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Option Pricing
In this contest, we use three main techniques to price option:
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Remanufacturing supply chain coordination through option contracts under uncertain demand
In this paper we study the role of option contracts in a remanufacturing supply chain (RSC) where a remanufacturer acquires and remanufactures used...
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Dynamic hedging for the real option management of hydropower production with exchange rate risks
We study the risk management problem of a hydropower producer that hedges risk by trading currency and power futures contracts. The model considers...
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A Fuzzy Real Option Valuation Approach To Capital Budgeting Under Uncertainty Environment
The information needed for capital budgeting is generally not known with certainty. The sources of uncertainty may be the net cash inflows, the life...
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Convex duality in continuous option pricing models
We provide an alternative description of diffusive asset pricing models using the theory of convex duality. Instead of specifying an underlying...
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Option Pricing
Call and put options provide a standard tool for hedging exposure to foreseeable risk. The pricing of options is inherently coupled to the price of...
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Multi-period pricing and order decisions for fresh produce with option contracts
With the construction of a multi-period newsvendor model, this study examines the ordering behaviour and pricing decisions of a fresh produce firm....
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A barrier real option approach to evaluate public–private partnership projects and prevent moral hazard
When governments contend with financial restrictions, they may form public–private partnerships (PPPs) to help fund projects. In these types of...
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Real Option Exercise Decisions in Information Technology Investments: a Comment
The paper comments on Khan et al. ( J Assoc Inf Syst 18(5):372–402,
2017 ), who study real option exercise decisions in the context of a single IT... -
Real Options
AmongReal option the derivativesDerivatives mentioned in Chap. 9 , forward and futures contractsFutures...
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An efficient unified approach for spread option pricing in a copula market model
In this study, we propose a new formula for spread option pricing with the dependence of two assets described by a copula function. The proposed...
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Approximate option pricing under a two-factor Heston–Kou stochastic volatility model
Under a two-factor stochastic volatility jump (2FSVJ) model we obtain an exact decomposition formula for a plain vanilla option price and a...
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Capital structure in an option-theoretic setting
This paper presents an option-theoretic framework for considering capital structure issues. The framework allows for illustration of the effect of...
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Real options in health insurance decisions: the Portuguese ADSE system
The choice between two different health insurance providers is, more often than not, taken from a static point of view, measuring costs and benefits...
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Investment disputes and their explicit role in option market uncertainty and overall risk instability
We propose a methodological approach for capturing and analyzing the impacts of investment disputes on option markets. A dispute submission typically...
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Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
Co-moments of asset returns play a major role in financial contagion during crises. We study the properties of a particular specification of the...
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Tokenized Real Estate Investments
In this brief letter, the chapter provides an overview of the current landscape of tokenized real estate. A comparative analysis is undertaken...
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Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
Mean reversion, stochastic volatility, convenience yield and presence of jump clustering are well documented salient features of commodity markets,...
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Tokenization in Real Estate
The chapter covers the tokenization in real estate in detail and will first present a review of the academic literature which has been published on...
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Unlocking the black box: Non-parametric option pricing before and during COVID-19
This paper addresses the interpretability problem of non-parametric option pricing models by using the explainable artificial intelligence (XAI)...
