Rivista e Edizione

Volume 9 (2022): Edizione 56 (January 2022)

Volume 8 (2021): Edizione 55 (January 2021)

Volume 7 (2020): Edizione 54 (January 2020)

Volume 6 (2019): Edizione 53 (January 2019)

Volume 5 (2018): Edizione 52 (January 2018)

Volume 4 (2017): Edizione 51 (December 2017)

Volume 3 (2017): Edizione 50 (December 2017)

Volume 2 (2017): Edizione 49 (December 2017)

Volume 1 (2017): Edizione 48 (November 2017)

Dettagli della rivista
Formato
Rivista
eISSN
2543-6821
Pubblicato per la prima volta
30 Mar 2017
Periodo di pubblicazione
1 volta all'anno
Lingue
Inglese

Cerca

Volume 4 (2017): Edizione 51 (December 2017)

Dettagli della rivista
Formato
Rivista
eISSN
2543-6821
Pubblicato per la prima volta
30 Mar 2017
Periodo di pubblicazione
1 volta all'anno
Lingue
Inglese

Cerca

3 Articoli
Accesso libero

The effects of individual internal versus external reference prices on consumer decisions for pay-what-you-want payments

Pubblicato online: 01 Apr 2019
Pagine: 1 - 17

Astratto

Abstract

We empirically investigate the interaction between internal and external reference prices on stated payments in a Pay-What-You-Want (PWYW) scheme. Using results of a vignette experiment with e-books, we show that when an external reference price provided is lower than respondents’ internal reference prices, the average of PWYW payments significantly decreases compared with a situation in which the external reference price is not provided. The relationship is the opposite when the external reference price provided to respondents is higher than their internal reference prices. In such a case, upward pressure is created, thus the average of PWYW payments increases. These results remain true when we control for expected quality of e-books. Additionally, we find that when the external reference price is not provided, the size of PWYW payments depends positively on individual factors such as risk-taking propensity and perceived costs of e-book production.

Parole chiave

  • Pay-what-you-want
  • cultural goods
  • quality uncertainty
  • reference price
  • experience goods

JEL Classification

  • D12
  • Z19
  • M31
Accesso libero

Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options

Pubblicato online: 01 Apr 2019
Pagine: 18 - 39

Astratto

Abstract

In this study, we analyse the performance of option pricing models using 5-minutes transactional data for the Japanese Nikkei 225 index options. We compare 6 different option pricing models: the Black (1976) model with different assumptions about the volatility process (realized volatility with and without smoothing, historical volatility and implied volatility), the stochastic volatility model of Heston (1993) and the GARCH(1,1) model. To assess the model performance, we use median absolute percentage error based on differences between theoretical and transactional options prices. We present our results with respect to 5 classes of option moneyness, 5 classes of option time to maturity and 2 option types (calls and puts). The Black model with implied volatility (BIV) comes as the best and the GARCH(1,1) as the worst one. For both call and put options, we observe the clear relation between average pricing errors and option moneyness: high error values for deep OTM options and the best fit for deep ITM options. Pricing errors also depend on time to maturity, although this relationship depend on option moneyness. For low value options (deep OTM and OTM), we obtained lower errors for longer maturities. On the other hand, for high value options (ITM and deep ITM) pricing errors are lower for short times to maturity. We obtained similar average pricing errors for call and put options. Moreover, we do not see any advantage of much complex and time-consuming models. Additionally, we describe liquidity of the Nikkei225 option pricing market and try to compare the results we obtain here with a detailed study for Polish emerging option market (Kokoszczyński et al. 2010b).

Parole chiave

  • Option pricing models
  • high-frequency data
  • realized volatility
  • implied volatility
  • stochastic volatility
  • emerging markets

JEL Classification

  • O52
  • P33
  • R12
Accesso libero

Distance to Radiotherapy and Demand – Projection of the Effects of Establishing New Radiotherapy Facilities in Poland by 2025

Pubblicato online: 01 Apr 2019
Pagine: 40 - 52

Astratto

Abstract

In 2015, the Ministry of Health of the Republic of Poland introduced the Polish strategic plan for radiotherapy development and investment. Given that radiotherapy utilisation depends on the distance a patient must travel to undergo the treatment, the main goal of the plan was to increase equitable access to radiotherapy in Poland by establishing new facilities in new locations by 2025. This study constitutes the first step towards an economic evaluation of this plan by adopting spatial interaction models to project the expected increase in the demand for radiotherapy (3%). Moreover, it adds to the current research on the relation between distance and demand for healthcare services in the following ways. First, it flags the importance of using spatial econometrics to healthcare utilisation studies in the presence of spatial autocorrelation. Furthermore, it proposes a quantitative method for assessing the expected impact of establishing new facilities on utilisation. Finally, it formally confirms the dependence between radiotherapy utilisation and distance in Poland, which has been previously shown to exist in other countries.

Parole chiave

  • radiotherapy
  • demand for healthcare
  • spatial interaction models

JEL Classification

  • I11
3 Articoli
Accesso libero

The effects of individual internal versus external reference prices on consumer decisions for pay-what-you-want payments

Pubblicato online: 01 Apr 2019
Pagine: 1 - 17

Astratto

Abstract

We empirically investigate the interaction between internal and external reference prices on stated payments in a Pay-What-You-Want (PWYW) scheme. Using results of a vignette experiment with e-books, we show that when an external reference price provided is lower than respondents’ internal reference prices, the average of PWYW payments significantly decreases compared with a situation in which the external reference price is not provided. The relationship is the opposite when the external reference price provided to respondents is higher than their internal reference prices. In such a case, upward pressure is created, thus the average of PWYW payments increases. These results remain true when we control for expected quality of e-books. Additionally, we find that when the external reference price is not provided, the size of PWYW payments depends positively on individual factors such as risk-taking propensity and perceived costs of e-book production.

Parole chiave

  • Pay-what-you-want
  • cultural goods
  • quality uncertainty
  • reference price
  • experience goods

JEL Classification

  • D12
  • Z19
  • M31
Accesso libero

Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options

Pubblicato online: 01 Apr 2019
Pagine: 18 - 39

Astratto

Abstract

In this study, we analyse the performance of option pricing models using 5-minutes transactional data for the Japanese Nikkei 225 index options. We compare 6 different option pricing models: the Black (1976) model with different assumptions about the volatility process (realized volatility with and without smoothing, historical volatility and implied volatility), the stochastic volatility model of Heston (1993) and the GARCH(1,1) model. To assess the model performance, we use median absolute percentage error based on differences between theoretical and transactional options prices. We present our results with respect to 5 classes of option moneyness, 5 classes of option time to maturity and 2 option types (calls and puts). The Black model with implied volatility (BIV) comes as the best and the GARCH(1,1) as the worst one. For both call and put options, we observe the clear relation between average pricing errors and option moneyness: high error values for deep OTM options and the best fit for deep ITM options. Pricing errors also depend on time to maturity, although this relationship depend on option moneyness. For low value options (deep OTM and OTM), we obtained lower errors for longer maturities. On the other hand, for high value options (ITM and deep ITM) pricing errors are lower for short times to maturity. We obtained similar average pricing errors for call and put options. Moreover, we do not see any advantage of much complex and time-consuming models. Additionally, we describe liquidity of the Nikkei225 option pricing market and try to compare the results we obtain here with a detailed study for Polish emerging option market (Kokoszczyński et al. 2010b).

Parole chiave

  • Option pricing models
  • high-frequency data
  • realized volatility
  • implied volatility
  • stochastic volatility
  • emerging markets

JEL Classification

  • O52
  • P33
  • R12
Accesso libero

Distance to Radiotherapy and Demand – Projection of the Effects of Establishing New Radiotherapy Facilities in Poland by 2025

Pubblicato online: 01 Apr 2019
Pagine: 40 - 52

Astratto

Abstract

In 2015, the Ministry of Health of the Republic of Poland introduced the Polish strategic plan for radiotherapy development and investment. Given that radiotherapy utilisation depends on the distance a patient must travel to undergo the treatment, the main goal of the plan was to increase equitable access to radiotherapy in Poland by establishing new facilities in new locations by 2025. This study constitutes the first step towards an economic evaluation of this plan by adopting spatial interaction models to project the expected increase in the demand for radiotherapy (3%). Moreover, it adds to the current research on the relation between distance and demand for healthcare services in the following ways. First, it flags the importance of using spatial econometrics to healthcare utilisation studies in the presence of spatial autocorrelation. Furthermore, it proposes a quantitative method for assessing the expected impact of establishing new facilities on utilisation. Finally, it formally confirms the dependence between radiotherapy utilisation and distance in Poland, which has been previously shown to exist in other countries.

Parole chiave

  • radiotherapy
  • demand for healthcare
  • spatial interaction models

JEL Classification

  • I11

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