Results 21 to 30 of about 2,886,235 (268)
Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model
Discrete Dynamics in Nature and Society, 2016 We propose an efficient lattice method for valuation of options with barrier in a regime switching model. Specifically, we extend the trinomial tree method of Yuen and Yang (2010) by calculating the local average of prices near a node of the lattice. The
Youngchul Han, Geonwoo Kim
doaj +1 more source
Pricing and Applications of Digital Installment Options
Journal of Applied Mathematics, 2012 For its theoretical interest and strong impact on financial markets, option valuation is considered one of the cornerstones of contemporary mathematical finance.
Pierangelo Ciurlia, Andrea Gheno
doaj +1 more source
Real Option Valuation with Stochastic Interest Rate and Stochastic Volatility
Matematika, 2019 . Real options are one of the most interesting research topics in Finance since 1977 Stewart C. Myers from MIT Sloan School of Management published his pioneering article on this subject in the Journal of Financial Economics.
Ramdhan Fazrianto Suwarman
doaj +1 more source
Energies, 2020 This paper presents an attempt to the valuation of the operational flexibility of the energy investment project based on the example of combined cycle gas turbine (CCGT).
Dominik Kryzia +2 more
doaj +1 more source
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 +1 more source
Valuation of Index Options. [PDF]
, 1995 This dissertation examines the valuation of index options. The first chapter analyzes the value of early exercise for an index option, specifically the Standard and Poor\u27s 100 Index (OEX) option.
Grace, Bruce Kelvin
core +2 more sources
Callable Asian Option Valuation
, 2023 We present a new model named callable Asian options. Such options allow their underwriters to call the options back from investors at a specified time and with a specified amount prior to option maturities. A hybrid of Monte Carlo simulation and the closed form Michael Curran’s solution is employed in pricing.
openaire +1 more source
Population Ecology, EarlyView.In the process of captive breeding and reintroduction of endangered animal species, it is crucial to minimize familial bias in reproductive success during the reintroduction phase to preserve genetic diversity. In this study, we attempted to identify the familial lineage of individuals of the endangered bagrid fish Tachysurus ichikawai born at the ...
Hinano Mizuno +5 more
wiley +1 more source
Valuation of Barrier Options with the Binomial Pricing Model
Ratio Mathematica, 2016 Derivatives are products of different nature which are becoming increasingly common in financial markets. In certain cases, determining the assessment criteria can sometimes be a difficult task.
Salvador Cruz Rambaud +1 more
doaj +1 more source
Population Ecology, EarlyView.In this article, we tested optimal SNP filtering strategies for accurate parentage assignment and pedigree reconstruction for a wild population of red‐spotted masu salmon, Oncorhynchus masou ishikawae. We found that mid‐point filtering in terms of call rate and minor allele frequency performs well for pedigree reconstruction.
Shohei Noda +6 more
wiley +1 more source