Conversion-Option Debentures

Strip Intercropping: A CRP Conversion Option

Merchant Operations: Real Option Management of Commodity and Energy Conversion Assets

The value chain for energy and other commodities entails physical conversions through refineries, power plants, storage facilities, and transportation and other capital-intensive infrastructure. When the operation of such commodity conversion assets occurs alongside liquid markets for the input and output commodities, the operating flexibility of conversion assets can be managed as real options...

Comments Welcome No Pain, No Gain? Effecting Market Discipline via “Reverse Convertible Debentures”

The deadweight costs of financial distress limit many firms’ incentive to include a lot of (taxadvantaged) debt in their capital structures. It is therefore puzzling that firms do not make advance arrangements to re-capitalize themselves if large losses occur. Financial distress may be particularly important for large banking firms, which national supervisors are reluctant to let fail. The supe...

Valuation of installment option by penalty method

In this paper, installment options on the underlying asset which evolves according to Black-Scholes model and pays constant dividend to its owner will be considered. Applying arbitrage pricing theory, the non-homogeneous parabolic partial differential equation governing the value of installment option is derived. Then, penalty method is used to value the European continuous installment call opt...

Meshfree Methods in Option Pricing Meshfree Methods in Option Pricing

A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation ...