Stochastic Modeling for Network Bandwidth Commodities
A network resource-bandwidth is becoming commoditized and bandwidth markets are emerging. For the purposes of managing market risk and investment decision, the stochastic behavior of bandwidth price development must be well modeled to capture main features of bandwidth commodity, especially, the mean-reversion, spikes and the geographical arbitrage. This paper presents a three-regime switching model that incorporates the three main features. Compared with existing modeling methods, our model is concise in expression and practicable because our model is only related with market data and not directly related with market topology under the assumption that the market is effective. Closed-form formulas of European option prices are also obtained under the model.
Min Xiao Jijun Han Debao Xiao
Department of Computer Science, Huazhong Normal University,Wuhan,China, 430079 PLA Communication Command Academy, Wuhan,China, 430010
国际会议
上海
英文
2007-09-21（万方平台首次上网日期，不代表论文的发表时间）