ERN: Other Econometric Modeling: Derivatives (Topic)最新文献

Adoption of Real Options Valuation in Sub-Sahara Africa PPP Developments 在撒哈拉以南非洲PPP发展中采用实物期权估值

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2021-09-09 DOI: 10.2139/ssrn.3920325

Alfred Ayodele Meseko, O. Karpenko, Ridwan Adekunle

{"title":"Adoption of Real Options Valuation in Sub-Sahara Africa PPP Developments","authors":"Alfred Ayodele Meseko, O. Karpenko, Ridwan Adekunle","doi":"10.2139/ssrn.3920325","DOIUrl":"https://doi.org/10.2139/ssrn.3920325","url":null,"abstract":"The objective of this paper is to apply ROA to the valuation of the option to abandon a toll road project. The research is aimed at providing an efficient technique for the valuation of real options in PPP projects in Africa. The research design is a cross sectional design. The derived model is a conceptual model based on binomial option pricing; it involves a stochastic movement i.e. the occurrence of tomorrow event is not determined by the past event. In relating this to the financial world, it can be said that the value for a given asset for a particular period is not always stationary for some periods to come. This model involves two probabilistic occurrences which are the success (p) and failure (q) stating that the value of an asset can either move upward or downward at a particular period of time. The paper shows that real options have a great potential in offering plausible explanations to existing relationships in project finance including strategic management in discovering new theories that will transform the field of PPP project in Africa as whole. In order to alleviate the problem of risk, public partners offer private partners numerous risk mitigation strategies such as MRG, TRC, and abandonment options, thus providing them flexibility to decide upon their investments during the project life. The ROA approach was introduced because traditional approaches to valuing investment opportunities do not consider managerial flexibility to revise decisions in the future.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"19 9","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132061099","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Note on the Alos Decomposition Formula 关于Alos分解公式的注解

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2021-08-25 DOI: 10.2139/ssrn.3911280

Frido Rolloos

引用次数: 0

Feedback, Flow-induced Fire Sales, and Option Returns 反馈、流诱导的甩卖和期权回报

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2021-07-09 DOI: 10.2139/ssrn.3881317

Han Xiao

引用次数: 0

Implied Equity Premium and Market Beta 隐含股权溢价和市场贝塔系数

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2021-01-06 DOI: 10.2139/ssrn.3761471

Victor K. Chow, Jiahao Gu, Zhan Wang

引用次数: 0

A 50-year Retrospect of the Black-Scholes-Merton (BSM) Argument through Three Questions 从三个问题回顾Black-Scholes-Merton (BSM)理论50年

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-12-31 DOI: 10.2139/ssrn.3758187

Henry Wurts

{"title":"A 50-year Retrospect of the Black-Scholes-Merton (BSM) Argument through Three Questions","authors":"Henry Wurts","doi":"10.2139/ssrn.3758187","DOIUrl":"https://doi.org/10.2139/ssrn.3758187","url":null,"abstract":"This paper provides a retrospect of the Black-Scholes-Merton (BSM) argument that is used to derive the common BSM formula. The paper utilizes and builds upon a frame used to provide a retrospect of the Put-Call Parity (PCP) provided in Wurts (2018a). Accordingly, this paper fills a promise that lessons-learned from PCP analysis can be applied to more complex models for financial derivatives, and leads to a subsequent promise that lessons-learned from BSM analysis can also be applied to more-complex financial instruments and their models. The paper utilizes heuristics already developed for PCP analysis (as found in Wurts (2018a, 2018b, and 2019)) and introduces additional heuristics that can be useful in the corporate governance of model validation, including the micro corporate governance of financial instrument valuation models. The paper address three retrospect questions. (1) Should the BSM argument hold? (No.) (2) Has the BSM argument held? (Not necessarily.) (3) What are consequences for presuming the BSM argument has held? (Inconsistent logic, with added details.) The paper also provides an assessment regarding how other scholars have provided a different retrospect on the BSM model in general. And while other scholars have emphasized a naming of the BSM Formula (i.e., the seminal formula for a Call option) and the BSM Equation (i.e., the seminal fundamental partial differential equation for “all” derivatives, that leads to the BSM Formula), it is not clear that scholars have well characterized the BSM Argument. Hence, an introductory description of the BSM Argument is provided herein, in the context of what the BSM model and approach is.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126010765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Prices and Volatilities of Oil Markets in 2020: Back to Bachelier 2020年石油市场的价格和波动:回到单身汉

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-09-20 DOI: 10.2139/ssrn.3696081

Roza Galeeeva, Ehud I. Ronn

引用次数: 0

Dynamic Term Structure Models for SOFR Futures SOFR期货的动态期限结构模型

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-09-11 DOI: 10.2139/ssrn.3692283

Jacob Bjerre Skov, D. Skovmand

{"title":"Dynamic Term Structure Models for SOFR Futures","authors":"Jacob Bjerre Skov, D. Skovmand","doi":"10.2139/ssrn.3692283","DOIUrl":"https://doi.org/10.2139/ssrn.3692283","url":null,"abstract":"The LIBOR rate is currently scheduled for discontinuation, and the replacement advocated by regulators in the US is the Secured Overnight Financing Rate (SOFR). The change has the potential to disrupt the $200 trillion market of derivatives and debt tied to the LIBOR. The only SOFR linked derivative with any significant liquidity and trading history is the SOFR futures contract, traded at the CME since 2018. We use the historical record of futures prices to construct dynamic arbitrage-free models for the SOFR term structure. The models allow you to construct forward-looking SOFR term rates, imply a SOFR discounting curve and price and risk and risk manage SOFR derivatives, not yet liquidly traded in the market. We find that a standard three-factor Gaussian arbitrage-free Nelson-Siegel model describes term rates very well but a shadow-rate extension is needed to describe the behaviour near the zero-boundary. We also find that the jumps and seasonal effects observed in SOFR, do not need to be specifically accounted for in a model for the futures prices. Finally we study the so-called convexity correction and find that it becomes significant beyond the 2 year maturity. For validation purposes we demonstrate that our model aligns closely with the methodology used by the Federal Reserve to publish indicative SOFR term rates.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"112 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131720324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 13

Back to Basis: A Universal Return Predictor Across Asset Classes 回归基础:跨资产类别的普遍回报预测

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-09-10 DOI: 10.2139/ssrn.3690628

Marat Molyboga

引用次数: 0

Extreme Price Co-Movement of Commodity Futures and Industrial Production Growth: An Empirical Evaluation 商品期货极端价格联动与工业生产增长:一个实证评价

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-08-26 DOI: 10.2139/ssrn.3681159

Xiaoqian Wen, Yuxin Xie, A. Pantelous

引用次数: 1

The Role of Intermediaries in Derivatives Markets: Evidence from VIX Options 中介机构在衍生品市场中的作用:来自VIX期权的证据

ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-06-24 DOI: 10.2139/ssrn.3635087

Kris Jacobs, A. Mai

引用次数: 2