On the option-based dynamic pricing in container liner service

Based on the theory of options, especially Ito Lemma, a dynamic pricing model with American call/put options is built under the existing legal regime for container liner industry. On the basis of the gridding method and competent algorithms for the solution of tri-diagonal systems, the model built c...

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Bibliographic Details
Main Authors: Yin Ming, Zheng Shi-yuan, Ding Yi-zhong, Wang Xue-feng
Format: Conference Proceeding
Language:English
Subjects:
Computer languages
container liner service
Containers
dynamic pricing
Forward contracts
Indium tin oxide
Ito Lemma
Law
Legal factors
Mathematical model
options
Partial differential equations
Pricing
Stochastic processes
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Summary:Based on the theory of options, especially Ito Lemma, a dynamic pricing model with American call/put options is built under the existing legal regime for container liner industry. On the basis of the gridding method and competent algorithms for the solution of tri-diagonal systems, the model built can be effectively solved. Through a serial of MATLAB-based numerical experiments, the effecting mechanism of relevant factors involved in service contracts with American call/put options is analyzed.
DOI:10.1109/MACE.2010.5536158