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Franchise ownership redirection : real options perspective
Nugroho, Lukito Adi - In: Financial innovation : FIN 2 (2016) 11, pp. 1-11
Background: For over 40 years, the franchise ownership redirection hypothesis has attracted the attention of many …, where the franchisor’s decision to franchise is perceived as a deferred investment while maintaining the right of future … classical real options call model. This is mainly due to franchise contractual arrangement, where royalty fee lower the …
Persistent link: https://www.econbiz.de/10011588611
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Equilibrium and Real Options in the Ethanol Industry : Modelling and Empirical Evidence
Davison, Matt - 2020
In the last twenty years a large number of competitive ethanol firms have established operations in the US. Ethanol, produced from corn, is blended with pure gasoline to produce fuel. Producers hold an option to turn off unprofitable plants. Blenders choose to substitute ethanol for gasoline at...
Persistent link: https://www.econbiz.de/10012850541
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An Algorithmic Model for Retail Credit Portfolio Segmentation
Yeh, Andy - 2013
Under the new Basel bank capital framework, a bank must group its retail exposures into multiple segments with homogeneous risk characteristics. The U.S. regulatory agencies believe that a bank may use the internal models, including the loan-level risk parameter estimates such as PD and LGD, to...
Persistent link: https://www.econbiz.de/10013085323
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Option Portfolio Value at Risk Using Monte Carlo Simulation Under a Risk Neutral Stochastic Implied Volatility Model
He, Peng - 2013
This paper calculates option portfolio Value at Risk (VaR) using Monte Carlo simulation under a risk neutral stochastic implied volatility model. Compared to benchmark delta-normal method, the model produces more accurate results by taking into account nonlinearity, passage of time,...
Persistent link: https://www.econbiz.de/10013090202
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An Algorithmic Model for Retail Credit Portfolio Segmentation
Yeh, Andy - 2015
Under the new Basel bank capital framework, each bank must group its retail exposures into multiple segments with homogeneous risk characteristics. The U.S. regulatory agencies believe that each bank may use its internal risk models for the loan-level risk parameter estimates such as probability...
Persistent link: https://www.econbiz.de/10013018835
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Pricing JSE Exotic Can-Do Options : Monte Carlo Simulation
Kotze, Antonie - 2015
Monte Carlo simulation or probability simulation is a technique used to understand the impact of risk and uncertainty in financial and other forecasting models. It is very useful when complex financial instruments need to be priced. Exotic options are listed on the JSE on its Can-Do platform....
Persistent link: https://www.econbiz.de/10013025169
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Neural network pricing of American put options
Gaspar, Raquel M.; Lopes, Sara Dutra; Sequeira, Bernardo - In: Risks : open access journal 8 (2020) 3/73, pp. 1-24
In this study, we use Neural Networks (NNs) to price American put options. We propose two NN models-a simple one and a more complex one-and we discuss the performance of two NN models with the Least-Squares Monte Carlo (LSM) method. This study relies on American put option market prices, for...
Persistent link: https://www.econbiz.de/10012293134
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Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study
Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95
Investment behaviour, techniques and choices have evolved in the options markets since the launch of options trading in 1973. Today, we are entering the field of Big Data and the explosion of information, which has become the main feature of science, impacts investors' decisions and their...
Persistent link: https://www.econbiz.de/10012115106
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Pricing of temperature-based weather options for Turkey
GÖNCÜ, Ahmet; KARAHAN, Mehmet Oguz; KUZUBAŞ, Tolga Umut - In: Iktisat Isletme ve Finans 26 (2011) 309, pp. 33-50
Weather derivatives provide better risk management alternatives for industries, which are exposed to weather-based risks. Dynamic pricing of weather derivatives requires a suitable underlying temperature model. This paper is the first to model the average daily temperatures and prices of...
Persistent link: https://www.econbiz.de/10009399318
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Valuation of R&D sequential exchange options using Monte Carlo approach
Cortelezzi, Flavia; Villani, Giovanni - In: Computational economics 33 (2009) 3, pp. 209-236
Persistent link: https://www.econbiz.de/10003828834