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Valuation of American Continuous-Installment Options [PDF]
Computational Economics, 2005 In an American continuous-installment option the premium, instead of being paid up-front, is paid at a certain rate per unit time. At any time at or before maturity date, the holder has the right to terminate payments and either exercise the option or ...
Ilir Roko, Pierangelo Ciurlia
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Real Options Valuation of Abandoned Farmland [PDF]
Review of Financial Economics, 2012 I investigate the decision-making process of an owner of abandoned farmland that is currently restricted to agricultural use but will be available for nonagricultural use in the future.
Michi Nishihara
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Real Options Valuation of Deposits
World of Economics and Management, 2019 Income approach based on the method of discounted cash flows (DCF) seems to be the main instrument to evaluate economic efficiency of investment projects when developing oil and gas fields. However, at early stages of exploration and exploitation of hydrocarbon resources, uncertainty and risks of investors are very high, which limits the use of ...
Nikolay A. Magaev +2 more
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SWIFT Valuation of Discretely Monitored Arithmetic Asian Options
Journal of Computer Science, 2018 In this work, we propose an efficient and robust valuation of discretely monitored arithmetic Asian options based on Shannon wavelets. We employ the so-called SWIFT method, a Fourier inversion numerical technique with several important advantages with ...
Álvaro Leitao +2 more
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Valuation Bounds of Tranche Options [PDF]
SSRN Electronic Journal, 2010 19 pages, 9 ...
Yadong Li, Ariye Shater
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The Valuation of Volatility Options [PDF]
Review of Finance, 2000 Abstract This paper examines the valuation of European- and American-style volatility options based on a general equilibrium stochastic volatility framework. Properties of the optimal exercise region and of the option price are provided when volatility follows a general diffusion process.
Detemple, Jérôme, Osakwe, Carlton
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Valuation of Capital Protection Options [PDF]
SSRN Electronic Journal, 2015 This working paper formed part of a larger published paper P.V. Shevchenko and X. Luo (2016). A unified pricing of variable annuity guarantees under the optimal stochastic control framework.
Xiaolin Luo, Pavel V. Shevchenko
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VALUATION OF EMBEDDED OPTIONS IN NON-MARKETABLE CALLABLE BONDS: A NEW NUMERICAL APPROACH
Technological and Economic Development of Economy, 2022 The issue of how to price options embedded in callable bonds has attracted a lot of interest over the years. The usual bond valuation methods rely on yield curves, risk premium, and other parameters to estimate interest rates used in discounted cash flow
Roman Skalický +4 more
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International Journal of Environmental Research and Public Health, 2021 Aquaculture is an increasingly relevant sector in the exploitation of natural resources; therefore, it is appropriate to propose various models that include the fundamental variables for its economic-financial valuation from a business point of view. The
Raisa Pérez-Vas +2 more
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Valuation of guaranteed annuity conversion options [PDF]
Insurance: Mathematics and Economics, 2003 The authors study unit-linked deferred annuity contracts purchased originally by a single premium. They introduce a theoretical model for the pricing and valuation of guaranteed annuity conversion options associated with certain deferred annuity pension-type contracts in UK.
Ballotta, L., Haberman, S.
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