TRAVEL TIME DERIVATIVE WITH MONTE CARLO METHOD

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GANJI ZAHRAEI HADI

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:34 Page(s): 293-303

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Information Journal Paper

Title

TRAVEL TIME DERIVATIVE WITH MONTE CARLO METHOD

Author(s)

GANJI ZAHRAEI HADI | Issue Writer Certificate

Keywords

DERIVATIVESQ2

MONTE-CARLO METHODQ1

PRICINGQ1

MEAN REVERSIONQ1

Abstract

Time PRICING is a tool for traffic management. Traffic management looks after increasing trip quality by reducing direct and indirect cost (wasting time, air pollution, noise pollution, accident cost and…). So, in this paper, at first, it is implemented financial DERIVATIVES for defining travel time DERIVATIVES. At the second stage, it is used Monte Carlo method for PRICING traffic congestion.Since, derivative PRICING fluctuated is an index for predicting deriver behavior in that time or at least their expectation about future traffic volume: low (high) price is likely to be light (heavy) congestion at that time and in the specific route. So, it is an intelligent method that indirectly dependent to drivers’ decision. In addition, in the usual method, the price is fixed, however, in the new method it is used market mechanism, so it is changed. Furthermore, in travel time derivative, two factors, traffic volume and diversion is implied in this forecasting. At the end, the introduced method is run for Karaj-Chalos route at 10 first of 31 July 2017. The derivative determined that the travel time will be 72 minutes. The result shows that, buying opportunity price is more than celling, so the travel time will be less than threshold time 72 minutes.

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APA: Copy

GANJI ZAHRAEI, HADI. (2018). TRAVEL TIME DERIVATIVE WITH MONTE CARLO METHOD. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(34 ), 293-303. SID. https://sid.ir/paper/197569/en

Vancouver: Copy

GANJI ZAHRAEI HADI. TRAVEL TIME DERIVATIVE WITH MONTE CARLO METHOD. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(34 ):293-303. Available from: https://sid.ir/paper/197569/en

IEEE: Copy

HADI GANJI ZAHRAEI, “TRAVEL TIME DERIVATIVE WITH MONTE CARLO METHOD,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 34 , pp. 293–303, 2018, [Online]. Available: https://sid.ir/paper/197569/en

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