Futures market for spectrum trade in wireless communications: Modeling, pricing and hedging

Author

Husheng Li ; Tao Shu ; Feng He ; Ju Bin Song

Author_Institution

Dept. of Electr. Eng. & Comput. Sci., Univ. of Tennessee, Knoxville, TN, USA

fYear

2013

fDate

9-13 Dec. 2013

Firstpage

902

Lastpage

907

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.

Keywords

cellular radio; financial management; marketing; pricing; radio spectrum management; Black-Scholes model; cellular base station; electricity market; financial risk; futures market; spectrum market; spectrum trade; spot market price; wireless communication; Bandwidth; Base stations; Cognitive radio; Educational institutions; Mathematical model; Pricing;

fLanguage

English

Publisher

ieee

Conference_Titel

Global Communications Conference (GLOBECOM), 2013 IEEE

Conference_Location

Atlanta, GA

Type

conf

DOI

10.1109/GLOCOM.2013.6831188

Filename

6831188