Results 1 to 10 of about 2,854,928 (318)
On the valuation of Paris options: foundational results [PDF]
arXiv, 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. Based on suggestions by Pliska the notion of Paris options is extended such that their valuation is possible at any point during their lifespan.
Michael Schröder
arxiv +6 more sources
The early exercise premium representation for American options on multiply assets [PDF]
Appl. Math. Optim. 73 (2016) 99-114, 2013 In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium representation formula for options with payoff functions which are convex or satisfy mild regularity assumptions. Examples
Klimsiak, Tomasz, Rozkosz, Andrzej
arxiv +3 more sources
The Valuation of Volatility Options [PDF]
Review 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 Asian options: integral representations [PDF]
arXiv, 2000 This paper derives integral representations for the Black-Scholes price of arithmetic-average Asian options. Their proof is by Laplace inverting the 1992 Laplace transform of Geman-Yor using complex analytic methods. The analysis ultimately rests on the gamma function which in this sense is at the base of Asian options.
Michael Schröder
arxiv +3 more sources
Option Valuation with Conditional Skewness [PDF]
Journal 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
Valuation of Inventories Considering the Fair Value Options [PDF]
Annals 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
Valuation of Wind Energy Projects: A Real Options Approach
Energies, 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
The Valuation of Options on Capacity
, 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
semanticscholar +3 more sources
Implicit Options in Life Insurance: Valuation and Risk Management [PDF]
, 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
A parametric approach for the valuation of power plant flexibility options
Energy 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