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Relevant bibliographies by topics / Real options (Finance) Stochastic processes

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Academic literature on the topic 'Real options (Finance) Stochastic processes'

Author: Grafiati

Published: 4 June 2021

Last updated: 16 February 2022

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Journal articles on the topic "Real options (Finance) Stochastic processes"

1

HEATH, DAVID, and ECKHARD PLATEN. "CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING." International Journal of Theoretical and Applied Finance 08, no. 08 (2005): 1157–77. http://dx.doi.org/10.1142/s0219024905003360.

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This paper uses an alternative, parsimonious stochastic volatility model to describe the dynamics of a currency market for the pricing and hedging of derivatives. Time transformed squared Bessel processes are the basic driving factors of the minimal market model. The time transformation is characterized by a random scaling, which provides for realistic exchange rate dynamics. The pricing of standard European options is studied. In particular, it is shown that the model produces implied volatility surfaces that are typically observed in real markets.

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Amédée-Manesme, Charles-Olivier, Michel Baroni, Fabrice Barthélémy, and Mahdi Mokrane. "The impact of lease structures on the optimal holding period for a commercial real estate portfolio." Journal of Property Investment & Finance 33, no. 2 (2015): 121–39. http://dx.doi.org/10.1108/jpif-02-2014-0010.

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Purpose – The purpose of this paper is to demonstrate the impact of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio. Design/methodology/approach – The authors use a Monte Carlo simulation framework to simulate a real estate asset’s cash flows in which lease structures (rent, indexation pattern, overall lease duration and break options) are explicitly taken into account. The authors assume that a tenant exercises his/her option to break a lease if the rent paid is higher than the market rental value (MRV) of similar properties. The autho

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Jaeger, Peter. "Modelling Real World Using Stochastic Processes and Filtration." Formalized Mathematics 24, no. 1 (2016): 1–16. http://dx.doi.org/10.1515/forma-2016-0001.

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Summary First we give an implementation in Mizar [2] basic important definitions of stochastic finance, i.e. filtration ([9], pp. 183 and 185), adapted stochastic process ([9], p. 185) and predictable stochastic process ([6], p. 224). Second we give some concrete formalization and verification to real world examples. In article [8] we started to define random variables for a similar presentation to the book [6]. Here we continue this study. Next we define the stochastic process. For further definitions based on stochastic process we implement the definition of filtration. To get a better under

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AHLIP, REHEZ. "FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES." International Journal of Theoretical and Applied Finance 11, no. 03 (2008): 277–94. http://dx.doi.org/10.1142/s0219024908004804.

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In this paper, we present a stochastic volatility model with stochastic interest rates in a Foreign Exchange (FX) setting. The instantaneous volatility follows a mean-reverting Ornstein–Uhlenbeck process and is correlated with the exchange rate. The domestic and foreign interest rates are modeled by mean-reverting Ornstein–Uhlenbeck processes. The main result is an analytic formula for the price of a European call on the exchange rate. It is derived using martingale methods in arbitrage pricing of contingent claims and Fourier inversion techniques.

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Li, Chenxu. "BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS." Mathematical Finance 26, no. 1 (2013): 122–48. http://dx.doi.org/10.1111/mafi.12041.

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Ritchken, Peter, and Rob Trevor. "Pricing Options under Generalized GARCH and Stochastic Volatility Processes." Journal of Finance 54, no. 1 (1999): 377–402. http://dx.doi.org/10.1111/0022-1082.00109.

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Shastri, Kuldeep, and Kulpatra Wethyavivorn. "PRICING OF FOREIGN CURRENCY OPTIONS FOR ARBITRARY STOCHASTIC PROCESSES." Journal of Business Finance & Accounting 17, no. 2 (1990): 324–34. http://dx.doi.org/10.1111/j.1468-5957.1990.tb00563.x.

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SANDMANN, KLAUS, and MANUEL WITTKE. "IT'S YOUR CHOICE: A UNIFIED APPROACH TO CHOOSER OPTIONS." International Journal of Theoretical and Applied Finance 13, no. 01 (2010): 139–61. http://dx.doi.org/10.1142/s0219024910005711.

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We propose a unified framework for the pricing and hedging of chooser options on lognormal assets. This includes e.g. exchange or inflation rates under stochastic interest rates or equities under stochastic interest rates and dividend yields. This extends and includes chooser options under deterministic interest rates by a multidimensional model of an international economy with correlated stochastic processes. In this framework we derive closed form solutions of the arbitrage price for different specifications of chooser options. Also different hedge strategies are derived and their properties

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PAGLIARANI, STEFANO, and ANDREA PASCUCCI. "LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS." International Journal of Theoretical and Applied Finance 16, no. 08 (2013): 1350050. http://dx.doi.org/10.1142/s0219024913500507.

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We present new approximation formulas for local stochastic volatility models, possibly including Lévy jumps. Our main result is an expansion of the characteristic function, which is worked out in the Fourier space. Combined with standard Fourier methods, our result provides efficient and accurate formulas for the prices and the Greeks of plain vanilla options. We finally provide numerical results to illustrate the accuracy with real market data.

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Derman, Emanuel, and Iraj Kani. "Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility." International Journal of Theoretical and Applied Finance 01, no. 01 (1998): 61–110. http://dx.doi.org/10.1142/s0219024998000059.

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In this paper we present an arbitrage pricing framework for valuing and hedging contingent equity index claims in the presence of a stochastic term and strike structure of volatility. Our approach to stochastic volatility is similar to the Heath-Jarrow-Morton (HJM) approach to stochastic interest rates. Starting from an initial set of index options prices and their associated local volatility surface, we show how to construct a family of continuous time stochastic processes which define the arbitrage-free evolution of this local volatility surface through time. The no-arbitrage conditions are

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Dissertations / Theses on the topic "Real options (Finance) Stochastic processes"

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Wang, Wen-Kai. "Application of stochastic differential games and real option theory in environmental economics /." St Andrews, 2010. http://hdl.handle.net/10023/893.

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Wang, Wen-Kai. "Application of stochastic differential games and real option theory in environmental economics." Thesis, University of St Andrews, 2009. http://hdl.handle.net/10023/893.

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This thesis presents several problems based on papers written jointly by the author and Dr. Christian-Oliver Ewald. Firstly, the author extends the model presented by Fershtman and Nitzan (1991), which studies a deterministic differential public good game. Two types of volatility are considered. In the first case the volatility of the diffusion term is dependent on the current level of public good, while in the second case the volatility is dependent on the current rate of public good provision by the agents. The result in the latter case is qualitatively different from the first one. These re

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Cardoso, Samuel de Oliveira. "Análise de investimento de capital na indústria brasileira de papel e celulose por meio da teoria das opções reais: o caso da Fibria Celulose S.A." reponame:Repositório Institucional do BNDES, 2014. https://web.bndes.gov.br/bib/jspui/handle/1408/7027.

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O presente trabalho tem como objetivo final a verificação da aplicabilidade da Teoria das Opções Reais (TOR) em investimentos de papel e celulose, considerando o Movimento de Reversão à Média (MRM) nos fatores de risco, dado um modelo de gerenciamento de curto prazo, no âmbito de um estudo de caso da Fibria Celulose S.A. para o setor de papel e celulose no Brasil. Nesta dissertação, testa-se a aderência da série histórica de preços da celulose de fibra curta da Fibria, no período entre 2003 e 2013, a um modelo estocástico de reversão à média, sendo este modelo validado para o presente estudo.

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Le, Truc. "Stochastic volatility models." Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.

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Barbu, Monica Constanta. "Stochastic modelling applications in continuous time finance /." [St. Lucia, Qld.], 2004. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe18290.pdf.

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Schmitz, Abe Klaus E. "Pricing exotic options using improved strong convergence." Thesis, University of Oxford, 2008. http://ora.ox.ac.uk/objects/uuid:5a9fb837-238f-46a7-976a-fe3bae0e7b09.

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Today, better numerical approximations are required for multi-dimensional SDEs to improve on the poor performance of the standard Monte Carlo integration. With this aim in mind, the material in the thesis is divided into two main categories, stochastic calculus and mathematical finance. In the former, we introduce a new scheme or discrete time approximation based on an idea of Paul Malliavin where, for some conditions, a better strong convergence order is obtained than the standard Milstein scheme without the expensive simulation of the Lévy Area. We demonstrate when the conditions of the 2−Di

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Calcraft, Peter James. "Two-pore channels and NAADP-dependent calcium signalling." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/888.

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Binkowski, Karol Patryk. "Pricing of European options using empirical characteristic functions." Phd thesis, Australia : Macquarie University, 2008. http://hdl.handle.net/1959.14/28623.

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Thesis (PhD)--Macquarie University, Division of Economic and Financial Studies, Dept. of Statistics, 2008.<br>Bibliography: p. 73-77.<br>Introduction -- Lévy processes used in option pricing -- Option pricing for Lévy processes -- Option pricing based on empirical characteristic functions -- Performance of the five models on historical data -- Conclusions -- References -- Appendix A. Proofs -- Appendix B. Supplements -- Appendix C. Matlab programs.<br>Pricing problems of financial derivatives are among the most important ones in Quantitative Finance. Since 1973 when a Nobel prize winning mod

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Jung, Dosub. "The model risk of option pricing models when volatility is stochastic : a Monte Carlo simulation approach /." free to MU campus, to others for purchase, 2000. http://wwwlib.umi.com/cr/mo/fullcit?p9974644.

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Chavanasporn, Walailuck. "Application of stochastic differential equations and real option theory in investment decision problems." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/1691.

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This thesis contains a discussion of four problems arising from the application of stochastic differential equations and real option theory to investment decision problems in a continuous-time framework. It is based on four papers written jointly with the author’s supervisor. In the first problem, we study an evolutionary stock market model in a continuous-time framework where uncertainty in dividends is produced by a single Wiener process. The model is an adaptation to a continuous-time framework of a discrete evolutionary stock market model developed by Evstigneev, Hens and Schenk-Hoppé (20

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Books on the topic "Real options (Finance) Stochastic processes"

1

1944-, Kopp P. E., and Traple Janusz, eds. Stochastic calculus for finance. Cambridge University Press, 2012.

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2

American-type options: Stochastic approximation methods. Walter de Gruyter GmbH & Co. KG, 2014.

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3

Konishi, Toru. Stochastic trends and short-run relationships between financial variables and real activity. National Bureau of Economic Research, 1993.

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4

Engle, R. F. Hedging options in a GARCH environment: Testing the term structure of stochastic volatility models. National Bureau of Economic Research, 1994.

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Optimal portfolios: Stochastic models for optimal investment and risk management in continuous time. World Scientific, 1997.

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6

A Stochastic Control Framework for Real Options in Strategic Valuation. Birkhäuser Boston, 2002.

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7

A Stochastic Control Framework for Real Options in Strategic Valuation. Birkhauser, 2003.

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8

Diderik, Lund, Øksendal B. K. 1945-, and Universitetet i Oslo. Socialøkonomisk institutt. Senter for anvendt forskning., eds. Stochastic models and option values: Applications to resources, environment, and investment problems. North-Holland, 1991.

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9

Iacus, Stefano M. Option Pricing and Estimation of Financial Models with R. Wiley & Sons, Incorporated, John, 2011.

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Iacus, Stefano M. Option Pricing and Estimation of Financial Models with R. Wiley & Sons, Incorporated, John, 2011.

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Book chapters on the topic "Real options (Finance) Stochastic processes"

1

Jones, Robert A., and David Nickerson. "Mortgage Contracts, Strategic Options and Stochastic Collateral." In New Directions in Real Estate Finance and Investment. Springer US, 2002. http://dx.doi.org/10.1007/978-1-4757-5988-4_3.

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Bensoussan, Alain, J. David Diltz, and SingRu (Celine) Hoe. "Real Options and Competition." In Stochastic Analysis, Stochastic Systems, and Applications to Finance. WORLD SCIENTIFIC, 2011. http://dx.doi.org/10.1142/9789814355711_0004.

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Özel, Gamze. "Stochastic Processes for the Risk Management." In Handbook of Research on Behavioral Finance and Investment Strategies. IGI Global, 2015. http://dx.doi.org/10.4018/978-1-4666-7484-4.ch011.

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The financial markets use stochastic models to represent the seemingly random behavior of assets such as stocks, commodities, relative currency prices such as the price of one currency compared to that of another, such as the price of US Dollar compared to that of the Euro, and interest rates. These models are then used by quantitative analysts to value options on stock prices, bond prices, and on interest rates. This chapter gives an overview of the stochastic models and methods used in financial risk management. Given the random nature of future events on financial markets, the field of stochastic processes obviously plays an important role in quantitative risk management. Random walk, Brownian motion and geometric Brownian motion processes in risk management are explained. Simulations of these processes are provided with some software codes.

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Conference papers on the topic "Real options (Finance) Stochastic processes"

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Pandey, Vijitashwa, and Zissimos P. Mourelatos. "Decision-Based Design Using Time-Varying Preferences Represented by Stochastic Processes." In ASME 2012 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/detc2012-70558.

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Soliciting and expressing the preferences of a decision maker in engineering design is critical. In general, the preferences vary through time, complicating the design of engineering systems. In this article, we propose that if parameterized utility functions are used to model the preferences, the time-varying characteristics of the parameters can provide valuable information on the likely decisions the decision maker can make at a future time. To model the time-dependent uncertainty in preferences, we use parameterized utility functions with the parameters characterized by stochastic processe

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Santa-Cruz, Sandra, and Ernesto Heredia-Zavoni. "Real Options Models for Maintenance Decision Making for Offshore Jacket Platforms." In ASME 2005 24th International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2005. http://dx.doi.org/10.1115/omae2005-67476.

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Real options models are currently available as one of the best tools for the assessment of investment projects. This is so mainly due to the capability of the real options models to: (1) account for uncertainties in financial variables that are crucial to the investment project; and (2) quantify the value of the possibility to make a decision on whether to defer, abandon, expand or reduce the project at one or several points along time. Recently, some researchers have proposed the use of real options models for the assessment of infrastructure projects for hydrocarbon exploitation from an econ

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Haladuick, Shane, and Markus R. Dann. "Risk Based Inspection Planning for Deteriorating Pressure Vessels." In ASME 2016 Pressure Vessels and Piping Conference. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/pvp2016-63138.

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Pressure vessels are subject to deterioration processes, such as corrosion and fatigue. If left unchecked these deterioration processes can lead to failure; therefore, inspections and repairs are performed to mitigate this risk. Oil and gas facilities often have regular scheduled shutdown periods during which many components, including the pressure vessels, are disassembled, inspected, and repaired or replaced if necessary. The objective of this paper is to perform a decision analysis to determine the best course of action for an operator to follow after a pressure vessel is inspected during a

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