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371.
Thor Bøckman Stein-Erik FletenErik Juliussen Håvard J. LanghammerIngemar Revdal 《European Journal of Operational Research》2008
This paper presents a method for assessing small hydropower projects that are subject to uncertain electricity prices. We present a real options-based method with continuous scaling, and we find that there is a unique price limit for initiating the project. If the current electricity price is below this limit it is never optimal to invest, but above this limit investment is made according to the function for optimal size. The connection between the real option and the physical properties of a small hydropower plant is dealt with using a spreadsheet model that performs a technical simulation of the production in a plant, based on all the important choices for such a plant. The main results of the spreadsheet are simulated production size and the investment costs, which are in turn used for finding the value of the real option and the price limit. The method is illustrated on three different Norwegian small hydropower projects. 相似文献
372.
不确定需求下的企业最优外汇持有量模型研究 总被引:1,自引:0,他引:1
把外汇作为存货看待,考虑了外汇的持有成本、转换成本、汇率风险,外汇存款利率以及利息税率等因素,通过建立数学模型来研究不确定需求下的企业最优外汇持有量问题. 相似文献
373.
Hybrid or electric vehicles? A real options perspective 总被引:1,自引:0,他引:1
Michi Nishihara 《Operations Research Letters》2010,38(2):87-93
This paper investigates the decision of an automaker concerning the alternative promotion of a hybrid vehicle (HV) and a full electric vehicle (EV). We evaluate the HV project by considering the option to change promotion from the HV to the EV in the future. The results not only extend previous findings concerning American options on multiple assets, but also include several new implications. One notable observation is that increased market demand for EVs can accelerate the promotion of the HV because of the embedded option. 相似文献
374.
375.
Valuing the option to invest in an incomplete market 总被引:3,自引:0,他引:3
Vicky Henderson 《Mathematics and Financial Economics》2007,1(2):103-128
This paper considers the impact of entrepreneurial risk aversion and incompleteness on investment timing and the value of
the option to invest. A risk averse entrepreneur faces the irreversible decision of when to pay a cost in order to receive
a one-off investment payoff. The uncertainty associated with the investment payoff can be partly offset by hedging, but the
remaining unhedgeable risk is idiosyncratic. Nested within our incomplete set-up is the complete model of McDonald and Siegel
(Q J Econ 101:707–727, 1986) which assumes investment payoffs are perfectly spanned by traded assets. We find risk aversion
and idiosyncratic risk erode option value and lower the investment threshold. Our main finding is that there is a parameter
region within which the complete and incomplete models give differing investment signals. In this region, the option is never
exercised (and investment never occurs) in the complete model, whereas the entrepreneur exercises the option in the incomplete
setting. Strikingly, this parameter region corresponds to a negative implicit dividend yield on the payoff, and so this exercise
behavior contrasts with conventional wisdom of Merton (Bell J Econ Manage 4:141–183, 1973) for complete markets. Finally,
in this parameter region, increased volatility speeds-up investment and option values are not strictly convex in project value,
in sharp contrast to the conclusion of standard real options models.
The author thanks George Constantinides, Graham Davis, Jerome Detemple, Avinash Dixit, David Hobson, Stewart Hodges, Bart
Lambrecht, Andrew Lyasoff, Robert McDonald, Pierre Mella-Barral, Jianjun Miao, Bob Nau (ES discussant), Gordon Sick, James
Smith, Stathis Tompaidis, Elizabeth Whalley and Zvi Wiener for their comments. The author also thanks seminar participants
at the University of Texas at Austin (2004), Kings College London, the Cornell Finance Workshop, the Oxford-Princeton Finance
Workshop, the BIRS Finance Workshop (2004), the Eighth Annual Real Options conference, the Bachelier Finance Society Third
World Congress (2004), Princeton University, Boston University, the Fields Institute Toronto, QMF 2004, Warwick Business School,
and the Econometric Society Winter Meetings (2006). First version: July, 2004. 相似文献
376.
Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk 总被引:3,自引:0,他引:3
We study the classical real option problem in which an agent faces the decision if and when to invest optimally into a project.
The investment is assumed to be irreversible. This problem has been studied by Myers and Majd (Adv Futures Options Res 4:1–21,
1990) for the case of a complete market, in which the risk can be perfectly hedged with an appropriate spanning asset, by
McDonald and Siegel (Q J Econ, 101:707–727, 1986), who include the incomplete case but assume that the agent is risk neutral
toward idiosyncratic risk, and later by Henderson (Valuing the option to invest in an incomplete market, , 2006) who studies the incomplete case with risk aversion toward idiosyncratic risk under the assumption that the project
value follows a geometric Brownian motion. We take up Henderson’s utility based approach but assume as suggested by Dixit
and Pindyck (Investment under uncertainty, Princeton University Press, Princeton, 1994) as well as others, that the project
value follows a geometric mean reverting process. The mean reverting structure of the project value process makes our model
richer and economically more meaningful. By using techniques from optimal control theory we derive analytic expressions for
the value and the optimal exercise time of the option to invest.
相似文献
377.
现实生活中,期权的标的资产常与某些因素存在一定的联系,而这些因素势必影响到期权的定价.例如,各种信用风险证券的定价就属于这类问题.因此,在处理期权的定价同题时就必须将这些因素考虑进去.本文利用风险中性定价方法(即鞅文法),比较系数法以及线性代数中的某些相关性质,讨论并推导出标的资产受多因素影响的买入期权的定价公式. 相似文献
378.
In this paper, we elaborate how Poisson regression models of different complexity can be used in order to model absolute transaction price changes of an exchange‐traded security. When combined with an adequate autoregressive conditional duration model, our modelling approach can be used to construct a complete modelling framework for a security's absolute returns at transaction level, and thus for a model‐based quantification of intraday volatility and risk. We apply our approach to absolute price changes of an option on the XETRA DAX index based on quote‐by‐quote data from the EUREX exchange and find that within our Bayesian framework a Poisson generalized linear model (GLM) with a latent AR(1) process in the mean is the best model for our data according to the deviance information criterion (DIC). While, according to our modelling results, the price development of the underlying, the intrinsic value of the option at the time of the trade, the number of new quotations between two price changes, the time between two price changes and the Bid–Ask spread have significant effects on the size of the price changes, this is not the case for the remaining time to maturity of the option. Copyright © 2006 John Wiley & Sons, Ltd. 相似文献
379.
The paper demonstrates that a ceding company can fully hedge itself against adverse movements of the exchange rate in the case of excess of loss foreign reinsurance by using the currency option markets. 相似文献
380.
Michail Chronopoulos Bert De Reyck Afzal Siddiqui 《European Journal of Operational Research》2011,213(1):109-237
Traditional real options analysis addresses the problem of investment under uncertainty assuming a risk-neutral decision maker and complete markets. In reality, however, decision makers are often risk averse and markets are incomplete. We confirm that risk aversion lowers the probability of investment and demonstrate how this effect can be mitigated by incorporating operational flexibility in the form of embedded suspension and resumption options. Although such options facilitate investment, we find that the likelihood of investing is still lower compared to the risk-neutral case. Risk aversion also increases the likelihood that the project will be abandoned, although this effect is less pronounced. Finally, we illustrate the impact of risk aversion on the optimal suspension and resumption thresholds and the interaction among risk aversion, volatility, and optimal decision thresholds under complete operational flexibility. 相似文献