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Analytic valuation of European continuous-installment barrier options
Journal of Computational and Applied Mathematics, 2020 This study examines the valuation of European continuous-installment barrier options with dividend payments, under the classical Black–Scholes model. By using Mellin transform techniques, we derive the analytic integral solutions of European continuous ...
Junkee Jeon, S. Choi, Ji‐Hun Yoon
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Asset Pricing Anomalies on Polish Stock Market According to Employee Stock Options [PDF]
Journal of Economics and Management, 2015 The article presents asset pricing anomalies on Polish Stock Market due to implementation and exercise of the employee stock options (ESO). Such mispricing of the stock is a result of the investors' expectations according to the market and non-market ...
Michał Łukowski +1 more
doaj
, 2021 A rainbow option is an option on a basket that pays a non-equally weighted sum of returns over all assets in the basket according to their performance, where individual asset returns are computed as the percentage growth from initial levels to final levels that may be averages over multiple dates.
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The Valuation of Geothermal Power Projects in Indonesia Using Real Options Valuation
MATEC Web of Conferences, 2018 Geothermal power project should be carefully evaluated, because not only the project is large-scale and high-risk, but also huge investments are needed to make the project profitable. The purpose of this study is to evaluate and analyze the present value
Bilqist Reza A., Dachyar M., Farizal
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The actual universe of valuation standards
Aestimum, 2013 In the actual context (with issues like as viability of the global markets, cross-border transactions, transparency in financial reporting etc.) it is a common interest for professional valuers, investors, universities, researchers etc.
Ion Anghel
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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
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The Pricing of Options and Corporate Liabilities
Journal of Political Economy, 1973 If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks.
F. Black, Myron S. Scholes
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Analogy Based Valuation of Commodity Options [PDF]
SSRN Electronic Journal, 2015 Typically, three types of implied volatility smiles are seen in commodity options: the reverse skew, the smile, and the forward skew. I put forward an economic explanation for all three types of implied volatility smiles based on the idea that a commodity call option is valued in analogy with its underlying futures contract, where the underlying ...
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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
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Science of the Total Environment, 2021 Carbon capture and storage (CCS) is one of the key technologies and measures for the energy transition towards achieving the climate targets. Accounting for the high uncertainty, risks, and irreversibility of CCS projects, a growing number of studies ...
Casper Boongaling Agaton
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