Variable Ticket Pricing in Major League Baseball

Sport teams have historically been reluctant to change ticket prices during the season. Recently, however, numerous sport organizations have implemented variable ticket pricing in an effort to maximize revenues. In Major League Baseball, variable pricing results in ticket price increases or decreases depending on factors such as quality of the opponent, day of the week, month of the year, and for special events such as opening day, Memorial Day and Independence Day (July 4). Using censored regression and elasticity analysis, this paper demonstrates that variable pricing would have yielded approximately $590,000 per year in additional ticket revenue for each Major League team in 1996, ceteris paribus. Accounting for capacity constraints, this amounts to only about a 2.8$1.4 million in revenue. The largest percentage revenue gain would have been the San Francisco Giants. The Giants would have seen an estimated 6.7% increase in revenue had they used optimal variable pricing.baseball; variable pricing; dynamic pricing; regression; censored regression

Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach

Variable annuities (VAs) represent a marked change from earlier life products in the guarantees that they offer and it is no longer possible to manage the risks of these liabilities using traditional actuarial methods. Thinking about guarantees as options suggests applying risk neutral pricing in order to value the embedded guarantees, such as guaranteed minimum death benefits (GMDBs). However, due to the long maturities of contracts, stochastic volatility and many other reasons, VA markets are incomplete. In this paper we propose a methodology for pricing GMDBs under a benchmark approach which does not require the existence of a risk neutral probability measure. We assume that the insurance company invests in the growth optimal portfolio of its investment universe and apply real world pricing rather than risk neutral pricing. In particular, we consider the minimal market model and conclude that in this setup the fair price of a roll-up GMDB is lower than the price obtained by applying standard risk neutral pricing. Moreover, we take into account rational as well as irrational lapsation of the policyholder.Benchmark approach; fair pricing; GMDB; growth optimal portfolio; lapsation; local volatility function; minimal market model; variable annuities

ANALISIS PENENTUAN HARGA JUAL GUNA MENINGKATKAN PROFITABILITAS PADA PERUSAHAAN ROKOK PT. JATI MESEM MALANG

This research is a case study in cigarette company PT. Teak mesem Malang with the title "Selling Pricing Analysis To Improve Profitability On Cigarette Company PT. Teak mesem Malang. The purpose of this study is to analyze the determination of the selling price of a cost-plus pricing method with the contribution approach to improve the profitability of tobacco company PT. Teak mesem Malang. Data analysis tool used in determining the selling price on a cost-plus pricing method with the contribution approach is to separate the semi-variable costs into fixed costs and variable costs. Separation of these costs using the least square method, ie: Y = a + bx. Next determine the selling price of a cost-plus pricing method with the contribution approach by summing the variable production costs and other costs with a variable percentage of profit expected by the company multiplied by the basis for setting fees. Then to find out the level of corporate profits can be made with analysis of contribution margin ratio (CMR), which reduced sales results with variable cost, then the result is divided by sales revenue. The result of the calculation method of cost-plus pricing with the contribution approach based on the results, with the selling price of the selling price of the company there is a difference. The selling price for cigarettes analysis is Rp 268 Gold. 107,137.92 per ballnya, while the selling price of the company's USD. 107 000 per ballnya. The selling price of cigarettes results of the analysis for JM Son USD. 93225.53 per ballnya, while the selling price of the company Rp.93.000 per ballnya. Then the contribution margin ratio of each type of product has increased compared to the contribution margin ratio is based on the price level of the company, the magnitude of the increase are as follows: 268 cigarettes and tobacco 0.10% Gold JM Son of 0.19%. From the analysis results in a cost-plus pricing method with the contribution approach to determining the selling price, it is known that in a cost-plus pricing method with the approach of the contribution by the company set a sales price lower than the results of the analysis. So the profitability of acquired firms is also lower compared with the results of the analysis. Based on the above conclusions, the authors suggest should be a cigarette company PT. Teak mesem Malang trying to achieve planned sales levels, in addition to the company in determining the selling price should be using the results of the analysis. To improve the profitability to be achieved by the company, should a company other than using the analysis of contribution margin ratio also keep operating costs do not rise, due to the increase in operating costs resulted in the profitability of the acquired company will also go down

Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing

Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local volatility/stochastic volatility mixture model, where the mixture parameter tunes that covariance. This paper defines an alternate model where the spot/volatility correlation is a separate mean-reverting stochastic variable which is itself correlated with spot. We also develop an efficient approximation for barrier option and one touch pricing in the model based on semi-static vega replication and compare it with Monte Carlo pricing. The approximation works well in markets where the risk neutral drift is modest.Comment: 23 pages, 11 figure

DIFFERENTIAL PRICING OF AGRICULTURAL OPERATING LOANS BY COMMERCIAL BANKS

Differential and variable interest rate pricing strategies are used for agricultural operating loans by the majority of South Dakota commercial banks. However, the prevalence does vary by legal organization. Significant differences were found among differential interest rate pricing structures of independent banks, branch banks, and multibank holding company affiliates.Agricultural Finance,