IDEAS home Printed from https://ideas.repec.org/a/csb/stintr/v15y2014i4p545-558.html

Proposition of Stochastic Postulates for Chain Indices

Author

Listed:
  • Jacek Białek

Abstract

This article presents and discusses a proposition of stochastic postulates for chain indices. The presented postulates are based on the assumption that prices and quantities are stochastic processes and we consider also the case when price processes are martingales. We define general conditions which allow the chain indices to satisfy these postulates.

Suggested Citation

  • Jacek Białek, 2014. "Proposition of Stochastic Postulates for Chain Indices," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 15(4), pages 545-558, September.
    • Handle: RePEc:csb:stintr:v:15:y:2014:i:4:p:545-558
    as

    Download full text from publisher

    File URL: http://index.stat.gov.pl/repec/files/csb/stintr/csb_stintr_v15_2014_i4_n4.pdf
    File Function: Main text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Dong W Cho, 2006. "A Chain-Type Price Index for New Business Jet Aircraft," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 41(1), pages 45-52, January.
    2. Clements, Kenneth W & Izan, H Y, 1987. "The Measurement of Inflation: A Stochastic Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 339-350, July.
    3. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
    4. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
    5. Samuelson, Paul A & Swamy, S, 1974. "Invariant Economic Index Numbers and Canonical Duality: Survey and Synthesis," American Economic Review, American Economic Association, vol. 64(4), pages 566-593, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Domagoj Demeterfi & Kathrin Glau & Linus Wunderlich, 2025. "Function approximations for counterparty credit exposure calculations," Papers 2507.09004, arXiv.org.
    2. Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn, 2024. "An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1117-1153, July.
    3. Work, James & Hauer, Grant & Luckert, M.K. (Marty), 2018. "What ethanol prices would induce growers to switch from agriculture to poplar in Alberta? A multiple options approach," Journal of Forest Economics, Elsevier, vol. 33(C), pages 51-62.
    4. Kathrin Glau & Ricardo Pachon & Christian Potz, 2019. "Speed-up credit exposure calculations for pricing and risk management," Papers 1912.01280, arXiv.org.
    5. Dong, Wenfeng & Kang, Boda, 2019. "Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation," Energy Economics, Elsevier, vol. 79(C), pages 76-96.
    6. Pringles, Rolando & Olsina, Fernando & Penizzotto, Franco, 2020. "Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method," Renewable Energy, Elsevier, vol. 151(C), pages 846-864.
    7. Slaa, Chad Te & Elliott, Lisa & Elliott, Matthew, 2017. "Performance of the Producer Accumulator in Corn and Soybean Commodity Markets," 2017 Conference, April 24-25, 2017, St. Louis, Missouri 285880, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    8. Gabriel J Power & Charli D. Tandja M. & Josée Bastien & Philippe Grégoire, 2015. "Measuring infrastructure investment option value," Journal of Risk Finance, Emerald Group Publishing, vol. 16(1), pages 49-72, January.
    9. Gkousis, Spiros & Welkenhuysen, Kris & Harcouët-Menou, Virginie & Pogacnik, Justin & Laenen, Ben & Compernolle, Tine, 2024. "Integrated geo-techno-economic and real options analysis of the decision to invest in a medium enthalpy deep geothermal heating plant. A case study in Northern Belgium," Energy Economics, Elsevier, vol. 134(C).
    10. O. Samimi & Z. Mardani & S. Sharafpour & F. Mehrdoust, 2017. "LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 173-187, August.
    11. Mo, Jian-Lei & Schleich, Joachim & Zhu, Lei & Fan, Ying, 2015. "Delaying the introduction of emissions trading systems—Implications for power plant investment and operation from a multi-stage decision model," Energy Economics, Elsevier, vol. 52(PB), pages 255-264.
    12. Song-Ping Zhu & Xin-Jiang He, 2018. "A hybrid computational approach for option pricing," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-16, September.
    13. François-Michel Boire & R. Mark Reesor & Lars Stentoft, 2025. "Bias Correction in the Least-Squares Monte Carlo Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 65(6), pages 3161-3205, June.
    14. Xuemei Gao & Dongya Deng & Yue Shan, 2014. "Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-6, April.
    15. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
    16. Thomas Deschatre & Xavier Warin, 2023. "A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation," Papers 2307.16619, arXiv.org.
    17. Jing Wu & Lijie Su & Gongshu Wang & Yang Yang, 2024. "Approximated Dynamic Programming for Production and Inventory Planning Problem in Cold Rolling Process of Steel Production," Mathematics, MDPI, vol. 12(24), pages 1-17, December.
    18. repec:aen:journl:ej37-2-insley is not listed on IDEAS
    19. Jungmin An & Dong-Kwan Kim & Jinyeong Lee & Sung-Kwan Joo, 2021. "Least Squares Monte Carlo Simulation-Based Decision-Making Method for Photovoltaic Investment in Korea," Sustainability, MDPI, vol. 13(19), pages 1-14, September.
    20. Chi H. Truong, 2014. "A Two Factor Model for Water Prices and Its Implications for Evaluating Real Options and Other Water Price Derivatives," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 62(1), pages 23-45, March.
    21. Piotr Komański & Oskar Sokoliński, 2015. "Least-Squares Monte Carlo Simulation for Time Value of Options and Guarantees Calculation," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 41.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:csb:stintr:v:15:y:2014:i:4:p:545-558. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Beata Witek The email address of this maintainer does not seem to be valid anymore. Please ask Beata Witek to update the entry or send us the correct address (email available below). General contact details of provider: https://edirc.repec.org/data/gusgvpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.