Concept

Option style

Publications associées (125)

Hedging Electricity Swing Options in Incomplete Markets

The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...

2011

Explaining asset pricing puzzles associated with the 1987 market crash

Pierre Collin Dufresne

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in whic ...

Elsevier2011

Measuring and assessing urban sprawl : What are the remaining options for future settlement development in Switzerland for 2030 ?

Martin Schuler, Alain Nicolas Jarne

Face à l’accélération du processus d’étalement urbain et aux changements significatifs du paysage qui en découlent en Europe, cet article s’interroge sur la possibilité de trouver des indicateurs permettant de mettre en évidence les régions sujettes à l’ét ...

Springer Verlag2010

Variance Risk Premia in Energy Commodities

Anders Trolle

This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...

2010

Option Contracting in the California Water Market

Thomas Alois Weber

Temporary water transfers, as achievable under option contracts, capture gains from trade that would go unrealized if only permanent transfers of water rights were possible. This paper develops a bilateral option contracting model for water which includes ...

Springer Verlag2010

Real options valuation of fusion energy R&D programme

Edgard Gnansounou, Denis Bednyagin

This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...

Elsevier2010

Dynamic investment and financing under personal taxation

Erwan Morellec, Norman Schuerhoff

This paper examines the effects of capital gains taxation on firms’ investment and financing decisions. We develop a real options model in which the timing of investment, the decision to default, and the firm’s capital structure are endogenously and jointl ...

2010

Pricing expropriation risk in natural resource contracts – A real options approach

Anders Trolle

We develop a model for pricing expropriation risk in natural resource projects, in particular an oil field. The government is viewed as holding an American-style option to expropriate the oil field, but facing the following three possible expropriation cos ...

MIT press2010

Socio-Economic Assessment of Fusion Energy Research, Development, Demonstration and Deployment Programme

Denis Bednyagin

Providing safe, clean and affordable energy supply is essential for meeting the basic needs of human society and for supporting economic growth. From the historical perspective, the constantly growing energy use was one of the main factors, which drove the ...

EPFL2010

Ambipolar silicon nanowire FETs with stenciled sub-µm metal gate

Giovanni De Micheli, Jürgen Brugger, Andreea Veronica Savu, Davide Sacchetto, Yusuf Leblebici

A fully CMOS compatible fabrication flow using low temperature a-Si LPCVD and stencil lithography has been developed and proved suitable for SiNW FinFETs having ambipolar conductance. The stencil mask has been demonstrated to be a real option for sub-micro ...

2010

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