Displaying similar documents to “Thoughts about Selected Models for the Valuation of Real Options”

A fuzzy approach to option pricing in a Levy process setting

Piotr Nowak, Maciej Romaniuk (2013)

International Journal of Applied Mathematics and Computer Science

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In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets. We assume that some parameters of the financial instrument cannot be precisely described and therefore...

Some short elements on hedging credit derivatives

Philippe Durand, Jean-Frédéric Jouanin (2007)

ESAIM: Probability and Statistics

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In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...

A multi-granular linguistic model to evaluate the suitability of installing an ERP system.

Pedro José Sánchez, Luis G. Pérez, Francisco Mata, Antonio Gabriel López-Herrera (2005)

Mathware and Soft Computing

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The use of Enterprise Resource Planning (ERP) has shown clearly useful and economically profitable in most very large organizations which manage a great deal of data in their information systems. Nevertheless, the decision of installing an ERP system is not easy and it depends on the size, future profits and other features of the companies. The assessments of the parameters (features, aspects) used to evaluate the suitability of the ERP may be vague and imprecise because they are usually...