Relevant bibliographies by topics / Option Valuation

Academic literature on the topic 'Option Valuation'

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Published: 4 June 2021
Last updated: 20 February 2023

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Journal articles on the topic "Option Valuation"

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Alexander, Gordon J., and Stuart M. Turnbull. "Option Valuation." Journal of Finance 44, no. 1 (March 1989): 224. http://dx.doi.org/10.2307/2328288.

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Gulabyan, A. "The Appraisal of Assets’ Fair Value Using the Real Options Technique." Review of Business and Economics Studies 8, no. 2 (March 1, 2021): 43–76. http://dx.doi.org/10.26794/2308-944x-2020-8-2-43-76.

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The goal of this paper is to analyse and systematise the possible approaches to real options valuation, especially when considering the practical aspects of their application in real-life valuation problems. Therefore, the paper sets the following tasks: To outline the concept of fair value and analyse the traditional approaches to its calculation in the context of asset valuation To define the real-option approach to fair value estimation and analyse its theoretical background To determine the role of the real options approach in the traditional system of valuation techniques To analyse the practical aspects of their application in valuation problems considering the corresponding examples To provide the real-life example of this technique applied in current market conditions using the recent data. The object of this research is the option pricing models, and the subject is their application in estimation of real options embedded in corporate valuations, particularly considering the side.
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Choi, Seungmook, and Mel Jameson. "Lookback Option Valuation." Journal of Derivatives 11, no. 2 (November 30, 2003): 53–64. http://dx.doi.org/10.3905/jod.2003.319216.

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JANG, WON-JOON, and JEONG-DONG LEE. "THE APPLICATION OF REAL OPTIONS THEORY IN DEFENSE R&D PROJECTS: AN EIGHT-FOLD SEQUENTIAL COMPOUND OPTION MODEL." International Journal of Innovation and Technology Management 08, no. 01 (March 2011): 95–112. http://dx.doi.org/10.1142/s0219877011002179.

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Today, despite the needs of more credible valuation models in defense research and development (R&D), defense decision makers mainly focus on previous cost and NPV-based approaches to evaluate them. Defense R&D projects should be considered as a sequential compound real option due to its relevant characteristics. This paper presents a real option valuation model with the use of an eight-fold compound option in the valuation of defense R&D projects and its illustrative application using a case study in the Republic of Korea. Compared to the traditional net present value (NPV) methods and their sensitivity analyses with value drivers, the paper shows the necessity of using real option approaches and their mindsets for defense decision makers to decide their defense R&D projects. The contribution of this paper is to present the real option framework in valuating of defense R&D projects, providing for the managerial flexibility with option mindsets. It also shows some limitations of using cost- and NPV-based approaches and presents real options valuation methods as its solution. The paper suggests some feasible defense policy implications that can be applied to the actual process of defense acquisition projects.
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Collan, Mikael, Robert Fullér, and József Mezei. "A Fuzzy Pay-Off Method for Real Option Valuation." Journal of Applied Mathematics and Decision Sciences 2009 (June 17, 2009): 1–14. http://dx.doi.org/10.1155/2009/238196.

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Real option analysis offers interesting insights on the value of assets and on the profitability of investments, which has made real options a growing field of academic research and practical application. Real option valuation is, however, often found to be difficult to understand and to implement due to the quite complex mathematics involved. Recent advances in modeling and analysis methods have made real option valuation easier to understand and to implement. This paper presents a new method (fuzzy pay-off method) for real option valuation using fuzzy numbers that is based on findings from earlier real option valuation methods and from fuzzy real option valuation. The method is intuitive to understand and far less complicated than any previous real option valuation model to date. The paper also presents the use of number of different types of fuzzy numbers with the method and an application of the new method in an industry setting.
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Soffer, Leonard C. "SFAS No. 123 Disclosures and Discounted Cash Flow Valuation." Accounting Horizons 14, no. 2 (June 1, 2000): 169–89. http://dx.doi.org/10.2308/acch.2000.14.2.169.

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One of the cornerstones of financial statement analysis is the discounted cash flow valuation. Despite the broad use of this valuation technique, and the economic importance of employee stock options to firm values, there is little guidance on how employee stock options should be incorporated in a valuation. This paper provides a comprehensive approach to doing so, including consideration of the income tax implications of option exercises, the simultaneity of equity and option valuation, and the use of the disclosures that were mandated recently by Statement of Financial Accounting Standards No. 123. The paper provides a comprehensive example using Microsoft's fiscal 1997 financial statements and employee stock option disclosure. This paper should be of interest to academics and practitioners involved in corporate valuation and financial statement analysis.
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Choi, Won, Doobae Jun, and Hyejin Ku. "A Valuation Formula for Chained Options with n -Barriers." Journal of Mathematics 2022 (January 18, 2022): 1–10. http://dx.doi.org/10.1155/2022/9563019.

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This study examines chained options that are connected in the sense that another barrier option becomes active continuously after the underlying asset price crosses a primary barrier. These barrier options have several advantages. First, they preserve the merit of regular barrier options, but demand far lower option premiums, which appeal to option traders. Second, they reduce the higher risk of loss of double barrier options, making option strategies more profitable in certain cases. Third, they have closed-form pricing formulas, unlike double-barrier options, and, thus, avoid the complexity of option pricing. Therefore, they help to enlarge the range of trader’s choice according to a variety of demand of buyers. The values of chained options are compared to those of similar single- and double-barrier options. This study extends the chained option with two barriers to a generalized chained option with n -barriers. In addition, this paper proves the closed formulas of generalized chained options with n-barriers using mathematical induction.
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Zhao, Jinsha. "American Option Valuation Methods." International Journal of Economics and Finance 10, no. 5 (March 29, 2018): 1. http://dx.doi.org/10.5539/ijef.v10n5p1.

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This paper implements and compares eight American option valuation methods: binomial, trinomial, explicit finite difference, implicit finite difference and quadratic approximation methods. And three Monte Carlo methods: bundling technique of Tilley (1993), simulated tree (ST) of Broadie, Glasserman, and Jain (1997), and least square regression method (LSM) of Longstaff and Schwartz (2001). Methods are compared in terms of computation efficiency and price accuracy. The findings suggest that binomial is the best performing numerical method in terms of accuracy and efficiency. LSM beats the other two simulation methods in terms of efficiency, accuracy and number of discrete exercise opportunities.
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Hewett, Thomas, and Roman Igolnikov. "Option valuation: key issues in option pricing." Balance Sheet 8, no. 4 (August 2000): 11–16. http://dx.doi.org/10.1108/09657960010373428.

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KE, ZIWEI, and JOANNA GOARD. "PENALTY AMERICAN OPTIONS." International Journal of Theoretical and Applied Finance 22, no. 02 (March 2019): 1950001. http://dx.doi.org/10.1142/s0219024919500018.

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We present a new American-style option whereby on the event of exercise before expiry, the holder pays the writer a fee (which will be referred to as a ‘penalty’). The valuation of the option is not straightforward as it involves determining when it is optimal for the holder to exercise the option, leading to a free boundary problem. As most options in the traded markets have short maturities, accurate and fast valuations of such options are important. We derive analytic approximations for the value of the option with short times to expiry (up to [Formula: see text] months) and its optimal exercise boundary. Some properties of the option, such as the put–call relationship, are explored as well. Numerical experiments suggest that our solutions both for the optimal exercise boundary and option value provide very accurate results.
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Dissertations / Theses on the topic "Option Valuation"

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Mollaret, Sébastian. "Collateral choice option valuation." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-161068.

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A bank borrowing some money has to give some securities to the lender, which is called collateral. Different kinds of collateral can be posted, like cash in different currencies or a stock portfolio depending on the terms of the contract, which is called a Credit Support Annex (CSA). Those contracts specify eligible collateral, interest rate, frequency of collateral posting, minimum transfer amounts, etc. This guarantee reduces the counterparty risk associated with this type of transaction. If a CSA allows for posting cash in different currencies as collateral, then the party posting collateral can, now and at each future point in time, choose which currency to post. This choice leads to optionality that needs to be accounted for when valuing even the most basic of derivatives such as forwards or swaps. In this thesis, we deal with the valuation of embedded optionality in collateral contracts. We consider the case when collateral can be posted in two different currencies, which seems sufficient since collateral contracts are soon going to be simplified. This study is based on the conditional independence approach proposed by Piterbarg [8]. This method is compared to both Monte-Carlo simulation and finite- difference method. A practical application is finally presented with the example of a contract between Natixis and Barclays.
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Athanassoglou, Minos 1976. "Valuation of shipbuilding option contracts." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/91341.

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Müller, Jürgen. "Real option valuation in service industries /." Wiesbaden : Dt. Univ.-Verl. [u.a.], 2000. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008939946&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Hu, Yu. "American Spread Option Models and Valuation." BYU ScholarsArchive, 2013. https://scholarsarchive.byu.edu/etd/3598.

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Spread options are derivative securities, which are written on the difference between the values of two underlying market variables. They are very important tools to hedge the correlation risk. American style spread options allow the holder to exercise the option at any time up to and including maturity. Although they are widely used to hedge and speculate in financial market, the valuation of the American spread option is very challenging. Because even under the classic assumptions that the underlying assets follow the log-normal distribution, the resulting spread doesn't have a distribution with a simple closed formula. In this dissertation, we investigate the American spread option pricing problem. Several approaches for the geometric Brownian motion model and the stochastic volatility model are developed. We also implement the above models and the numerical results are compared among different approaches.
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Hales, Stanley J. "Valuation of foreign currency options with the Paretian stable option pricing model /." The Ohio State University, 1997. http://rave.ohiolink.edu/etdc/view?acc_num=osu1269364712.

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Neuhaus, Henrik Juhan. "Option valuation and hedging under transactions costs." Thesis, London Business School (University of London), 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.337387.

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ALVES, MARIANA DE LEMOS. "FLEX FUEL CAR: A REAL OPTION VALUATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2007. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=10553@1.

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A tecnologia flex fuel foi desenvolvida pelo centro de pesquisas da Bosch do Brasil e lançado comercialmente no país em 2003. O conceito desse automóvel originou-se da possibilidade do carro utilizar como combustível álcool, gasolina ou qualquer proporção de mistura entre os dois em um mesmo tanque de combustível. Essa flexibilidade na escolha do combustível do carro flex fuel e a existência de incerteza com relação ao preço do álcool e da gasolina, agregam valor ao automóvel, pois o consumidor pode escolher o combustível mais barato toda vez que abastece o veículo. Este trabalho busca valorar essa vantagem do carro flex fuel em relação ao automóvel movido apenas à gasolina através da avaliação por Opções Reais, utilizando o Método de Simulação com Fluxos de Caixa Dinâmicos, e comparar as vantagens da Simulação de Monte Carlo em relação ao modelo de Árvore de Decisão Quadrinomial. Os resultados indicam que a opção inerente ao carro flex fuel é relevante para a decisão de adquirir um veiculo flex fuel e pode representar de 5% a 10% do seu valor.
The flex fuel car technology was developed by the Bosch Research Center in Brazil, and the firs model was launched in the market in 2003. The concept of flex fuel automobile derived from the possibility of using ethanol, gas or any proportion of this mixture in a fuel tank. The fuel flexibility and its price volatility add value to the vehicle because the consumer has the option to choose the cheapest fuel each time he needs it. We perform the valuation of the flex fuel automobile using Real Options Approach to Dynamic Cash Flow Simulation. The results show that the value of the flex fuel option is significant and can represent from 5% to 10% of the price of the automobile. We also compare this method to the quadrinomial decision tree model and show that while both provide similar results, the simulation method is similar and less computationally intensive.
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Rafiou, AS. "Foreign Exchange Option Valuation under Stochastic Volatility." University of the Western Cape, 2009. http://hdl.handle.net/11394/7777.

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>Magister Scientiae - MSc
The case of pricing options under constant volatility has been common practise for decades. Yet market data proves that the volatility is a stochastic phenomenon, this is evident in longer duration instruments in which the volatility of underlying asset is dynamic and unpredictable. The methods of valuing options under stochastic volatility that have been extensively published focus mainly on stock markets and on options written on a single reference asset. This work probes the effect of valuing European call option written on a basket of currencies, under constant volatility and under stochastic volatility models. We apply a family of the stochastic models to investigate the relative performance of option prices. For the valuation of option under constant volatility, we derive a closed form analytic solution which relaxes some of the assumptions in the Black-Scholes model. The problem of two-dimensional random diffusion of exchange rates and volatilities is treated with present value scheme, mean reversion and non-mean reversion stochastic volatility models. A multi-factor Gaussian distribution function is applied on lognormal asset dynamics sampled from a normal distribution which we generate by the Box-Muller method and make inter dependent by Cholesky factor matrix decomposition. Furthermore, a Monte Carlo simulation method is adopted to approximate a general form of numeric solution The historic data considered dates from 31 December 1997 to 30 June 2008. The basket contains ZAR as base currency, USD, GBP, EUR and JPY are foreign currencies.
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Hutton, J. P. "Fast valuation of derivative securities." Thesis, University of Essex, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.282493.

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Parthasarathy, Priya. "Real Option valuation of electricity Generators in Alberta." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0021/MQ55178.pdf.

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Books on the topic "Option Valuation"

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1957-, Srivastava Sanjay, ed. Option valuation and Option tutor. Cincinnati, Ohio: South-Western College, 1995.

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Gibson, Rajna. Option valuation: Analyzing and pricing standardized option contracts. Genève: Georg, 1988.

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Option valuation: Analyzing and pricing standardized option contracts. New York: McGraw-Hill, 1991.

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Müller, Jürgen. Real Option Valuation in Service Industries. Wiesbaden: Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-322-99299-4.

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Option valuation: An introduction to financial mathematics. Boca Raton: Taylor & Francis, 2012.

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Option valuation in the presence of market imperfections. Frankfurt am Main: P. Lang, 1993.

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Engle, R. F. Valuation of variance forecasts with simulated option markets. Cambridge, MA: National Bureau of Economic Research, 1990.

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Tunaru, Radu. An option pricing framework for valuation of football players. London: Middlesex University Business School, 2002.

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Schobel, Rainer. The Valuation of Insurance Contracts in an Option Pricing Framework. Berlin: Technische Universitat Berlin, Institut fur Wirtschaftswissenschaftliche Dokumentation, 1985.

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An introduction to financial option valuation: Mathematics, stochastics, and computation. New York: Cambridge University Press, 2004.

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Book chapters on the topic "Option Valuation"

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Miller, Ross M. "Option Valuation." In Economic and Financial Modeling with Mathematica®, 266–85. New York, NY: Springer New York, 1993. http://dx.doi.org/10.1007/978-1-4757-2281-9_12.

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in ’t Hout, Karel. "Financial Option Valuation." In Numerical Partial Differential Equations in Finance Explained, 1–8. London: Palgrave Macmillan UK, 2017. http://dx.doi.org/10.1057/978-1-137-43569-9_1.

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Wolff, Florian Cornelis. "Utility-based stock-option valuation." In Employee Stock Option Compensation, 79–144. Wiesbaden: Deutscher Universitätsverlag, 2004. http://dx.doi.org/10.1007/978-3-322-81849-2_4.

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Witzany, Jiří. "Option Markets, Valuation, and Hedging." In Springer Texts in Business and Economics, 77–140. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-51751-9_4.

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Musiela, Marek, and Marek Rutkowski. "Option Valuation in Gaussian Models." In Martingale Methods in Financial Modelling, 357–86. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-22132-7_15.

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Laopodis, Nikiforos T. "Option markets and valuation models." In Understanding Investments, 491–531. Second Edition. | New York: Routledge, 2020. | Revised edition of the author's Understanding investments, 2012.: Routledge, 2020. http://dx.doi.org/10.4324/9781003027478-20.

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Wolff, Florian Cornelis. "Review of risk-neutral valuation models." In Employee Stock Option Compensation, 53–77. Wiesbaden: Deutscher Universitätsverlag, 2004. http://dx.doi.org/10.1007/978-3-322-81849-2_3.

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Lee, Cheng Few, Joseph E. Finnerty, and Wei-Kang Shih. "Option Pricing Theory and Firm Valuation." In Handbook of Quantitative Finance and Risk Management, 377–92. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-0-387-77117-5_23.

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Zhu, Jianwei. "Option Valuation and the Volatility Smile." In Applications of Fourier Transform to Smile Modeling, 1–19. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-01808-4_1.

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Geske, Robert, and Siegfried Trautmann. "Option Valuation: Theory and Empirical Evidence." In Capital Market Equilibria, 79–133. Berlin, Heidelberg: Springer Berlin Heidelberg, 1986. http://dx.doi.org/10.1007/978-3-642-70995-1_4.

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Conference papers on the topic "Option Valuation"

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Kabaivanov, Stanimir, Mariyan Milev, Dessislava Koleva-Petkova, and Veselin Vladev. "Efficient option valuation of single and double barrier options." In PROCEEDINGS OF THE 43RD INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS: (AMEE’17). Author(s), 2017. http://dx.doi.org/10.1063/1.5013939.

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Laine, J. P. "Option Valuation of Field Development Projects." In SPE Hydrocarbon Economics and Evaluation Symposium. Society of Petroleum Engineers, 1997. http://dx.doi.org/10.2118/37965-ms.

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Cahyani, Agatha C. P., and Novriana Sumarti. "Implementation of power barrier option valuation." In THE 5TH INTERNATIONAL CONFERENCE ON MATHEMATICS AND NATURAL SCIENCES. AIP Publishing LLC, 2015. http://dx.doi.org/10.1063/1.4930640.

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Tse, Anson H. T., David B. Thomas, and Wayne Luk. "Accelerating Quadrature Methods for Option Valuation." In 2009 17th IEEE Symposium on Field Programmable Custom Computing Machines. IEEE, 2009. http://dx.doi.org/10.1109/fccm.2009.36.

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Li, Jiayi, and Xinwen Xu. "The Valuation of Basket-lookback Option." In 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022). Paris, France: Atlantis Press, 2022. http://dx.doi.org/10.2991/aebmr.k.220307.346.

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Li, Yingshuo, and Wei Wang. "The Valuation of Google Snowball Option." In 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022). Paris, France: Atlantis Press, 2022. http://dx.doi.org/10.2991/aebmr.k.220307.052.

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Fayaz-Heidari, Amir, Mahmud Fotuhi-Firuzabad, and Rahim Ghorani. "Economic Valuation of Demand Response Programs Using Real Option Valuation Method." In 2019 27th Iranian Conference on Electrical Engineering (ICEE). IEEE, 2019. http://dx.doi.org/10.1109/iraniancee.2019.8786727.

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Liang, Zhaohui, and Fasheng Li. "Valuation of Liquidity Discount: An Option-Theoretical Approach." In 2009 5th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2009. http://dx.doi.org/10.1109/wicom.2009.5304302.

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Akakandelwa, Nalumino. "Real Option Valuation of Development land in Windhoek." In 11th African Real Estate Society Conference. African Real Estate Society, 2011. http://dx.doi.org/10.15396/afres2011_111.

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Song, Na, Wai-Ki Ching, Tak-Kuen Siu, Eric S. Fung, and Michael K. Ng. "Option Valuation under a Multivariate Markov Chain Model." In 2010 Third International Joint Conference on Computational Science and Optimization. IEEE, 2010. http://dx.doi.org/10.1109/cso.2010.73.

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Reports on the topic "Option Valuation"

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Engle, Robert, Che-Hsiung Hong, and Alex Kane. Valuation of Variance Forecast with Simulated Option Markets. Cambridge, MA: National Bureau of Economic Research, May 1990. http://dx.doi.org/10.3386/w3350.

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Kane, Alex, and Alan Marcus. Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market. Cambridge, MA: National Bureau of Economic Research, May 1985. http://dx.doi.org/10.3386/w1614.

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Kraft, Holger, Eduardo Schwartz, and Farina Weiss. Growth Options and Firm Valuation. Cambridge, MA: National Bureau of Economic Research, February 2013. http://dx.doi.org/10.3386/w18836.

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Gui, Hairong. Real Options Methodology in Sportswear Retail Investment Valuation. Portland State University Library, January 2000. http://dx.doi.org/10.15760/etd.145.

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Pizarro, Jose, and Eduardo Schwartz. The Valuation of Fisheries Rights: A Real Options Approach. Cambridge, MA: National Bureau of Economic Research, October 2018. http://dx.doi.org/10.3386/w25140.

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Giachetti, Ronald E. Valuation of Capabilities and System Architectural Options to Meet Affordability Requirement. Fort Belvoir, VA: Defense Technical Information Center, March 2014. http://dx.doi.org/10.21236/ada612575.

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Giachetti, Ronald E. Valuation of Capabilities and System Architecture Options to Meet Affordability Requirement. Fort Belvoir, VA: Defense Technical Information Center, April 2014. http://dx.doi.org/10.21236/ada612930.

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