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Pricing Virtual Paths with Quality-of-Service Guarantees as Bundle Derivatives
RISE, Swedish ICT, SICS, Computer Systems Laboratory.ORCID iD: 0000-0001-6173-599x
2001 (English)Report (Other academic)
Abstract [en]

We describe a model of a communication network that allows us to price complex network services as financial derivative contracts based on the spot price of the capacity in individual routers. We prove a theorem of a Girsanov transform that is useful for pricing linear derivatives on underlying assets, which can be used to price many complex network services, and it is used to price an option that gives access to one of several virtual channels between two network nodes, during a specified future time interval. We give the continuous time hedging strategy, for which the option price is independent of the service providers attitude towards risk. The option price contains the density function of a sum of lognormal variables, which has to be evaluated numerically.

Place, publisher, year, edition, pages
Swedish Institute of Computer Science , 2001, 1. , p. 22
Series
SICS Technical Report, ISSN 1100-3154 ; T2001:22
Keywords [en]
Bandwidth Market, Combinatorial Allocation, Option Pricing, Market Based Resource Alloctation, Quality-of-Service
National Category
Computer and Information Sciences
Identifiers
URN: urn:nbn:se:ri:diva-22117OAI: oai:DiVA.org:ri-22117DiVA, id: diva2:1041659
Available from: 2016-10-31 Created: 2016-10-31 Last updated: 2023-05-25Bibliographically approved

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Rasmusson, Lars

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf