Related papers: New Compensating and Equivalent Variation Closed-f…
We provide four novel results for nonhomothetic Constant Elasticity of Substitution preferences (Hanoch, 1975). First, we derive a closed-form representation of the expenditure function of nonhomothetic CES under relatively flexible…
In this paper, we price European Call three different option pricing models, where the volatility is dynamically changing i.e. non constant. In stochastic volatility (SV) models for option pricing a closed form approximation technique is…
We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…
Consumer preference elicitation is critical to devise effective policies for the diffusion of electric vehicles (EVs) in India. This study contributes to the EV demand literature in the Indian context by (a) analysing the EV attributes and…
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price…
We analyse the nonconforming Virtual Element Method (VEM) for the approximation of elliptic eigenvalue problems. The nonconforming VEM allow to treat in the same formulation the two- and three-dimensional case.We present two possible…
In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we use a semi-replication strategy based on market theory. We…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
We present the Complex Envelope Variable Approximation (CEVA) as the very useful and compact method for the analysis of the essentially nonlinear dynamical systems. It allows us to study both the stationary and non-stationary dynamics even…
The renowned van der Waals (VDW) state equation quantifies the equilibrium relationship between pressure $P$, volume $V$ and temperature $k_{B}T$ of a real gas. We assign new variable interpretations adapted to the economic context: $P…
Quadratic Voting (QV) is a social choice mechanism that addresses the "tyranny of the majority" of one-person-one-vote mechanisms. Agents express not only their preference ordering but also their preference intensity by purchasing $x$ votes…
Compensation mechanisms are used to counterbalance the discomfort suffered by users due to quality service issues. Such mechanisms are currently used for different purposes in the electrical power and energy sector, e.g., power quality and…
Electric vehicles (EVs) are increasingly becoming popular as a viable means of transportation for the future. The use of EVs may help to provide better climatic conditions in urban areas with a pocket friendly cost for transportation to the…
Electric Vehicles (EV) impact urban networks both when driving (e.g., noise and pollution reduction) and charging. For the electrical grid, the flexibility of EV charging makes it a significant actor in "Demand Response" mechanisms.…
Income- and price-elasticity of demand quantify the responsiveness of markets to changes in income, and in prices, respectively. Under the assumptions of utility maximization and preference-independence (additive preferences), mathematical…
Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borland (Quantitative Finance, {\bf 2}, 415-431, 2002) to include…
While electric vehicle (EV) adoption has been widely studied, most research focuses on the average effects of predictors on purchase intent, overlooking variation across the distribution of EV purchase intent. This paper makes a threefold…
This paper presents closed-form analytical formulas for pricing volatility and variance derivatives with nonlinear payoffs under discrete-time observations. The analysis is based on a probabilistic approach assuming that the underlying…
This paper is devoted to obtain closed form solutions for the semiclassical (or WKB) approximation of the heat kernel propagator of the diffusion equation defined by the constant elasticity variance (CEV) option pricing model. One of the…
This paper explores the capabilities of the Constant Elasticity of Variance model driven by a mixed-fractional Brownian motion (mfCEV) [Axel A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied…