Paper Info
Title
Futures market for spectrum trade in wireless communications: Modeling, pricing and hedging
Abstract
A futures market is proposed for spectrum market in order to manage the financial risk in spectrum trade and discovering future price. The similarities between the spectrum market and electricity market are pointed out. The model of spot market price in the spectrum market is discussed using a set of real activity measurements of cellular base stations. The characteristics of price are analyzed using Black-Scholes model. Based on the models, the option pricing strategies, which determine the price of futures options, and hedging policies, which determine the investment in the futures markets in order to reduce the financial risk, are discussed analytically. Both strategies are tested using the measurement data.
Year
DOI
Venue
2013
10.1109/GLOCOM.2013.6831188
GLOBECOM
Keywords
Field
DocType
cellular base station,financial risk,cellular radio,spectrum market,electricity market,wireless communication,radio spectrum management,marketing,futures market,spectrum trade,financial management,pricing,black-scholes model,spot market price,mathematical model,base stations,bandwidth,cognitive radio
Econometrics,Market liquidity,Financial economics,Market microstructure,Mark to model,Futures contract,Computer science,Forward market,Computer network,Market depth,Hedge (finance),Spot market
Conference
ISSN
Citations 
PageRank 
2334-0983
0
0.34
References 
Authors
5
4
Name
Order
Citations
PageRank
Husheng Li190294.77
S. Tao2325.15
Feng He3789.69
Ju Bin Song423820.38