Strategic new product pricing when demand obeys saturation effects

Article Abstract:

Dynamic pricing methodologies for new products over an infinite planning horizon in a duopolistic market are studied. The sales dynamic is modelled as a linear demand function with saturation consequences, marginal costs are assumed to be constant. The optimal pricing methodologies are derived as degenerate closed-loop Nash solutions. Findings reveal that the optimal dynamic prices are greater than the static prices. An additional equilibrium with monotonically increasing prices resulted from the case where there is no discounting.

Duopolies

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Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model

Article Abstract:

An extension of the Garman-Kohlhagen model of currency option pricing was developed based on the assumption that the logarithm of the exchange rate follows an Ornstein-Uhlenbeck process. The extended Garman-Kohlhagen model implies lower computed currency option values than the original Garman-Kohlhagen model. An explicit, theoretically founded link between exchange rate, domestic and foreign interest rates was also incorporated into the extended model unlike the original model which assumes that interest rates are constant.

Operations Research, Research, Currency options, Capital assets pricing model, Capital asset pricing model

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Fixed income linked life insurance policies with minimum guarantees: pricing models and numerical results

Article Abstract:

A pricing model for life insurance policies with benefits related to the performance of a portfolio of interest rate sensitive instruments is proposed. In the model, the univariate model introduced by Cox, Ingersoll and Ross (1985) is used to derive the term structure of interest rates. the model can be extended to policies with level periodic premiums, although the single premium model is deemed more significant.

Life Insurance, Direct Life Insurance Carriers, Prices and rates

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