Change search
ReferencesLink to record
Permanent link

Direct link
Pricing Virtual Paths with Quality-of-Service Guarantees as Bundle Derivatives
Number of Authors: 1
2001 (English)Report (Refereed)
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. , 22 p.
SICS Technical Report, ISSN 1100-3154 ; 2001:22
Keyword [en]
Bandwidth Market, Combinatorial Allocation, Option Pricing, Market Based Resource Alloctation, Quality-of-Service
National Category
Computer and Information Science
URN: urn:nbn:se:ri:diva-22117OAI: diva2:1041659
Available from: 2016-10-31 Created: 2016-10-31

Open Access in DiVA

fulltext(381 kB)3 downloads
File information
File name FULLTEXT01.pdfFile size 381 kBChecksum SHA-512
Type fulltextMimetype application/pdf

Computer and Information Science

Search outside of DiVA

GoogleGoogle Scholar
Total: 3 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 2 hits
ReferencesLink to record
Permanent link

Direct link