{"title":"Cliquet Option Pricing with Meixner Processes","authors":"M. Hess","doi":"10.15559/18-VMSTA96","DOIUrl":"https://doi.org/10.15559/18-VMSTA96","url":null,"abstract":"We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner--L'{e}vy process yielding Meixner distributed log-returns. In this setting, we infer semi-analytic expressions for the cliquet option price by using the probability distribution function of the driving Meixner--L'{e}vy process and by an application of Fourier transform techniques. In an introductory section, we compile various facts on the Meixner distribution and the related class of Meixner--L'{e}vy processes. We also propose a customized measure change preserving the Meixner distribution of any Meixner process.","PeriodicalId":205762,"journal":{"name":"EFMA 2004 Basel Meetings (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124419006","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}
{"title":"Examination of Potential Misrepresentation in CMBS","authors":"Ruoyu Shao","doi":"10.2139/ssrn.2727038","DOIUrl":"https://doi.org/10.2139/ssrn.2727038","url":null,"abstract":"Although CMBS suffered large scale losses during the past financial crisis, currently, this segment of the structured finance market has almost recovered to its pre-crisis level. While evidence was found regarding the systematic misrepresentation of loan quality information in residential mortgages, there was no evidence of large scale misreporting in CMBS. This paper examines important financial variables reported in commercial mortgages such as Underwritten Net Operating Income (UWNOI). I find that, prior to the financial crisis, UWNOI was consistently over-estimated by an average of 7.8%. This overstatement leads to Loan-to-Value ratio and Debt-Service Coverage Ratio being misreported as 67.1% from 84.2% and DSCR as 1.72 from 1.59. The levels of aggregate over-estimation substantially differed among originators and the variations explained the performance differences between originators. Each 1% increase in over-estimation resulted in a 20% higher likelihood in delinquency. The ratings issued by rating agencies failed to capture the adverse impact from over-estimation on CMBS performance.","PeriodicalId":205762,"journal":{"name":"EFMA 2004 Basel Meetings (Archive)","volume":"3 9","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132791474","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}
{"title":"Optimal Timing of Wind Farm Repowering: A Two-Factor Real Options Analysis","authors":"Sebastian Himpler, R. Madlener","doi":"10.21314/JEM.2014.111","DOIUrl":"https://doi.org/10.21314/JEM.2014.111","url":null,"abstract":"For more than twenty years now, wind power has been one of the main renewable energy sources. Whereas offshore wind utilization still has a high risk profile, the repowering of wind converters offers an interesting alternative to further increase the use of renewable energy. This paper studies the economics and optimal timing of repowering. We use a two-factor real options modeling framework that builds upon McDonald and Siegel’s 1986 approach. It allows consideration of the investment costs as well as revenues, both following a continuous time, stochastic process. In the next step, a Monte Carlo simulation is done to determine the probability of success of repowering for each year. Finally, we discuss the results of increasing repowering activities and highlight the efforts necessary to achieve this. The model is applied to the case of repowering a 4 x 450 kW wind farm in Denmark to one with 3 x 2 MW. We find that until now the high uncertainty in Denmark in terms of revenues has hindered further development of repowering and lowered the probability of success significantly, while the selling price of the used turbines has had only a minor effect on the optimal timing of repowering. Therefore, wind developers should argue for a larger stake of secured parts in revenues, achievable via higher government-guaranteed incentives.","PeriodicalId":205762,"journal":{"name":"EFMA 2004 Basel Meetings (Archive)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124605994","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}