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This paper considers the valuation of a spread call when asset prices are log-normal. The implicit strategy of the Kirk formula is to exercise if the price of the long asset exceeds a given power function of the price of the short asset. We derive a formula for the spread call value, conditional...
Persistent link: https://www.econbiz.de/10010953679
This paper considers the valuation of a spread call when asset prices are lognormal. The implicit strategy of the Kirk formula is to exercise if the price of the long asset exceeds a given power function of the price of the short asset. We derive a formula for the spread call value, conditional...
Persistent link: https://www.econbiz.de/10005645052
A flexible load contract is a type of swing option where the holder has the right to receive a given quantity of electricity within a specified period, at a fixed maximum effect (delivery rate). The contract is flexible, in the sense that delivery (the take hours) is called one day in advance....
Persistent link: https://www.econbiz.de/10005645057
The existence of a financial gas market motivates the analysis of gas storage as a separate asset, using the market value context for utilization and valuation. In the recent literature, gas storage is typically analysed within a framework with a simple one-factor price dynamics that is solved...
Persistent link: https://www.econbiz.de/10005645082
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This paper presents a closed-form approximation of the value of the finite-lived American option where the underlying asset provides a constant pay-out rate. It is derived by imposing a restriction on the set of feasible exercise strategies, and thus represents a lower bound to the option value....
Persistent link: https://www.econbiz.de/10009217578
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A two factor general equilibrium model with perfect international capital mobility, endogenous supply of capital and labour, and heterogeneous individuals, is used to analyze the relation between taxes and capital income and labour income, and the efficiency of free capital mobility.
Persistent link: https://www.econbiz.de/10005671995
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