introduction: risk is an essential component in the production and sale of agricultural products. due to the nature of agricultural products, the people who act in this area including farmers and businesspersons encounter unpredictable fluctuations of prices. on the other hand, the firms that process agricultural products also face fluctuation of price of agricultural inputs. given that the can...

American options are financial contracts that allow exercise at any time until expiration. While the pricing of standard American option contracts has been well researched, with a few exceptions no analytical solutions exist. Valuation of more involved American option contracts, which include multiple underlying assets or pathdependent payoff, is still to a high degree an uncharted area. Most n...

A make-your-mind-up option is an American derivative with delivery lags. We show that its put can be decomposed as a European and new type of American-style derivative. The latter for which the investor receives Greek Theta corresponding running payoff, decides optimal stopping time to terminate contract. Based on this decomposition using free boundary techniques, we associated exercise exists ...

a unique arrangement of option contract -commitment to sell or buy by one of the parties and create some rights for the other party- has led this arrangement cannot be found similarly in the various contracts mentioned in the civil or sharia law. on the other hand approval of securities market act of the islamic republic of iran has provided legal environment for the design and issuance of opti...

    Capacity Reservation,   Option Contract,   Supplier Selection A key issue for manufacturing firms is planning for outsourced components. In this research, we have considered a manufacturer in a Make-to-Order production environment who has to outsource a special component from a set of suppliers. One selling season is considered and the manufacturer faces uncertain demand during the selling ...

In this paper, in order to model breach of contract risk, we design and value a bundled option that is composed of contract abandonment and price renegotiation. We show numerically that the bundled option is more valuable for the contract than either of the options, ie, contract abandonment and price renegotiation, in isolation. This value increases monotonically as the spot price becomes more ...

The Bermudan option allows the contract holders to make and buy a hybrid between American European options. can be executed at certain times until due of contract. purpose this research is determine price using binomial method, then compare method result n steps with market price. In determining stock prices each point, there will two branches method: up down branches. These represent movement ...

I provide a micro-foundation for dynamically incomplete contracts that are renegotiated over time. The micro-foundation is based on showing that such contracts implement the optimal complete contract in a general dynamic model provided the players have “preference-for-robustness.” Preference-for-robustness is a way of modeling players perpetually having a fuzzy idea as time passes about events ...

This paper examines the valuation of a generalized American-style option known as a game-style call option in an infinite time horizon setting. The specifications of this contract allow the writer to terminate the call option at any point in time for a fixed penalty amount paid directly to the holder. Valuation of a perpetual game-style put optionwas addressed byKyprianou (2004) in a Black-Scho...