统计信息引导候选解的产生,提高了全局探索能力;采用直接针对离散域的多维邻域更新策略,加快了收敛速度,降低了计算复杂度。仿真结果表明,与传统二进制人工蜂群算法相比,改进算法在优化精度、收敛速度和鲁棒性方面均有明显改善。     

Probabilistic Health-lnformatics and Bioterrorism

In this article, new probabilistic health-informatics indices connecting probabilities： Pr（A）,Pr（B）,Pr（A IB） and P r（A ]B-） are discovered, where .4 and B denote respectively the ＂ability of a hospital to treat anthrax patients＂ and ＂whether a hospital drilled to be prepared to deal with an adverse bioterrorism＂. These probabilistic informatics are not seen in any textbooks or journal articles and yet, they are too valuable to be unnoticed to comprehend the hospitals＇ preparedness to treat anthrax patients in an outbreak of bioterrorism. A demonstration of this new probabilistic informatics is made in this article with the data in the U.S. Government＇s General Accounting Office＇s report GA0-03-924. Via this example, this article advocates the importance of the above mentioned probabilistic-informatics for health professionals to understand and act swiftly to deal with public health emergencies.     

从过程价值的角度出发对集成的客户方案进行定价

Integrating products and services to customized solutions can help firms to differentiate from their competitors. In practice, however, various companies fall short in extracting value from their customers. Therefore this paper focuses on pricing aspects as central means for value appropriation in the context of solutions. Following the resource-based view of the firm, we adopt a process-oriented perspective on pricing practices in order to identify crucial factors and activities. Based on 15 in-depth interviews with practitioners from various industries we derive six steps of a price management process for value appropriation in the context of solution selling and present critical activities and routines within each step.