This is a quantitative study of the valuation and hedging of dangerous options, options whose hedging strategies require unreasonable or risky short positions of the underlying instrument. We examine the valuation of many exotic options, when a shortselling constraint is imposed, as an example for Contingent Claims in Incomplete Markets. The valuation problem is known to be a stochastic control...

Economic valuation of water is useful in the administration and management of water. Population growth and urbanization caused municipal water demand increase in Iran. Limited water resource supply and urban water network capacity raised complexity in water resources management. Present condition suggests using economic value of water as a criterion for allocating policies and feasibility study...

In this paper, we provide an analytic valuation method for European-type contingent claims with multiple underlying assets under a stochastic market environment. We employ a twostate Markov regime-switching volatility in order to reflect the stochastically-changing market environment. The method is developed by exploiting the probability densities of the occupation times for which the underlyin...

We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that, besides default correlation, which was taken into account in earlier approaches, we also model credit spread volatility. Stochastic intensity models are adopted for the default events, and default...

India has a lot of historical places. Among them one the most precious is Taj Mahal. Due to fewer threats conservation, placed on the1996 watch list 100 endangered sites by World Monument Fund. In this study, an attempt was made calculate economic value Mahal in relation conservation issues. This study assesses households' WTP for through CVM study. Single Bounded Dichotomous Choice with open-e...

A hybrid stated-preference model is developed that combines the referendum contingent valuation response format with an experimentally designed set of attributes. A sequence of valuation questions is asked to a random sample in a mail-out mail-back format. Econometric analysis shows that willingness to pay for policy attributes is formed dynamically.

We address the problem of pricing contingent claims written on electricity. The special feature of this paper is to consider contract pricing within a market for power producing plants. Calculating equilibrium prices for this market, we obtain a valuation for electricity contingent claims which is fair in the sense that arbitrage is excluded for capacity and claim trading.

since the promenades allocate the part of the country's revenues, therefore, attention to its valuation is very important. springs in desert area are the most prominent of natural landscapes. more study in country investigates recreational value using double– bounded dichotomous choice. but in this study, single-bounded dichotomous choice has been used because of this approach is more like...

In this paper, we study starting point bias in double-bounded contingent valuation surveys. This phenomenon arises in applications that use multiple valuation questions. Indeed, response to follow-up valuation questions may be influenced by the bid proposed in the initial valuation question. Previous researches have been conducted in order to control for such an effect. However, they find that ...

Given the specific geographic and spatial location of rural areas in developing countries, to bring agrochemical to the rural farming households, it is argued, may have to come at a cost over and above the normal price it is sold in market. To this end, this work focuses on the willingness of rural farming households to pay more than the mean average regional retail price for agrochemicals in K...