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Dissertations / Theses on the topic 'Combined method of pricing'

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Published: 28 May 2022

Last updated: 30 July 2025

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1

Котляревський, О. В. "Система методів ціноутворення на банківські послуги в Україні". Thesis, Українська академія банківської справи Національного банку України, 2012. http://essuir.sumdu.edu.ua/handle/123456789/51307.

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У дисертаційній роботі удосконалено систему методів ЦБП в Україні залежно від основних цінових чинників та видів послуг; запропоновано комбінований метод ЦБП та обґрунтовано специфіку його використання для процентних БП і торговельних операцій; поглиблено засади визначення витрат при ЦБП із використанням функціонально-вартісного аналізу; розвинуто науково-практичну базу врахування фактора часу при застосуванні витратного методу ЦБП, а також ризику коливання цін при встановленні цінових орієнтирів на процентні БП, прогнозування цінової динаміки на міжбанківському кредитному ринку та ринку обліг

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2

Lu, Daming. "A Combined Motif Discovery Method." ScholarWorks@UNO, 2009. http://scholarworks.uno.edu/td/990.

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A central problem in the bioinformatics is to find the binding sites for regulatory motifs. This is a challenging problem that leads us to a platform to apply a variety of data mining methods. In the efforts described here, a combined motif discovery method that uses mutual information and Gibbs sampling was developed. A new scoring schema was introduced with mutual information and joint information content involved. Simulated tempering was embedded into classic Gibbs sampling to avoid local optima. This method was applied to the 18 pieces DNA sequences containing CRP binding sites validated

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3

Lei, Ngai Heng. "Martingale method in option pricing theory." Thesis, University of Macau, 2003. http://umaclib3.umac.mo/record=b1447303.

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4

Shen, Liya. "Option pricing with the wavelet method." Thesis, University of Essex, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.437680.

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5

Su, Haozhe. "Advancing the quadrature method in option pricing." Thesis, University of Nottingham, 2018. http://eprints.nottingham.ac.uk/53505/.

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This thesis advances the research on the quadrature (QUAD) method. We aim to make it more computationally efficient, apply it to different underlying processes and even develop a new breed of QUAD method. QUAD is efficient in many ways except when it comes to options with early exercise opportunities such as Bermudan or American options. We develop a series of acceleration techniques for the QUAD method to improve its implementation. After that, we show how to apply the accelerated QUAD method to pricing American options under lognormal jump diffusion and stochastic volatility jump diffusion p

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6

Danho, Sargon. "Pricing Financial Derivatives with the FiniteDifference Method." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-213551.

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In this thesis, important theories in financial mathematics will be explained and derived. These theories will later be used to value financial derivatives. An analytical formula for valuing European call and put option will be derived and European call options will be valued under the Black-Scholes partial differential equation using three different finite difference methods. The Crank-Nicholson method will then be used to value American call options and solve their corresponding free boundary value problem. The optimal exercise boundary can then be plotted from the solution of the free bound

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7

Kriesler, P. R. T. "Aspects of Kalecki's method." Thesis, University of Cambridge, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.234986.

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This thesis consists of three papers which examine three aspects of Kalecki's method, from differing levels of abstraction. The first is at the level of theory and traces the evolution of Kalecki's pricing equation for the manufacturing sector of modern capitalist economies. It is argued that, although the general determinants of price in the form of a mark-up on unit costs remained constant, nevertheless Kalecki tried many different models in order to obtain microfoundations consistent with his macroanalysis. His original formulation incorporated only considerations specific to the firm, alth

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8

Huang, Xuejun, and Xuewen Huang. "The Least-Squares Method for American Option Pricing." Thesis, Uppsala University, Department of Mathematics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-119754.

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9

Berta, Abaynesh. "Option Pricing using the Fast Fourier Transform Method." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-51058.

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The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. This project, inspired by Carr and Madan’s paper, attempts to elaborate and connect the various mathematical and theoretical concepts that are helpful in understanding of the derivation. Further, we derive the characteristic function of the risk neutral probability for the logarithmic terminal stock price. The Black-Scholes-Merton

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10

Yang, Kangle. "A uniform-price method for contract auctions." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B32003067.

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11

Boquist, Nathalie. "The Transactional Net Margin Method : A transfer pricing method in theory and practice." Thesis, Jönköping University, Jönköping University, Jönköping University, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-11027.

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12

Галинська, Юлія Вікторівна, Юлия Викторовна Галинская, Yuliia Viktorivna Halynska, Тетяна Вікторівна Бондар, Татьяна Викторовна Бондарь, and Tetiana Viktorivna Bondar. "Combined electricity pricing model taking into account the “green tariff” and traditional factors." Thesis, EDP Sciences - Web of Conferences, 2021. https://essuir.sumdu.edu.ua/handle/123456789/86319.

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https://www.e3s-conferences.org/articles/e3sconf/pdf/2021/10/e3sconf_icies2020_00019.pdf<br>У статті запропоновано нову оптимізаційну модель системних взаємозв’язків та ефектів при формуванні цінової політики на електроенергію з комбінованих джерел електроенергії з урахуванням показників антропогенного впливу та невідновлюваних ресурсів, соціально-екологічних та економічних інтересів суспільства в умовах розподілу рентного доходу. Модель у кінцевому результаті передбачає формування комбінованої моделі тарифоутворення в енергетиці, згідно з якою тарифи на електроенергію для кінцевого споживача

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13

Timsina, Tirtha Prasad. "Sensitivities in Option Pricing Models." Diss., Virginia Tech, 2007. http://hdl.handle.net/10919/28904.

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The inverse problem in finance consists of determining the unknown parameters of the pricing equation from the values quoted from the market. We formulate the inverse problem as a minimization problem for an appropriate cost function to minimize the difference between the solution of the model and the market observations. Efficient gradient based optimization requires accurate gradient estimation of the cost function. In this thesis we highlight the adjoint method for computing gradients of the cost function in the context of gradient based optimization and show its importance. We derive the c

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14

Kwon, Chimyung. "Combined correlation induction strategies for designed simulation experiments." Diss., This resource online, 1991. http://scholar.lib.vt.edu/theses/available/etd-08062007-094405/.

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15

De, Ponte Candice Natasha. "Pricing barrier options with numerical methods / Candice Natasha de Ponte." Thesis, North-West University, 2013. http://hdl.handle.net/10394/8672.

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Barrier options are becoming more popular, mainly due to the reduced cost to hold a barrier option when compared to holding a standard call/put options, but exotic options are difficult to price since the payoff functions depend on the whole path of the underlying process, rather than on its value at a specific time instant. It is a path dependent option, which implies that the payoff depends on the path followed by the price of the underlying asset, meaning that barrier options prices are especially sensitive to volatility. For basic exchange traded options, analytical prices, based on the Bl

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16

Wang, Yuemiao. "Simulation combined model-based testing method for train control systems." Thesis, University of Birmingham, 2018. http://etheses.bham.ac.uk//id/eprint/8323/.

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A Train Control System (TCS) is utilised to guard the operational safety of the trains in railway systems. Therefore, functional testing is applied to verify consistency between the TCS and specification requirements. Traditional functional testing in TCSs is mainly based on manually designed test cases, which is becoming unsuitable for testing increasingly complex TCSs. Therefore, Model-Based Testing (MBT) methods have been introduced into TCS functional testing, to improve the efficiency and coverage of TCS testing, with application difficulties. To overcome the difficulties of applying MBT

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17

Bai, Lihui. "Computational methods for toll pricing models." [Gainesville, Fla.] : University of Florida, 2004. http://purl.fcla.edu/fcla/etd/UFE0006341.

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18

Roth, Jacob M. "The Explicit Finite Difference Method: Option Pricing Under Stochastic Volatility." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/545.

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This paper provides an overview of the finite difference method and its application to approximating financial partial differential equations (PDEs) in incomplete markets. In particular, we study German’s [6] stochastic volatility PDE derived from indifference pricing. In [6], it is shown that the first order- correction to derivatives valued by indifference pricing can be computed as a function involving the stochastic volatility PDE itself. In this paper, we present three explicit finite difference models to approximate the stochastic volatility PDE and compare the resulting valuations to th

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19

Malgrat, Maxime. "Pricing of a “worst of” option using a Copula method." Thesis, KTH, Matematisk statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-132194.

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In this thesis, we use a Copula Method in order to price basket options and especially “worst of” options. The dependence structure of the underlying assets will be modeled using different families of copulas. The copulas parameters are estimated via the Maximum Likelihood Method from a sample of observed daily returns. The Monte Carlo method will be revisited when it comes to generate underlying assets daily returns from the fitted copula. Two baskets are priced: one composed of two correlated assets and one composed of two uncorrelated assets. The obtained prices are then compared with the p

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20

Gustafsson, William. "Evaluating the Longstaff-Schwartz method for pricing of American options." Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-254406.

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21

Lipscomb, Clifford Allen. "Resolving the aggregation problem that plagues the hedonic pricing method." Diss., Available online, Georgia Institute of Technology, 2004:, 2003. http://etd.gatech.edu/theses/available/etd-04082004-180317/unrestricted/lipscomb%5fclifford%5fa%5f200312%5fphd.pdf.

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22

Yang, Kangle, and 楊康樂. "A uniform-price method for contract auctions." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B32003067.

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23

Thepparat, Pakorn. "Analysis of the combined and coordinated control method for HVDC transmission." Aachen Shaker, 2010. http://d-nb.info/1001789059/04.

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24

Kim, Hyungchul. "Evaluation of power system security and development of transmission pricing method." Diss., Texas A&M University, 2003. http://hdl.handle.net/1969.1/1057.

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The electric power utility industry is presently undergoing a change towards the deregulated environment. This has resulted in unbundling of generation, transmission and distribution services. The introduction of competition into unbundled electricity services may lead system operation closer to its security boundaries resulting in smaller operating safety margins. The competitive environment is expected to lead to lower price rates for customers and higher efficiency for power suppliers in the long run. Under this deregulated environment, security assessment and pricing of transmission servic

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25

Chiu, Hsin Mei, and 邱歆湄. "Pricing policy for combined warranty with co-payment." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/17564632088248316818.

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碩士<br>國立臺灣科技大學<br>工業管理系<br>98<br>As consumer consciousness increases rapidly along with the evolution of the contemporary market, product warranty has become one of the major marketing tactics to increase sales volume and profit of many firms. Hence an increase of product warranty awareness should be adopted by manufacturers. As profit continues to strife amongst the equity market as the ultimate driver, one should learn the correlation between pricing mechanic policies and overall realization. For the illustrated reasons above, the latter part of this report will discuss in detail, the optima

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26

ZHENG, CHANG-CHUN, and 鄭昌錞. "Theory and application of combined assets option pricing model." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/06521836179147290326.

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27

Lin, Yu-an, and 林育安. "Pricing policies for combined warranty with proactive preventive maintenance." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/47629485438720293271.

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碩士<br>國立臺灣科技大學<br>工業管理系<br>98<br>Along with the enhancement of the consumerism, the warranty has become an added value for product sales. And from the manufacturer’s viewpoint, offering a warranty results in additional cost due to servicing of the warranty but at the same time, if used properly as a marketing tool, it will be a competitive advantage. In this paper, A pricing policy of combined warranty for reparable product from the manufacturer’s perspective is considered. A combined warranty is a combination of base warranty period (BWP) and pro rata warranty period (PRP) in which the base w

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28

Chang, Chia-Pai, and 張佳沛. "Pricing Contingent Claims under HJM Model using Forward Pricing Method." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/95734393104528575915.

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碩士<br>國立政治大學<br>國際貿易研究所<br>92<br>We introduce a methodology for pricing American or European style contingent claims, influenced by domestic interest rates, and equity prices. Instead of using trees of short-term interest rate, bond price or forward interest rate, this tree method will use the forward prices of underlying assets to derive implied binomial spot-price tree and in turn price long term American or European options, and interest rate futures and interest rate futures options.

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29

楊松峰. "Pricing CMO by Extended Tree Method." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/05583644580729534936.

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30

Wu, Po-Chang, and 吳柏樟. "Pricing CDO with Factor Copula Method." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/03201558833773486667.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>95<br>In recently years, credit derivatives become more and more popular. Collateralized Debt Obligation is one of the credit derivatives and the trading volumes are growing fast. CDO is backed by a pool of portfolio and then tranched. When pricing CDO, it is an important thing that gets the correlation amount the portfolio that consists lots kind of assets. Copula method is one of the most efficient way to solve this problem. In this paper, we provide factor copula to price the premium of CDO. By comparing many types of factor copula, we want to find out which ty

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31

Tseng, Chien-Han, and 曾建翰. "Pricing CDOs with Fourier Transform Method." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/27495179592180814157.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>95<br>In pricing CDOs, the correlation between assets is a major issue. A multi-asset joint distribution function is too complicated to transform to a loss distribution. Chen and Zang developed a method to price a large credit portfolio. This method is composed of two elements: Factor model and Fourier inversion. This thesis generalizes their method. We assume that there are two common factors, and all assets have their own correlations with the common factors. Since the assets in a pool are not affected by only one common factor, and each asset has different degree

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32

Tseng, Chien-Han. "Pricing CDOs with Fourier Transform Method." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2506200712222200.

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33

chen, wen-cheng, and 陳文政. "European Style Multi-Factor Option Pricing Approach-Numerical Analysis Pricing Method." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/52779068495888344858.

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碩士<br>中原大學<br>企業管理研究所<br>89<br>This study uses the binomial model and Monte Carlo simulation model to evaluate the dual-strike options, and options on the minimum or maximum value of two risky assets. This work attempts to compare the values obtained by these three models. Furthermore, this investigation explores the impact of the change in the various parameters on the option value by adjusting each parameter. Since the extent of the stock price change is highly correlated with the options value, the volatility of stock price is a critical factor. Through calculating the historical volatilit

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34

Karakul, Mustafa. "Combined pricing and procurement decisions in stochastic inventory control theory." 2004. http://link.library.utoronto.ca/eir/EIRdetail.cfm?Resources__ID=80220&T=F.

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35

Hwang, Yaw-Kuan, and 黃耀寬. "Two-State-Variable Options Pricing : Tree Method." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/00972515522437882065.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>87<br>The main themes of this study include : 1.Using a consistent method:three-dimension-tree,to price and hedge the options with two state variables,e.g. Option on Maximum,Basket Warrant,Foreign Stock Option. 2.By introducing a new state variable, Extending three-dimension-tree to price path-dependent options,e.g. Lookback Option,Reset Option,Parisian Option. The Results show： 1. 5-jump tree is the fatest in convergence. 4-jump tree is the fatest in computation. 2. In applying 5-jump tree,the best Δ is obtained by averaging all ava

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36

Chao, Kun-Yuan, and 趙崑源. "Combinatorial Method for Double-Barrier Option Pricing." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/63453453825129547137.

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碩士<br>國立臺灣大學<br>資訊工程學研究所<br>87<br>The space of financial innovation continues unabated. In particular, numerous variations on standard option payoffs have been proposed and traded in the over-the-counter market. Barrier options represent one of the more popular forms of those so-called exotic options. A double barrier option is an option which is knocked in or out the first time that the underlying asset touches one of two barriers prior to expiration. The main purpose of this thesis is to use the combinatorial method to value double barrier options by the use

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37

Zeng, Jyun-jie, and 曾俊傑. "Boundary element method for American option pricing." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/44176862496897171193.

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碩士<br>國立成功大學<br>數學系應用數學碩博士班<br>95<br>In this text, the boundary element method is designed to pricing the American call option with dividend yield. The early exercise problem of the American option is a free boundary problem. The boundary of this problem must be obtained by numerical method. By the boundary element method, we can obtain the optimum exercise function then can evaluate the price of the American call option with dividend yield.

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38

Lung, Shih Sheng, and 石聖龍. "Pricing Barrier Option with Finite Difference Method." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/28066569711321444889.

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Lee, Hsueh-Shih, and 李學詩. "Pricing Convertible Bond by Finite Difference Method." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/20176584724437117756.

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Yeh, Yi-Cheng, and 葉益誠. "Application of RBF Method for Pricing Options." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/21262252573974560320.

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碩士<br>義守大學<br>財務金融學系碩士班<br>96<br>In this paper, we valuate options of single asset by using radial basis function (RBF) approach, which is rarely known in Taiwan. We utilize binomial tree model to generate the computing domain and adjust the iteration to enhance the accuracy of pricing. The revised computing domain has several advantages. First, it respects to the lognormal distribution of stocks; therefore, the computing of RBF would be located at the reasonable region. Second, it can easily be operated and modified the changing of the volatility or maturity of options. According to our resul

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Chi, Yun-ting, and 紀昀廷. "A Modified AMM Method for Option Pricing." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/91685591610350590484.

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42

Shaw, Maw Long, and 邵茂龍. "Firm''s Pricing Theoretic Structure and Method." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/67580326387521847383.

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43

Peng, Jing-Yi, and 彭靜儀. "Decision models for seasonal goods with combined pricing in supply chain." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/08225418973990064773.

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碩士<br>國立雲林科技大學<br>工業工程與管理研究所碩士班<br>94<br>This research is discussion the pricing policy of seasonal goods. It is belong the “newsboy “problems but it has two ordering opportunity. First establish the profit functions of once order and twice order expect obtain the maximum profit in supply chain. Then use numerical analysis to compare the profit of once order opportunity and twice order opportunity. We consider the fore factors of this paper that is selling price 、wholesale price、 return price and customer require. Finally we obtain the two results the first is if the retailer has twice order c

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Lin, Chien-Hsun, and 林建勳. "Combined Applications of the Element Free Galerkin Method and Finite Element Method." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/p53663.

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博士<br>國立臺灣科技大學<br>營建工程系<br>94<br>A concept of “virtual particles” is developed in this study. Virtual particles are interpolated from the finite element displacement field. Through the usage of virtual particles, both element free Galerkin method and finite element method can be combined in an analysis. Three problems are solved in this study. The first is to combine both displacement fields; the second is to present the solved finite element displacement field by element free formulation; The third is an iterative solution procedure by the element free formulation. The obtained results show

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Weng, Chun-Jen, and 翁俊仁. "Developing applications of microspectrophotometer combined with confocal method." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/w4689k.

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博士<br>國立交通大學<br>光電工程研究所<br>104<br>We develop a confocal microspectrophotometer with a halogen lamp to directly scan the surface reflectivities on the end of the GRIN lens. The pure fused silica is used to be a reference standard for deducing the absolute reflectivities of the Ge-doped core. Then, multi-wavelength refractive index profiles of the Ge-doped core can be further determined based on the Fresnel equation. Moreover, this work shows a connection between the material dispersion of the GRIN rod and the Ge-doped concentrations measured by an energy dispersive spectrometer. A direct image

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46

Hsun-Cheng, Chan. "Implied Binomial Tree Method for Pricing TAITEX Options." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2806200621160500.

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47

Kuen-Chang, Tsai. "Pricing Exotic Options with the Monte Carlo Method." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0009-1207200615292400.

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Wei, Hui-shan, and 魏慧珊. "Adaptive Dividing Method on Pricing Arithmetic Average Option." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/09928179068356376885.

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碩士<br>國立中興大學<br>財務金融學系<br>93<br>Abstract Asian option is a kind of path-dependent option, and the most famous algorithm to price this option is introduced in Hull and White (1993). The goal of this paper is to develop an efficient algorithm for pricing Asian options. The equally-spaced rule in Hull and White (1993) is replaced by our adaptive dividing method, which is a dividedand-conquered algorithm designed to govern the piece-wise truncated error of the linear interpolation. The results show that this technique improves the rate of convergence significantly, even comparing to some modifie

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49

"Pricing American-style options by Monte Carlo method." 2002. http://library.cuhk.edu.hk/record=b5891097.

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by Wong Chi Yan.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2002.<br>Includes bibliographical references (leaves 38-39).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Introduction --- p.1<br>Chapter 1.2 --- Monte Carlo Method --- p.2<br>Chapter 1.3 --- Outline of Thesis --- p.5<br>Chapter 2 --- The Random Number Generators --- p.7<br>Chapter 2.1 --- Built-in Random Number Generating Functions --- p.7<br>Chapter 2.2 --- Linear Congruential Generators --- p.8<br>Chapter 3 --- Memory Reduction Methods --- p.10<br>Chapter 3.1 --- T

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50

"A Monte Carlo Method for pricing American options." 2003. http://library.cuhk.edu.hk/record=b5891636.

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by Lam Wing Shan.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.<br>Includes bibliographical references (leaf 41).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Background on Option Pricing --- p.3<br>Chapter 2.1 --- Financial options --- p.3<br>Chapter 2.1.1 --- Basic terms of options --- p.3<br>Chapter 2.1.2 --- Trading strategies --- p.4<br>Chapter 2.1.3 --- The Principle of no Arbitrage --- p.5<br>Chapter 2.1.4 --- Rational boundaries on Option Prices --- p.5<br>Chapter 2.1.5 --- American Options --- p.6<br>Chapter 2.1.6 --

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