Title :
On the option-based dynamic pricing in container liner service
Author :
Yin Ming ; Zheng Shi-yuan ; Ding Yi-zhong ; Wang Xue-feng
Author_Institution :
Shanghai Maritime Univ., Shanghai, China
Abstract :
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.
Keywords :
freight containers; pricing; American call/put options; Ito Lemma; Matlab; competent algorithms; container liner service; dynamic pricing model; gridding method; legal regime; tri-diagonal systems; Computer languages; Containers; Forward contracts; Indium tin oxide; Law; Legal factors; Mathematical model; Partial differential equations; Pricing; Stochastic processes; Ito Lemma; container liner service; dynamic pricing; options;
Conference_Titel :
Mechanic Automation and Control Engineering (MACE), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-7737-1
DOI :
10.1109/MACE.2010.5536158
