Results 11 to 20 of about 249,987 (395)
A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions
Annals of Operations Research, 2023 In the last decades, the production of fuel ethanol from corn has spread as a valid renewable alternative to pursue sustainability goals. However the uncertain nature of both input (corn) and output (gasoline) prices, together with price dependent ...
Marta Biancardi +3 more
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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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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
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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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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 long-term care options embedded in life annuities
Annals of Actuarial Science, 2021 In most industrialised countries, one of the major societal challenges is the demographic change coming along with the ageing of the population. The increasing life expectancy observed over the last decades underlines the importance to find ways to ...
A. Chen +3 more
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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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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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Opciones reales secuenciales cuadrinomiales y volatilidad cambiante: incertidumbres tecnológicas
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021 Quadranomial Sequential Real Options with Changing Volatility: Technological Uncertainties The investments in biotechnologies for vaccine development characterizes by a set of sequential stages, from its development to the market launch, with multiple ...
Gastón Silverio Milanesi
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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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