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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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Uncertainty and Human Capital Decisions: Traditional Valuation Methods and Real Options Logic [PDF]
, 2007 As the importance of human capital increases in organizations, so does the need to develop more sophisticated financial valuation models. This paper reviews some of the major traditional financial decision making models used in costing employment mode ...
Brett Badders +2 more
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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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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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Arbitrage Bounds on Currency Basket Options
Mathematical and Computational Applications, 2020 This article exploits arbitrage valuation bounds on currency basket options. Instead of using a sophisticated model to price these options, we consider a set of pricing models that are consistent with the prices of available hedging assets.
Yi Hong
doaj +1 more source
Present value of firm in case of correlated defaults
Lietuvos Matematikos Rinkinys, 2023 In this article, the valuation of firm’s present value in case of correlated defaults is studied. We showed that the valuation of portfolio credit risk can be interpreted as a valuation of the multiple contingent option.
Mantas Valužis
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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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BANK VALUATION METHODS ANALYSIS: DEVELOMENT OPTIONS
Статистика и экономика, 2016 The paper considers existing businessvaluation methods. A brief description of the essence, advantages and disadvantages of each valuation method was provided.
Matvey D. Bondarenko
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