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The Valuation of Volatility Options [PDF]

open access: greenReview of Finance, 2000
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.
Jérôme Detemple, Carlton Osakwe
openalex   +3 more sources

On the valuation of Paris options: foundational results

open access: green, 2000
This paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, and Chesnay (Advances in Applied Probability, 29(1997), 165-184) using the Laplace transform approach.
Michael Schröder
openalex   +5 more sources

Option Valuation with Conditional Skewness [PDF]

open access: greenJournal of Econometrics, 2003
Abstract Index option prices differ systematically from Black–Scholes prices. Out-of-the-money put prices (and in-the-money call prices) are relatively high compared to the Black–Scholes price. Motivated by these empirical facts, we develop a new discrete-time dynamic model of stock returns with inverse Gaussian innovations.
Peter Christoffersen   +2 more
openalex   +4 more sources

Implicit Options in Life Insurance: Valuation and Risk Management [PDF]

open access: green, 2006
Participating life insurance contracts typically contain various types of implicit options. These implicit options can be very valuable and can thus represent a significant risk to insurance companies if they practice insufficient risk management ...
Nadine Gatzert, Hato Schmeiser
openalex   +3 more sources

Valuation of Wind Energy Projects: A Real Options Approach

open access: yesEnergies, 2014
We address the valuation of an operating wind farm and the finite-lived option to invest in it under different reward/support schemes: a constant feed-in tariff, a premium on top of the electricity market price (either a fixed premium or a variable ...
Luis M. Abadie, José M. Chamorro
doaj   +2 more sources

Valuation of Inventories Considering the Fair Value Options [PDF]

open access: yesAnnals of the University of Oradea: Economic Science, 2008
Our paper represents a pleading for fair value in the specific case of valuating inventories. The real significance and implications of fair value can only be seen after analyzing the topic from different points of view concerning all involved actors ...
Deaconu Adela, Bonaci Carmen, Popa Ioan
doaj   +2 more sources

The Valuation of Options on Capacity

open access: yes, 2003
This chapter represents the core of the present analysis. Its purpose is laying the foundations of a market model consisting of a sequence of the following market sessions: a contract market, where capacity can be reserved, and a spot market, where capacity can be purchased on a short-term basis.
S. Spinler
openaire   +3 more sources

A parametric approach for the valuation of power plant flexibility options

open access: yesEnergy Reports, 2016
Conventional generation units encounter a changing role in modern societies’ energy supply. With increased need for flexible operation, engineers and project managers have to evaluate the benefits of technical improvements.
Julia Hentschel   +2 more
doaj   +2 more sources

Spanning, valuation and options [PDF]

open access: yesEconomic Theory, 1991
We model the space of marketed assets as a Riesz space of commoditics. In this setting two altenative characterizations are given of the space of continuous options on a bounded asset,s, with limited liability. The first characterization represents every continuous option ons as the uniform limit of portfolios of calls ons.
Donald J. Brown, Stephen A. Ross
openaire   +2 more sources

Growth Options and Firm Valuation [PDF]

open access: yesSSRN Electronic Journal, 2013
AbstractThis paper studies the relationship between firm value and a firm's growth options. We find strong empirical evidence that Tobin's Q increases with firm‐level volatility. The significance mainly comes from R&D firms, which have more growth options than non‐R&D firms.
Eduardo S. Schwartz   +4 more
openaire   +7 more sources

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