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Articoli di riviste sul tema "Options (Finance) – Valuation – Mathematical models"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 13 febbraio 2022

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1

Loerx, Andre, and Ekkehard W. Sachs. "Model Calibration in Option Pricing." Sultan Qaboos University Journal for Science [SQUJS] 16 (April 1, 2012): 84. http://dx.doi.org/10.24200/squjs.vol17iss1pp84-102.

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We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process. We discuss the development in the past literature and give an outlook into modern approaches of modelling. Furthermore, we address important numerical issues in the valuation of options and likewise the calibration of these models. This leads to interesting problems in optimization, where, e.g., the use of adjoint equations or the choice of the parametriza

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2

HUEHNE, FLORIAN. "DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES." International Journal of Theoretical and Applied Finance 10, no. 03 (May 2007): 407–35. http://dx.doi.org/10.1142/s0219024907004172.

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We introduce the intensity-based defaultable Lévy Libor model, which generalizes the default-free Lévy Libor model introduced by Eberlein and Özkan in [The defaultable Lévy term structure: Ratings and restructuring, Mathematical Finance13(2) (2003) 277–300], and the intensity-based defaultable model presented by Bielecki and Rutkowski in [Credit Risk: Modeling, Valuation and Hedging, Springer Finance (Springer-Verlag, 2002)] by embedding it in the defaultable HJM framework introduced by Eberlein and Özkan in [The defaultable Lévy term structure: Ratings and restructuring, Mathematical Finance1

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3

Giribone, Pier Giuseppe, and Roberto Revetria. "Certificate pricing using Discrete Event Simulations and System Dynamics theory." Risk Management Magazine 16, no. 2 (August 18, 2021): 75–93. http://dx.doi.org/10.47473/2020rmm0092.

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The study proposes an innovative application of Discrete Event Simulations (DES) and System Dynamics (SD) theory to the pricing of a certain kind of certificates very popular among private investors and, more generally, in the context of wealth management. The paper shows how numerical simulation software mainly used in traditional engineering, such as industrial and mechanical engineering, can be successfully adapted to the risk analysis of structured financial products. The article can be divided into three macro-sections: in the first part a synthetic overview of the most widespread option

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4

LORENZO, MERCURI. "PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS." International Journal of Theoretical and Applied Finance 14, no. 02 (March 2011): 313–33. http://dx.doi.org/10.1142/s0219024911006371.

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We derive recursive relationships for the m.g.f. of the geometric average of the underlying within some affine Garch models [Heston and Nandi (2000), Christoffersen et al. (2006), Bellini and Mercuri (2007), Mercuri (2008)] and use them for the semi-analytical valuation of geometric Asian options. Similar relationships are obtained for low order moments of the arithmetic average, that are used for an approximated valuation of arithmetic Asian options based on truncated Edgeworth expansions, following the approach of Turnbull and Wakeman (1991). In both cases the accuracy of the semi-analytical

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5

CHU, CHI CHIU, and YUE KUEN KWOK. "VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS." International Journal of Theoretical and Applied Finance 10, no. 02 (March 2007): 363–87. http://dx.doi.org/10.1142/s0219024907004160.

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We propose three analytic approximation methods for numerical valuation of the guaranteed annuity options in deferred annuity pension policies. The approximation methods include the stochastic duration approach, Edgeworth expansion, and analytic approximation in affine diffusions. The payoff structure in the annuity policies is similar to a quanto call option written on a coupon-bearing bond. To circumvent the limitations of the one-factor interest rate model, we model the interest rate dynamics by a two-factor affine interest rate term structure model. The numerical accuracy and the computati

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6

Dassios, Angelos, and Shanle Wu. "Double-Barrier Parisian Options." Journal of Applied Probability 48, no. 01 (March 2011): 1–20. http://dx.doi.org/10.1017/s0021900200007592.

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In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.

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7

Dassios, Angelos, and Shanle Wu. "Double-Barrier Parisian Options." Journal of Applied Probability 48, no. 1 (March 2011): 1–20. http://dx.doi.org/10.1239/jap/1300198132.

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In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.

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8

Kamińska, Barbara. "Options in Corporate Finance Management." Przedsiebiorczosc i Zarzadzanie 15, no. 1 (January 1, 2014): 69–81. http://dx.doi.org/10.2478/eam-2014-0005.

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Abstract Although there are many opinions critical of options, especially after the 2008 scandal, they are becoming increasingly popular in Poland again. Therefore, issues connected with options are not only the subject of interest in academic circles again but also arouse interest of economic entities, allowing enterprises to assess a variety of action strategies. Those instruments enable planning safeguards to protect against various negative future scenarios. Hence, it comes as no surprise that there has been an increase in the number and variety of enterprises that have accepted options as

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9

Ciurlia, Pierangelo, and Andrea Gheno. "Pricing and Applications of Digital Installment Options." Journal of Applied Mathematics 2012 (2012): 1–21. http://dx.doi.org/10.1155/2012/584705.

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For its theoretical interest and strong impact on financial markets, option valuation is considered one of the cornerstones of contemporary mathematical finance. This paper specifically studies the valuation of exotic options with digital payoff and flexible payment plan. By means of the Incomplete Fourier Transform, the pricing problem is solved in order to find integral representations of the upfront price for European call and put options. Several applications in the areas of corporate finance, insurance, and real options are discussed. Finally, a new type of digital derivative named superc

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10

ZEGHAL, AMINA BOUZGUENDA, and MOHAMED MNIF. "OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS." International Journal of Theoretical and Applied Finance 09, no. 08 (December 2006): 1267–97. http://dx.doi.org/10.1142/s0219024906004037.

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In this paper, we extend the results of Carmona and Touzi [6] for an optimal multiple stopping problem to a market where the price process is allowed to jump. We also generalize the problem of valuation swing options to the context of a Lévy market. We prove the existence of multiple exercise policies under an additional condition on Snell envelops. This condition emerges naturally in the case of Lévy processes. Then, we give a constructive solution for perpetual put swing options when the price process has no negative jumps. We use the Monte Carlo approximation method based on Malliavin calcu

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11

Wu, Ting-Pin, and Son-Nan Chen. "Analytical Valuation of Barrier Interest Rate Options Under Market Models." Journal of Derivatives 17, no. 1 (August 31, 2009): 21–37. http://dx.doi.org/10.3905/jod.2009.17.1.021.

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12

Wang, Xingchun. "Valuation of Asian options with default risk under GARCH models." International Review of Economics & Finance 70 (November 2020): 27–40. http://dx.doi.org/10.1016/j.iref.2020.06.019.

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13

Dorion, Christian. "Option Valuation with Macro-Finance Variables." Journal of Financial and Quantitative Analysis 51, no. 4 (August 2016): 1359–89. http://dx.doi.org/10.1017/s0022109016000442.

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I propose a model in which the price of an option is partly determined by macro-finance variables. In an application using an index of current business conditions, the new model outperforms existing benchmarks in fitting underlying asset returns and in pricing options. The model performs particularly well when business conditions are deteriorating. Using the recent financial crisis as an out-of-sample experiment, the new model has option-pricing errors that are 18% below those of a nested 2-component volatility benchmark. Results are robust to using alternative business conditions proxies and

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14

Eales, James, and Robert J. Hauser. "Analyzing biases in valuation models of options on futures." Journal of Futures Markets 10, no. 3 (June 1990): 211–28. http://dx.doi.org/10.1002/fut.3990100302.

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15

Bollen, Nicolas P. B., and Emma Rasiel. "The performance of alternative valuation models in the OTC currency options market." Journal of International Money and Finance 22, no. 1 (February 2003): 33–64. http://dx.doi.org/10.1016/s0261-5606(02)00073-6.

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16

Cao, Hongkai, Alexandru Badescu, Zhenyu Cui, and Sarath Kumar Jayaraman. "Valuation of VIX and target volatility options with affine GARCH models." Journal of Futures Markets 40, no. 12 (September 2020): 1880–917. http://dx.doi.org/10.1002/fut.22157.

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17

ERIKSSON, BJORN, and MARTIJN PISTORIUS. "METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS." International Journal of Theoretical and Applied Finance 14, no. 07 (November 2011): 1139–58. http://dx.doi.org/10.1142/s0219024911006644.

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We present a method of moments approach to pricing double barrier contracts when the underlying is modelled by a polynomial jump-diffusion. By general principles the price is linked to certain infinite dimensional linear programming problems. Subsequently approximating these by finite dimensional linear programming problems, upper and lower bounds for the prices of such options are found. We derive theoretical convergence results for this algorithm, and provide numerical illustrations by applying the method to the valuation of several double barrier-type contracts (double barrier knock-out cal

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18

Vimpari, Jussi, and Seppo Junnila. "Valuing retail lease options through time." Journal of Property Investment & Finance 35, no. 4 (July 3, 2017): 369–81. http://dx.doi.org/10.1108/jpif-05-2016-0036.

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Purpose Retail properties are a perfect example of a property class where revenues determine the rent for the property owners. Estimating the value of new retail developments is challenging, as the initial revenues can have a significant variance from the long-term revenue levels. Owners and tenants try to manage this problem by introducing different kind of options, such as overage rent and extension rights, to the lease contracts. The purpose of this paper is to value these options through time for different types of retailers, using real-life data with a method that can be easily applied in

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19

Miller, Tom W. "Terminal values for firms with growth opportunities: explaining valuation and IPO price behavior." Studies in Economics and Finance 35, no. 2 (June 4, 2018): 244–72. http://dx.doi.org/10.1108/sef-03-2016-0078.

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PurposeThe purpose of this paper is to use fundamental models incorporating structural relationships within the firm in a terminal value model for the second stage of a two-stage valuation model utilized to estimate the value of a company.Design/methodology/approachThe innovation is that growth options are identified within the structural relationships and a model capturing the value of the optionality is incorporated in the second stage of the two-stage valuation model.FindingsSignificant outcomes are that terminal value is shown to be a large portion of a company’s total value and the price

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20

BENTH, FRED ESPEN, and RODWELL KUFAKUNESU. "PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS." International Journal of Theoretical and Applied Finance 12, no. 04 (June 2009): 491–506. http://dx.doi.org/10.1142/s0219024909005324.

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Based on a non-Gaussian Ornstein–Uhlenbeck model for energy spot, we derive prices for Asian and spread options using Fourier techniques. The option prices are expressed in terms of the Fourier transform of the payoff function and the characteristic functions of the driving noises, being independent increment processes. In many relevant situations, these functions are explicitly available, and fast Fourier transform can be used for efficient numerical valuation. The arithmetic nature of our model implies that only a one-dimensional Fourier transform is required in the computation of the price,

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21

Wang, Xingchun. "Analytical valuation of Asian options with counterparty risk under stochastic volatility models." Journal of Futures Markets 40, no. 3 (October 14, 2019): 410–29. http://dx.doi.org/10.1002/fut.22064.

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22

Tajani, Francesco, Pierluigi Morano, and Klimis Ntalianis. "Automated valuation models for real estate portfolios." Journal of Property Investment & Finance 36, no. 4 (July 2, 2018): 324–47. http://dx.doi.org/10.1108/jpif-10-2017-0067.

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Purpose As regards the assessment of the market values of properties that compose real estate portfolios, the purpose of this paper is to propose and test an automated valuation model. In particular, the method defined allows for providing for objective, reliable and “quick” valuations of the assets in the phases of periodic reviews of the property values. Design/methodology/approach Aiming at both predictive and interpretative purposes, the method, based on multi-objective genetic algorithms to search those model expressions that simultaneously maximize the accuracy of the data and the parsim

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23

CARMONA, RENÉ, and SERGEY NADTOCHIY. "TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION." International Journal of Theoretical and Applied Finance 14, no. 01 (February 2011): 107–35. http://dx.doi.org/10.1142/s0219024911006280.

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Motivated by the desire to integrate repeated calibration procedures into a single dynamic market model, we introduce the notion of a "tangent model" in an abstract set up, and we show that this new mathematical paradigm accommodates all the recent attempts to study consistency and absence of arbitrage in market models. For the sake of illustration, we concentrate on the case when market quotes provide the prices of European call options for a specific set of strikes and maturities. While reviewing our recent results on dynamic local volatility and tangent Lévy models, we present a theory of t

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24

Core, John E., Wayne R. Guay, and S. P. Kothari. "The Economic Dilution of Employee Stock Options: Diluted EPS for Valuation and Financial Reporting." Accounting Review 77, no. 3 (July 1, 2002): 627–52. http://dx.doi.org/10.2308/accr.2002.77.3.627.

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In this paper, we derive a measure of diluted EPS that incorporates the economic implications of the dilutive effects of employee stock options. We show that the existing FASB treasury-stock method of accounting for the dilutive effects of outstanding options systematically understates the options' dilutive effect, and thus overstates reported EPS. Using firm-wide data on 731 employee stock option plans, our proposed measure suggests that economic dilution from options is, on average, 100 percent greater than dilution in reported diluted EPS using the FASB treasury-stock method. We examine the

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25

Wang, Xingchun. "Valuation of options on the maximum of two prices with default risk under GARCH models." North American Journal of Economics and Finance 57 (July 2021): 101422. http://dx.doi.org/10.1016/j.najef.2021.101422.

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26

Massironi, Carlo. "Philip Fisher’s sense of numbers." Qualitative Research in Financial Markets 6, no. 3 (November 10, 2014): 302–31. http://dx.doi.org/10.1108/qrfm-01-2013-0004.

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Purpose – This paper aims to propose an account of the use of numbers and mathematical formulae and, more generally, of the quantitative aspects in the qualitative equity valuation model of the American investor Philip A. Fisher who is considered to be one of the fathers of the qualitative equity valuation models. Design/methodology/approach – A Conceptual analysis was conducted (Glasersfeld, 1992) of the four volumes published by Fisher between 1954 and 1980 (1958, 1960, 1975, 1980) in relation to his equity valuation process. On the basis of this analysis, a modelization of this author’s per

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French, Nick, and Laura Gabrielli. "Pricing to market." Journal of Property Investment & Finance 36, no. 4 (July 2, 2018): 391–96. http://dx.doi.org/10.1108/jpif-05-2018-0033.

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Purpose Since the global financial economic crisis hit the world markets in 2007/2008, the role of property valuation has been under greater and greater scrutiny. The process of valuation and its quality assurance has been addressed by the higher prominence of the International Valuation Standards Council (IVSC). This is a significant initiative worldwide. However, there has been little written on the appropriate use of valuation approaches and methods in market valuations. There is now a hierarchy of valuation definitions. In order, there are valuation approaches, valuation methods and, as a

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28

CUTHBERTSON, CHARLES, GRIGORIOS PAVLIOTIS, AVRAAM RAFAILIDIS, and PETTER WIBERG. "ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY." International Journal of Theoretical and Applied Finance 13, no. 07 (November 2010): 1131–47. http://dx.doi.org/10.1142/s0219024910006145.

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We consider models for the valuation of derivative securities that depend on foreign exchange rates. We derive partial differential equations for option prices in an arbitrage-free market with stochastic volatility. By use of standard techniques, and under the assumption of fast mean reversion for the volatility, these equations can be solved asymptotically. The analysis goes further to consider specific examples for a number of options, and to a considerable degree of complexity.

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SIDENIUS, JAKOB, VLADIMIR PITERBARG, and LEIF ANDERSEN. "A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING." International Journal of Theoretical and Applied Finance 11, no. 02 (March 2008): 163–97. http://dx.doi.org/10.1142/s0219024908004762.

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We present the SPA framework, a novel approach to the modeling of the dynamics of portfolio default losses. In this framework, models are specified by a two-layer process. The first layer models the dynamics of portfolio loss distributions in the absence of information about default times. This background process can be explicitly calibrated to the full grid of marginal loss distributions as implied by initial CDO tranche values indexed on maturity, as well as to the prices of suitable options. We give sufficient conditions for consistent dynamics. The second layer models the loss process itse

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30

Cakici, Nusret, Sris Chatterjee, and Avner Wolf. "Empirical tests of valuation models for options on t-note and t-bond futures." Journal of Futures Markets 13, no. 1 (February 1993): 1–13. http://dx.doi.org/10.1002/fut.3990130102.

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d’Amato, Maurizio. "Supporting property valuation with automatic reconciliation." Journal of European Real Estate Research 11, no. 1 (May 8, 2018): 125–38. http://dx.doi.org/10.1108/jerer-01-2017-0005.

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Purpose Valuation is a professional activity based on international and local standards. In the valuation process more than one method can be modified. In this case, a final reconciliation of different opinions of value may be required. It is a matter of fact that the final result of these different valuation methods may vary. Therefore, in the final part of the valuation process, the valuer is required to assign a weight to the different methodologies to reach an appropriate opinion of value. This process is essentially based on valuer’s expertise. This paper aims to propose an automatic proc

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Manola, Ana, and Branko Urosevic. "Option-based valuation of mortgage-backed securities." Ekonomski anali 55, no. 186 (2010): 42–66. http://dx.doi.org/10.2298/eka1086042m.

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Pure econometric approaches to pricing mortgage-backed securities (MBSs) - principal pricing vehicles used by financial practitioners - fail to capture their true risks. This point was powerfully driven home by the global financial crisis. Since prior to the crisis default rates of MBSs were quite modest, econometric pricing models systematically underestimated the possibility of default. As a result, MBSs were severely overvalued. It is widely believed that the global crisis was largely triggered by incorrect valuation of mortgage-backed securities. In the aftermath, it is important to revisi

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Lindström, Erik. "Implications of Parameter Uncertainty on Option Prices." Advances in Decision Sciences 2010 (May 5, 2010): 1–15. http://dx.doi.org/10.1155/2010/598103.

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Financial markets are complex processes where investors interact to set prices. We present a framework for option valuation under imperfect information, taking risk neutral parameter uncertainty into account. The framework is a direct generalization of the existing valuation methodology. Many investors base their decisions on mathematical models that have been calibrated to market prices. We argue that the calibration process introduces a source of uncertainty that needs to be taken into account. The models and parameters used may differ to such extent that one investor may find an option unde

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Behera, Prashanta kumar, and Dr Ramraj T. Nadar. "Dynamic Approach for Index Option Pricing Using Different Models." Journal of Global Economy 13, no. 2 (June 26, 2017): 105–20. http://dx.doi.org/10.1956/jge.v13i2.460.

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Option pricing is one of the exigent and elementary problems of computational finance. Our aims to determine the nifty index option price through different valuation technique.Â In this paper, we illustrate the techniques for pricing of options and extracting information from option prices. We also describe various ways in which this information has been used in a number of applications. When dealing with options, we inevitably encounter the Black-Scholes-Merton option pricing formula, which has revolutionized the way in which options are priced in modern time. Black and Scholes (1973) and Mer

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Mintah, Kwabena, David Higgins, Judith Callanan, and Ron Wakefield. "Staging option application to residential development: real options approach." International Journal of Housing Markets and Analysis 11, no. 1 (February 5, 2018): 101–16. http://dx.doi.org/10.1108/ijhma-02-2017-0022.

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Purpose Real option valuation is capable of accounting for uncertainties in residential development projects but still lacks practical adoption due to limited evidence to support application of the theory in practice. The purpose of this paper is to use option valuation to value staging option embedded in residential projects and compare with results from DCF to determine which of the two methods delivers superior results. Design/methodology/approach The fuzzy payoff method (FPOM), a real options model that uses scenario planning approach to generate a range of figures, from which a single-num

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Lazzati, Natalia, and Amilcar A. Menichini. "A Dynamic Approach to the Dividend Discount Model." Review of Pacific Basin Financial Markets and Policies 18, no. 03 (September 2015): 1550018. http://dx.doi.org/10.1142/s0219091515500186.

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We derive a dynamic model of the firm with endogenous investment and leverage ratio within the framework of the dividend discount model (DDM). Our valuation model incorporates two relevant components, namely, managerial flexibility and long-run growth. We dispense with any utility specification capturing the preferences of shareholders and obtain closed-form solutions for the firm problem. A standard parameterization suggests that the value of the real options and long-run growth opportunities can easily represent more than 8% and 10% of share price, respectively. We also find that these two c

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TAKAHASHI, AKIHIKO, and KOHTA TAKEHARA. "A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS." International Journal of Theoretical and Applied Finance 13, no. 08 (December 2010): 1179–221. http://dx.doi.org/10.1142/s0219024910006169.

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This paper develops a general approximation scheme, henceforth called a hybrid asymptotic expansion scheme for valuation of multi-factor European path-independent derivatives. Specifically, we apply it to pricing long-term currency options under a market model of interest rates and a general diffusion stochastic volatility model with jumps of spot exchange rates. Our scheme is very effective for a type of models in which there exist correlations among all the factors whose dynamics are not necessarily affine nor even Markovian so long as the randomness is generated by Brownian motions. It can

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LUDKOVSKI, MICHAEL, and QUNYING SHEN. "EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS." International Journal of Theoretical and Applied Finance 16, no. 07 (November 2013): 1350043. http://dx.doi.org/10.1142/s021902491350043x.

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We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such liquidity constraints, we focus on the case where the market is completely static in the illiquid regime. We then consider derivative pricing using either equivalent martingale measures or exponential indifference mechanisms. Our main results concern the analysis of the semi-linear coupled Hamilton–Jacobi–Bellman (HJB) equation satisfied by the indifference price

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Heidari, Massoud, and Liuren Wu. "A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives." Journal of Financial and Quantitative Analysis 44, no. 3 (June 2009): 517–50. http://dx.doi.org/10.1017/s0022109009990093.

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AbstractDynamic term structure models explain the yield curve variation well but perform poorly in pricing and hedging interest rate options. Most existing option pricing practices take the yield curve as given, thus having little to say about the fair valuation of the underlying interest rates. This paper proposes an m + n model structure that bridges the gap in the literature by successfully pricing both interest rates and interest rate options. The first m factors capture the yield curve variation, whereas the latter n factors capture the interest rate options movements that cannot be effec

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Tahani, Nabil, and Xiaofei Li. "Pricing interest rate derivatives under stochastic volatility." Managerial Finance 37, no. 1 (January 31, 2011): 72–91. http://dx.doi.org/10.1108/03074351111092157.

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PurposeThe purpose of this paper is to derive semi‐closed‐form solutions to a wide variety of interest rate derivatives prices under stochastic volatility in affine‐term structure models.Design/methodology/approachThe paper first derives the Frobenius series solution to the cross‐moment generating function, and then inverts the related characteristic function using the Gauss‐Laguerre quadrature rule for the corresponding cumulative probabilities.FindingsThis paper values options on discount bonds, coupon bond options, swaptions, interest rate caps, floors, and collars, etc. The valuation appro

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Epstein, D., and P. Wilmott. "A New Model for Interest Rates." International Journal of Theoretical and Applied Finance 01, no. 02 (April 1998): 195–226. http://dx.doi.org/10.1142/s0219024998000114.

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There are many theories and models underlying the valuation of fixed income security portfolios. This work addresses the problem from a new perspective: the objective is to find a lower bound for the value of a portfolio of cash flows. We set up conditions for the evolution of a short-term interest rate and value a liability using its present value. We formulate a first-order nonlinear hyperbolic partial differential equation for the value, V, of the portfolio. We explore the solution of this equation and then hedge our portfolio with market-traded zero-coupon bonds of known value. We include

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GEORGIOPOULOS, NICK. "HIGH UNCERTAINTY FINANCING." International Journal of Theoretical and Applied Finance 20, no. 07 (November 2017): 1750043. http://dx.doi.org/10.1142/s0219024917500431.

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In this paper, we study the financing of high uncertainty projects. High uncertainty is defined as the lack of knowledge of whether growth options exist. In this paper, we will describe this uncertainty by a probability distribution which describes the arrival of a growth option at a deterministic time. Once the option arrives, an additional uncertainty exists since it is not certain that it is profitable to exercise it. We value the corporate securities with contingent claims valuation both for a whole equity-financed firm and a debt-equity-financed firm. Unlike traditional capital structure

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Tonkes, Elliot, and Dharma Lesmono. "A Longstaff and Schwartz Approach to the Early Election Problem." Advances in Decision Sciences 2012 (October 18, 2012): 1–18. http://dx.doi.org/10.1155/2012/287579.

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In many democratic parliamentary systems, election timing is an important decision availed to governments according to sovereign political systems. Prudent governments can take advantage of this constitutional option in order to maximize their expected remaining life in power. The problem of establishing the optimal time to call an election based on observed poll data has been well studied with several solution methods and various degrees of modeling complexity. The derivation of the optimal exercise boundary holds strong similarities with the American option valuation problem from mathematica

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44

ANÉ, THIERRY, and VINCENT LACOSTE. "UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS." International Journal of Theoretical and Applied Finance 04, no. 03 (June 2001): 467–89. http://dx.doi.org/10.1142/s0219024901001073.

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The classical option valuation models assume that the option payoff can be replicated by continuously adjusting a portfolio consisting of the underlying asset and a risk-free bond. This strategy implies a constant volatility for the underlying asset and perfect markets. However, the existence of non-zero transaction costs, the consequence of trading only at discrete points in time and the random nature of volatility prevent any portfolio from being perfectly hedged continuously and hence suppress any hope of completely eliminating all risks associated with derivatives. Building upon the uncert

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Bell, Timothy B., Wayne R. Landsman, Bruce L. Miller, and Shu Yeh. "The Valuation Implications of Employee Stock Option Accounting for Profitable Computer Software Firms." Accounting Review 77, no. 4 (October 1, 2002): 971–96. http://dx.doi.org/10.2308/accr.2002.77.4.971.

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We use the Ohlson (1995, 1999) and Feltham and Ohlson (1999) valuation models to investigate the market's perception of the economic effect of employee stock options (ESOs) on firm value for a sample of 85 profitable computer software companies. Our results suggest that the market appears to value these firms' ESO expense not as an expense but as an intangible asset (even after controlling for the endogeneity bias arising from the mechanical relation between ESOs and the underlying stock prices). However, we also find a conflict between: (1) the positive manner in which investors appear to val

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46

Reis, Pedro Nogueira, and Mário Gomes Augusto. "What Is a Firm’s Life Expectancy? Empirical Evidence in the Context of Portuguese Companies." Journal of Business Valuation and Economic Loss Analysis 10, no. 1 (January 1, 2015): 45–75. http://dx.doi.org/10.1515/jbvela-2014-0003.

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AbstractIt isa fact that the uncertainty about a firm’s future has to be measured and incorporated into a company’s valuation throughout the explicit analysis period – in the continuing or terminal value within valuation models. One of the concerns that can influence the continuing value of enterprises, which is not explicitly considered in traditional valuation models, is a firm’s average life expectancy. Although the literature has studied the life cycle of a firm, there is still a considerable lack of references on this topic. If we ignore the period during which a company has the ability t

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Singh, Vipul Kumar. "Pricing competitiveness of jump-diffusion option pricing models: evidence from recent financial upheavals." Studies in Economics and Finance 32, no. 3 (August 3, 2015): 357–78. http://dx.doi.org/10.1108/sef-08-2012-0099.

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Purpose – The purpose of this paper is to investigate empirically the forecasting performance of jump-diffusion option pricing models of (Merton and Bates) with the benchmark Black–Scholes (BS) model relative to market, for pricing Nifty index options of India. The specific period chosen for this study canvasses the extreme up and down limits (jumps) of the Indian capital market. In addition, equity markets keep on facing high and low tides of financial flux amid new economic and financial considerations. With this backdrop, the paper focuses on finding an impeccable option-pricing model which

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Heath, Davidson. "Macroeconomic Factors in Oil Futures Markets." Management Science 65, no. 9 (September 2019): 4407–21. http://dx.doi.org/10.1287/mnsc.2017.3008.

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This paper documents new evidence against perfect risk spanning in crude oil futures, and develops an affine futures pricing model that allows for unspanned macroeconomic factors. Compared to previous estimates, the oil spot premium is more volatile and strongly procyclical, which suggests that previous models miss the majority of variation in oil risk premiums. The estimates reveal a dynamic two-way relationship between oil futures and economic activity: productivity shocks are associated with higher oil prices, while oil price shocks affect economic activity by lowering future consumption sp

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Tajani, Francesco, Pierluigi Morano, Francesca Salvo, and Manuela De Ruggiero. "Property valuation: the market approach optimised by a weighted appraisal model." Journal of Property Investment & Finance 38, no. 5 (September 13, 2019): 399–418. http://dx.doi.org/10.1108/jpif-07-2019-0094.

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Purpose The purpose of this paper is to develop an innovative model that can be included within the market approach methods for property valuations. The algorithm takes into account the frequent high level of dissimilarity of the comparables selected for the assessment, thus providing for the use of appropriate similarity and reliability coefficients capable of weighing the data of the comparison sample with respect to the different degrees of similarity and reliability. Design/methodology/approach The proposed model borrows the operative logics of the goal programming techniques, in order to

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Chutka, Jan, and Katarina Kramarova. "Usage of P/E earning models as a tool for valuation of shares in condition of global market." SHS Web of Conferences 74 (2020): 01007. http://dx.doi.org/10.1051/shsconf/20207401007.

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With the rapid development of computational technology, non-traditional mathematical and statistical methods have also parallely developed to help simplify and accelerate the computation of certain tasks, or even to solve problems that are usually unsolvable. The aim of this paper is to get closer to the P/E earning models and briefly summarize their calculation and usage options. In the first part of our paper we briefly worked out the theoretical basis of these models. Furthermore, we focused on a detailed description of their calculation and use in calculating the value of shares. In the se

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