Valuation of exploration and production assets. An overview of real options models

International Nuclear Information System (INIS)

Dias, Marco Antonio Guimaraes

2004-01-01

This paper presents a set of selected real options models to evaluate investments in petroleum exploration and production (E and P) under market and technical uncertainties. First are presented some simple examples to develop the intuition about concepts like option value and optimal option exercise, comparing them with the concepts from the traditional net present value (NPV) criteria. Next, the classical model of Paddock, Siegel and Smith is presented, including a discussion on the practical values for the input parameters. The modeling of oil price uncertainty is presented by comparing some alternative stochastic processes. Other E and P applications discussed here are the selection of mutually exclusive alternatives under uncertainty, the wildcat drilling decision, the appraisal investment decisions, and the analysis of option to expand the production through optional wells

Depleted uranium disposal options evaluation

International Nuclear Information System (INIS)

Hertzler, T.J.; Nishimoto, D.D.; Otis, M.D.

1994-05-01

The Department of Energy (DOE), Office of Environmental Restoration and Waste Management, has chartered a study to evaluate alternative management strategies for depleted uranium (DU) currently stored throughout the DOE complex. Historically, DU has been maintained as a strategic resource because of uses for DU metal and potential uses for further enrichment or for uranium oxide as breeder reactor blanket fuel. This study has focused on evaluating the disposal options for DU if it were considered a waste. This report is in no way declaring these DU reserves a ''waste,'' but is intended to provide baseline data for comparison with other management options for use of DU. To PICS considered in this report include: Retrievable disposal; permanent disposal; health hazards; radiation toxicity and chemical toxicity

Evaluation of dairy effluent management options using multiple criteria analysis.

Science.gov (United States)

Hajkowicz, Stefan A; Wheeler, Sarah A

2008-04-01

This article describes how options for managing dairy effluent on the Lower Murray River in South Australia were evaluated using multiple criteria analysis (MCA). Multiple criteria analysis is a framework for combining multiple environmental, social, and economic objectives in policy decisions. At the time of the study, dairy irrigation in the region was based on flood irrigation which involved returning effluent to the river. The returned water contained nutrients, salts, and microbial contaminants leading to environmental, human health, and tourism impacts. In this study MCA was used to evaluate 11 options against 6 criteria for managing dairy effluent problems. Of the 11 options, the MCA model selected partial rehabilitation of dairy paddocks with the conversion of remaining land to other agriculture. Soon after, the South Australian Government adopted this course of action and is now providing incentives for dairy farmers in the region to upgrade irrigation infrastructure and/or enter alternative industries.

Evaluating nuclear power as the next baseload generation option

International Nuclear Information System (INIS)

Jackson, K.J.; Sanford, M.O.

1992-01-01

Numerous factors must be taken into account when planning to meet baseload generating needs of the next century. Examining nuclear power as an option to meet these needs offers significant challenges with respect to evaluating and managing the business risks. This paper describes one mechanism to accomplish this while continuing to participate in industry activities targeted at advancing the nuclear option. One possible model of pursuing high-risk, long-term projects, like nuclear power, is to spread these risks among the project participants and for each organization to commit slowly. With this model of progressive engagement, participants may invest in early information gathering with the objective of uncertainty reduction at preliminary stages in the project, before large investments must be made. For nuclear power, a partnership between a utility (or utility group) and a supplier team may well be the best means of implementing such a model. A partnership also provides opportunity to develop the long-term relationships within the industry which are imperative

Evaluating Nitrogen Management Options for Reducing Nitrate Leaching from Northeast U.S. Pastures

Directory of Open Access Journals (Sweden)

William L. Stout

2001-01-01

Full Text Available Substantial amounts of nitrate nitrogen NO3-N can leach from intensively grazed pasture in the northeast U.S. where there is about 30 cm of groundwater recharge, annually. Management options for reducing NO3-N leaching were evaluated for this environment using the Cornell Net Carbohydrate and Protein System Model and a recently developed nitrogen leaching index. Management options utilizing energy supplementation of grazing dairy cows could improve nitrogen efficiency within the cow, but would not necessarily reduce NO3-N leaching at the pasture scale if stocking rate was not controlled. The management option of using white clover to supply nitrogen to the pasture decreased NO3-N leaching, but produced less dry matter yield, which in turn reduced stocking rate. The economic returns of reducing NO3-N with these options need to be evaluated in light of milk prices and commodity and fertilizer nitrogen costs. At current prices and costs, the economic benefit from the energy supplementation options is substantial.

Document Delivery: Evaluating the Options.

Science.gov (United States)

Ward, Suzanne M.

1997-01-01

Discusses options available to libraries for document delivery. Topics include users' needs; cost; copyright compliance; traditional interlibrary loan; types of suppliers; selection criteria, including customer service; new developments in interlibrary loan, including outsourcing arrangements; and the need to evaluate suppliers. (LRW)

The option to expand a project: its assessment with the binomial options pricing model

Directory of Open Access Journals (Sweden)

Salvador Cruz Rambaud

Full Text Available Traditional methods of investment appraisal, like the Net Present Value, are not able to include the value of the operational flexibility of the project. In this paper, real options, and more specifically the option to expand, are assumed to be included in the project information in addition to the expected cash flows. Thus, to calculate the total value of the project, we are going to apply the methodology of the Net Present Value to the different scenarios derived from the existence of the real option to expand. Taking into account the analogy between real and financial options, the value of including an option to expand is explored by using the binomial options pricing model. In this way, estimating the value of the option to expand is a tool which facilitates the control of the uncertainty element implicit in the project. Keywords: Real options, Option to expand, Binomial options pricing model, Investment project appraisal

An Economic Evaluation on Replacement Plan for Aged Thermal Power Plants through a Real Option Approach

Science.gov (United States)

Kato, Moritoshi; Zhou, Yicheng

This paper presents a novel method to evaluate replacement plan for aged thermal power plants under uncertain circumstances through a real option approach. The most economical plan is selected among the three options: an option to operate an existing oil-fired thermal plant, an option to mothball it, and an option to abandon it and to construct an advanced gas combined cycle power plant (ACC) at the same time. Basic ideas of our model are: we use quadranomial approach in order to evaluate an option value consisted by two different uncertain assets; we consider cash flow with a dividend in order to reflect conditions of an aged oil-fired thermal plant and use the sequential compound option approach; we evaluate replacement time using quadranomial decision tree taking into account the options. We also analyze value and time of replacement using numerical examples. Our proposed method will be practically used for generation planning. For example it is possible to make priority quantitatively in replacements of aged thermal power plants by real option values. The target year of replacement may be set as a year when cumulative probability of replacement becomes over certain level.

48 CFR 52.217-3 - Evaluation Exclusive of Options.

Science.gov (United States)

2010-10-01

... Options. 52.217-3 Section 52.217-3 Federal Acquisition Regulations System FEDERAL ACQUISITION REGULATION....217-3 Evaluation Exclusive of Options. As prescribed in 17.208(a), insert a provision substantially the same as the following in solicitations when the solicitation includes an option clause and does...

Multi-criteria evaluation for CHP system options

International Nuclear Information System (INIS)

Pilavachi, P.A.; Roumpeas, C.P.; Minett, S.; Afgan, N.H.

2006-01-01

Several Combined Heat and Power (CHP) system options have been considered for evaluation with respect to the end-user requirements. These included Internal Combustion Engines (Otto and Diesel), Gas Turbines, Steam Turbines and Combined Cycles covering a wide range of electrical output. Data have been obtained from literature and the CHP systems have been evaluated using different criteria such as overall efficiency, investment cost, fuel cost, electricity cost, heat cost, CO 2 production and footprint. A multi-criteria method is used with an agglomeration function based on the statistical evaluation of weight factors. The technical, economic and social aspects of each system have been evaluated in an integrated manner and the results have been compared by means of the Sustainability Index. Based on the above criteria and depending on the user requirements, the best CHP system options have been established

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

DEFF Research Database (Denmark)

Rombouts, Jeroen V.K.; Stentoft, Lars Peter

While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant negative skewness and time varying higher order...... moments of the risk neutral distribution. Parameter inference using Gibbs sampling is explained and we detail how to compute risk neutral predictive densities taking into account parameter uncertainty. When forecasting out-of-sample options on the S&P 500 index, substantial improvements are found compared...

76 FR 13404 - Cancer Therapy Evaluation Program Intellectual Property Option to Collaborator

Science.gov (United States)

2011-03-11

... Option to Collaborator AGENCY: National Institutes of Health, HHS. ACTION: Notice. SUMMARY: The National... Cancer Therapy Evaluation Program's Intellectual Property Option to Collaborator. [[Page 13405... Evaluation Program (CTEP)'s Intellectual Property Option to Collaborator. The proposed revision represents a...

Process to identify and evaluate restoration options

International Nuclear Information System (INIS)

Strand, J.; Senner, S.; Weiner, A.; Rabinowitch, S.; Brodersen, M.; Rice, K.; Klinge, K.; MacMullin, S.; Yender, R.; Thompson, R.

1993-01-01

The restoration planning process has yielded a number of possible alternatives for restoring resources and services injured by the Exxon Valdez oil spill. They were developed by resource managers, scientists, and the public, taking into consideration the results of damage assessment and restoration studies and information from the scientific literature. The alternatives thus far identified include no action natural recovery, management of human uses, manipulation of resources, habitat protection and acquisition, acquisition of equivalent resources, and combinations of the above. Each alternative consists of a different mix of resource- or service-specific restoration options. To decide whether it was appropriate to spend restoration funds on a particular resource or service, first criteria had to be developed that evaluated available evidence for consequential injury and the adequacy and rate of natural recovery. Then, recognizing the range of effective restoration options, a second set of criteria was applied to determine which restoration options were the most beneficial. These criteria included technical feasibility, potential to improve the rate or degree of recovery, the relationship of expected costs to benefits, cost effectiveness, and the potential to restore the ecosystem as a whole. The restoration options considered to be most beneficial will be grouped together in several or more of the above alternatives and presented in a draft restoration plan. They will be further evaluated in a companion draft environmental impact statement

Option valuation with the simplified component GARCH model

DEFF Research Database (Denmark)

Dziubinski, Matt P.

We introduce the Simplified Component GARCH (SC-GARCH) option pricing model, show and discuss sufficient conditions for non-negativity of the conditional variance, apply it to low-frequency and high-frequency financial data, and consider the option valuation, comparing the model performance...

Assessing the Option to Abandon an Investment Project by the Binomial Options Pricing Model

Directory of Open Access Journals (Sweden)

Salvador Cruz Rambaud

2016-01-01

Full Text Available Usually, traditional methods for investment project appraisal such as the net present value (hereinafter NPV do not incorporate in their values the operational flexibility offered by including a real option included in the project. In this paper, real options, and more specifically the option to abandon, are analysed as a complement to cash flow sequence which quantifies the project. In this way, by considering the existing analogy with financial options, a mathematical expression is derived by using the binomial options pricing model. This methodology provides the value of the option to abandon the project within one, two, and in general n periods. Therefore, this paper aims to be a useful tool in determining the value of the option to abandon according to its residual value, thus making easier the control of the uncertainty element within the project.

DISPOSITION PATHS FOR ROCKY FLATS GLOVEBOXES: EVALUATING OPTIONS

International Nuclear Information System (INIS)

Lobdell, D.; Geimer, R.; Larsen, P.; Loveland, K.

2003-01-01

The Kaiser-Hill Company, LLC has the responsibility for closure activities at the Rocky Flats Environmental Technology Site (RFETS). One of the challenges faced for closure is the disposition of radiologically contaminated gloveboxes. Evaluation of the disposition options for gloveboxes included a detailed analysis of available treatment capabilities, disposal facilities, and lifecycle costs. The Kaiser-Hill Company, LLC followed several processes in determining how the gloveboxes would be managed for disposition. Currently, multiple disposition paths have been chosen to accommodate the needs of the varying styles and conditions of the gloveboxes, meet the needs of the decommissioning team, and to best manage lifecycle costs. Several challenges associated with developing a disposition path that addresses both the radiological and RCRA concerns as well as offering the most cost-effective solution were encountered. These challenges included meeting the radiological waste acceptance criteria of available disposal facilities, making a RCRA determination, evaluating treatment options and costs, addressing void requirements associated with disposal, and identifying packaging and transportation options. The varying disposal facility requirements affected disposition choices. Facility conditions that impacted decisions included radiological and chemical waste acceptance criteria, physical requirements, and measurement for payment options. The facility requirements also impacted onsite activities including management strategies, decontamination activities, and life-cycle cost

Evaluation of design feature No.20 -- Ground support options

International Nuclear Information System (INIS)

Duan, F.

2000-01-01

Ground support options are primarily evaluated for emplacement drifts while ground support systems for non-emplacement openings such as access mains and ventilation drifts are not evaluated against LADS evaluation criteria in this report. Considerations include functional requirements for ground support, the use of a steel-lined system, and the feasibility of using an unlined ground support system principally with grouted rock bolts for permanent ground support. The feature evaluation also emphasizes the postclosure effects of ground support materials on waste isolation and the preclosure aspects such as durability, maintainability, constructibility, safety, engineering acceptability, and cost. This evaluation is to: (A) Review the existing analyses, reports, and studies regarding this design feature, and compile relevant information on performance characteristics. (B) Develop an appropriate evaluation approach for evaluating ground support options against evaluation criteria provided by the LADS team. (C) Evaluate ground support options not only for their preclosure performance in terms of drift stability, material durability, maintenance, constructibility, and cost, but also for their postclosure performance in terms of chemical effects of ground support materials (i.e., concrete, steel) on waste isolation and radionuclide transport. Specifically, the scope for ground support options evaluation include: (1) all steel-lined drifts (no cementitious materials), (2) unlined drifts with minimum cementitious materials (e.g., grout for rockbolts), and (3) concrete-lined drifts, with the focus on the postclosure acceptability evaluation. In addition, unlined drifts with zero cementitious materials (e.g., use of frictional bolts such as split sets, Swellex bolts) are briefly discussed. (D) Identify candidate ground support systems that have the potential to enhance the repository performance based on the feature evaluation. and (E) Provide conclusions and recommendations

Density forecasts of crude-oil prices using option-implied and ARCH-type models

DEFF Research Database (Denmark)

Høg, Esben; Tsiaras, Leonicas

2011-01-01

of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well...... obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark...

Identification and evaluation of alternative radioactive waste categorisation options

International Nuclear Information System (INIS)

Maul, P.R.; Smith, G.M.; Stenhouse, M.J.; Watkins, B.M.

1996-09-01

The purpose of the research described in this report was to consider the options for future UK radioactive waste categorisation, to evaluate the advantages and disadvantages of each option and, as a result, to identify any which might be viable practical alternatives to the current arrangements. The review process included meetings with large and small waste producers, a wider consultation exercise using a questionnaire, a presentation to RWMAC, and discussion with representatives of the UK regulators. These consultations provided the basis for the formulation and evaluation of a number of alternative waste categorisation schemes. (UK)

A CDO option market model on standardized CDS index tranches

DEFF Research Database (Denmark)

Dorn, Jochen

We provide a market model which implies a dynamic for standardized CDS index tranche spreads. This model is useful for pricing options on tranches with future Issue Dates as well as for modeling emerging options on struc- tured credit derivatives. With the upcoming regulation of the CDS market...... in perspective, the model presented here is also an attempt to face the e ects on pricing approaches provoked by an eventual Clearing Chamber . It becomes also possible to calibrate Index Tranche Options with bespoke tenors/tranche subordination to market data obtained by more liquid Index Tranche Options...

The community Noah land surface model with multiparameterization options (Noah-MP): 1. Model description and evaluation with local-scale measurements

KAUST Repository

Niu, Guo-Yue; Yang, Zong-Liang; Mitchell, Kenneth E.; Chen, Fei; Ek, Michael B.; Barlage, Michael; Kumar, Anil; Manning, Kevin; Niyogi, Dev; Rosero, Enrique; Tewari, Mukul; Xia, Youlong

2011-01-01

processes, and introduces a framework for multiple options to parameterize selected processes (Noah-MP). The Noah-MP's performance is evaluated at various local sites using high temporal frequency data sets, and results show the advantages of using multiple

The Real Options Attached to an Investment Project

Directory of Open Access Journals (Sweden)

Mihai-Cristian DINICĂ

2011-12-01

Full Text Available The real options capture the importance of the managerial team’s role in creating value through investment projects. The investments in real assets have a set of options that managers can exercise during the period of the project to increase the value of the assets or to limit the eventual losses. This options have their own value.The traditional methods for investment project evaluatioan, based on discounted cash flows, have some major disadvantages: they assume the irreversibility of a decision, do not take into account the interactions between decisions in several periods and treat the investment as pasive. The evaluation using real options undertake this disadvantage. The paper shows the main types of real options, together with their elements and captures the impact of these options on the value of the investment. The main two models used to evaluate real options, the binomial model and Black-Scholes model, are explained and used to compute the value of real options attached to an investment project.

75 FR 17412 - Cancer Therapy Evaluation Program Intellectual Property Option to Collaborator

Science.gov (United States)

2010-04-06

... Program Intellectual Property Option to Collaborator AGENCY: National Cancer Institute (NCI), National... Evaluation Program (CTEP) INTELLECTUAL PROPERTY OPTION. The proposed policy, if finalized, would establish... recommended Intellectual Property Option and Institution Notification if they wish to be considered for...

A Consistent Pricing Model for Index Options and Volatility Derivatives

DEFF Research Database (Denmark)

Cont, Rama; Kokholm, Thomas

observed properties of variance swap dynamics and allows for jumps in volatility and returns. An affine specification using L´evy processes as building blocks leads to analytically tractable pricing formulas for options on variance swaps as well as efficient numerical methods for pricing of European......We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... options on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options...

Bayesian Option Pricing using Mixed Normal Heteroskedasticity Models

DEFF Research Database (Denmark)

Rombouts, Jeroen; Stentoft, Lars

2014-01-01

Option pricing using mixed normal heteroscedasticity models is considered. It is explained how to perform inference and price options in a Bayesian framework. The approach allows to easily compute risk neutral predictive price densities which take into account parameter uncertainty....... In an application to the S&P 500 index, classical and Bayesian inference is performed on the mixture model using the available return data. Comparing the ML estimates and posterior moments small differences are found. When pricing a rich sample of options on the index, both methods yield similar pricing errors...... measured in dollar and implied standard deviation losses, and it turns out that the impact of parameter uncertainty is minor. Therefore, when it comes to option pricing where large amounts of data are available, the choice of the inference method is unimportant. The results are robust to different...

EU ETS Allocation. Evaluation of present system and options beyond 2012

Energy Technology Data Exchange (ETDEWEB)

Sijm, J.P.M. (ed.) [ECN Policy Studies, Petten (Netherlands); Berk, M.M.; Den Elzen, M.G.J.; Van den Wijngaart, R.A. [Netherlands Environmental Assessment Agency NMP, Bilthoven (Netherlands)

2007-03-15

This study assesses various options for EU (European Union) burden sharing and EU ETS (Emissions Trading System) allocation beyond 2012, based on a sample of policy evaluation criteria and a review of the literature on (1) international and EU burden sharing of future GHG mitigation commitments, and (2) allocation of GHG emission allowances among countries, sectors and emitting installations. It shows that these options score differently with regard to a variety of individual evaluation criteria (such as environmental effectiveness, economic efficiency, social equity or political acceptability), while the overall performance of these options depends on both the selection, interpretation, weighing and adding of these criteria.

A nuclear fuel cycle system dynamic model for spent fuel storage options

International Nuclear Information System (INIS)

Brinton, Samuel; Kazimi, Mujid

2013-01-01

Highlights: • Used nuclear fuel management requires a dynamic system analysis study due to its socio-technical complexity. • Economic comparison of local, regional, and national storage options is limited due to the public financial information. • Local and regional options of used nuclear fuel management are found to be the most economic means of storage. - Abstract: The options for used nuclear fuel storage location and affected parameters such as economic liabilities are currently a focus of several high level studies. A variety of nuclear fuel cycle system analysis models are available for such a task. The application of nuclear fuel cycle system dynamics models for waste management options is important to life-cycle impact assessment. The recommendations of the Blue Ribbon Committee on America’s Nuclear Future led to increased focus on long periods of spent fuel storage [1]. This motivated further investigation of the location dependency of used nuclear fuel in the parameters of economics, environmental impact, and proliferation risk. Through a review of available literature and interactions with each of the programs available, comparisons of post-reactor fuel storage and handling options will be evaluated based on the aforementioned parameters and a consensus of preferred system metrics and boundary conditions will be provided. Specifically, three options of local, regional, and national storage were studied. The preliminary product of this research is the creation of a system dynamics tool known as the Waste Management Module (WMM) which provides an easy to use interface for education on fuel cycle waste management economic impacts. Initial results of baseline cases point to positive benefits of regional storage locations with local regional storage options continuing to offer the lowest cost

Model Calibration in Option Pricing

Directory of Open Access Journals (Sweden)

Andre Loerx

2012-04-01

Full Text Available We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process. We discuss the development in the past literature and give an outlook into modern approaches of modelling. Furthermore, we address important numerical issues in the valuation of options and likewise the calibration of these models. This leads to interesting problems in optimization, where, e.g., the use of adjoint equations or the choice of the parametrization for the model parameters play an important role.

Carbon flows and economic evaluation of mitigation options in Tanzania's forest sector

International Nuclear Information System (INIS)

Makundi, W.; Okiting'ati, Aku

1995-01-01

This paper presents estimates of the rate of forest use, deforestation and forest degradation, as well as the corresponding carbon flows, in the Tanzanian forest sector. It is estimated that the country lost 525,000 ha of forests in 1990, with associated committed emissions of 31.5 Mt carbon (MtC), and 7.05 MtC of committed carbon sequestration. The paper then describes the possible response options in the forest sector to mitigate GHG emissions, and evaluates the most stable subset of these - i.e. forest conservation, woodfuel plantations and agroforestry. The conservation options were found to cost an average of US$1.27 per tonne of carbon (tC) conserved. Five options for fuelwood plantations and agroforestry, with two different ownership regimes were evaluated. Each one of the options gives a positive net present value at low rates of discount, ranging from U.S.$1.06 to 3.4/tC of avoided emissions at 0% discount rate. At 10% discount, the eucalyptus and maize option has a highest PNV of U.S.$1.73/tC, and the government plantation gives a negative PNV (loss) of U.S.$ 0.13 tC sequestered. The options with a private/community type of ownership scheme fared better than government run options. This conclusion also held true when ranking the options by the BRAC indicator, with the government fuelwood plantation ranked the lowest, and the private agroforestry option of eucalyptus and corn performing best. The mitigation options evaluated here show that the forest sector in Tanzania has one of the most cost-effective GHG mitigation opportunities in the world, and they are within the development aspirations of the country. (Author)

Hydrologic information needs for evaluating waste disposal options

Energy Technology Data Exchange (ETDEWEB)

Huff, D.D.

1983-01-01

Before waste disposal options can be assessed, an objective or set of criteria for evaluation must be established. For hydrologists, the objective is to ensure that ground water and surface water do not become contaminated beyond acceptable limits as a result of waste disposal operations. The focus here is on the information required to quantify hydrologic transport of potential contaminants from the disposal site. It is important to recognize that the composition of the waste, its physical and chemical form, and the intended disposal methods (e.g., surface spreading, incineration, shallow land burial, or interment in a deep geologic repository) must either be specified a priori or set forth as specific options for evaluation, because these factors influence the nature of the hydrologic data needs. The hydrologic information needs of major importance are given together with specific measurable variables to be determined.

ENVI Model Development for Korean Nuclear Spent Fuel Options Analysis

Energy Technology Data Exchange (ETDEWEB)

Chang, Sunyoung; Jeong, Yon Hong; Han, Jae-Jun; Lee, Aeri; Hwang, Yong-Soo [Korea Institute of Nuclear Nonproliferation and Control, Daejeon (Korea, Republic of)

2015-10-15

The disposal facility of the spent nuclear fuel will be operated from 2051. This paper presents the ENVI code developed by GoldSim Software to simulate options for managing spent nuclear fuel (SNF) in South Korea. The ENVI is a simulator to allow decision-makers to assist to evaluate the performance for spent nuclear fuel management. The multiple options for managing the spent nuclear fuel including the storage and transportation are investigated into interim storage, permanent disposal in geological repositories and overseas and domestic reprocessing. The ENVI code uses the GoldSim software to simulate the logistics of the associated activities. The result by the ENVI model not only produces the total cost to compare among the multiple options but also predict the sizes and timings of different facilities required. In order to decide the policy for spent nuclear management this purpose of this paper is to draw the optimum management plan to solve the nuclear spent fuel issue in the economical aspects. This paper is focused on the development of the ENVI's logic and calculations to simulate four options(No Reprocessing, Overseas Reprocessing, Domestic Reprocessing, and Overseas and Domestic Reprocessing) for managing the spent nuclear fuel in South Korea. The time history of the spent nuclear fuel produced from both the existing and future NPP's can be predicted, based on the Goldsim software made available very user friendly model. The simulation result will be used to suggest the strategic plans for the spent nuclear fuel management.

ENVI Model Development for Korean Nuclear Spent Fuel Options Analysis

International Nuclear Information System (INIS)

Chang, Sunyoung; Jeong, Yon Hong; Han, Jae-Jun; Lee, Aeri; Hwang, Yong-Soo

2015-01-01

The disposal facility of the spent nuclear fuel will be operated from 2051. This paper presents the ENVI code developed by GoldSim Software to simulate options for managing spent nuclear fuel (SNF) in South Korea. The ENVI is a simulator to allow decision-makers to assist to evaluate the performance for spent nuclear fuel management. The multiple options for managing the spent nuclear fuel including the storage and transportation are investigated into interim storage, permanent disposal in geological repositories and overseas and domestic reprocessing. The ENVI code uses the GoldSim software to simulate the logistics of the associated activities. The result by the ENVI model not only produces the total cost to compare among the multiple options but also predict the sizes and timings of different facilities required. In order to decide the policy for spent nuclear management this purpose of this paper is to draw the optimum management plan to solve the nuclear spent fuel issue in the economical aspects. This paper is focused on the development of the ENVI's logic and calculations to simulate four options(No Reprocessing, Overseas Reprocessing, Domestic Reprocessing, and Overseas and Domestic Reprocessing) for managing the spent nuclear fuel in South Korea. The time history of the spent nuclear fuel produced from both the existing and future NPP's can be predicted, based on the Goldsim software made available very user friendly model. The simulation result will be used to suggest the strategic plans for the spent nuclear fuel management

Adaptation to climate change in agriculture: evaluation of options

International Nuclear Information System (INIS)

Dolan, A.H.; Smit, B.; Skinner, M.W.; Bradshaw, B.; Bryant, C.R.

2001-01-01

Adaptation was defined as the responses by stakeholders to actual or expected climatic stimuli or their effects to reduce vulnerability to adverse impacts or damage potential, or to realize opportunities associated with climate change. Planned policy initiatives representing change in the agricultural system were discussed in this report. An evaluation of adaptation options needed to be carried out before one could determine which adaptations should be promoted or implemented. The overall merit, suitability, utility or appropriateness of potential adaptation strategies or measures were examined. One interesting methodology was the Multiple Criteria Evaluation (MCE), which is designed to assess alternatives using more than one criterion. The criteria selected for this evaluation were: effectiveness, economic efficiency, flexibility, institutional compatibility, farmer implementation, and independent benefits. A selection of three adaptation options was made to better illustrate the utility of the evaluation framework., as follows: crop diversification, adoption of irrigation, and increase use of crop insurance. 122 refs., 6 tabs., 6 figs

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

DEFF Research Database (Denmark)

Rombouts, Jeroen V.K.; Stentoft, Lars

This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models can be estimated straightforwardly by maximum likelihood, have high statistical fit when used on S&P 500 index return data, and allow for substantial negative skewness and time...... varying higher order moments of the risk neutral distribution. When forecasting out-of-sample a large set of index options between 1996 and 2009, substantial improvements are found compared to several benchmark models in terms of dollar losses and the ability to explain the smirk in implied volatilities...

On a Generalized Squared Gaussian Diffusion Model for Option Valuation

Directory of Open Access Journals (Sweden)

Edeki S.O.

2017-01-01

Full Text Available In financial mathematics, option pricing models are vital tools whose usefulness cannot be overemphasized. Modern approaches and modelling of financial derivatives are therefore required in option pricing and valuation settings. In this paper, we derive via the application of Ito lemma, a pricing model referred to as Generalized Squared Gaussian Diffusion Model (GSGDM for option pricing and valuation. Same approach can be considered via Stratonovich stochastic dynamics. We also show that the classical Black-Scholes, and the square root constant elasticity of variance models are special cases of the GSGDM. In addition, general solution of the GSGDM is obtained using modified variational iterative method (MVIM.

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

DEFF Research Database (Denmark)

Rombouts, Jeroen V. K; Stentoft, Lars

2015-01-01

We propose an asymmetric GARCH in mean mixture model and provide a feasible method for option pricing within this general framework by deriving the appropriate risk neutral dynamics. We forecast the out-of-sample prices of a large sample of options on the S&P 500 index from January 2006 to December...

Real Option--A New Approach in the Evaluation of Telecom Investment Projects

Institute of Scientific and Technical Information of China (English)

WU Hong

2005-01-01

This paper gives a new method into the evaluating system of telecom investment projects, I.e. Real Option. This may overcome the defects resulted from employing Net Present Value (NPV), which is now used in the evaluation of telecom projects. A theoretical analysis of Real Option is provided, followed by an example of telecom investment project to illustrate the differences between the two methods.

Bounds for perpetual American option prices in a jump diffusion model

OpenAIRE

Ekström, Erik

2006-01-01

We provide bounds for perpetual American option prices in a jump diffusion model in terms of American option prices in the standard Black-Scholes model. We also investigate the dependence of the bounds on different parameters of the model.

A Jump-Diffusion Model for Option Pricing

OpenAIRE

S. G. Kou

2002-01-01

Brownian motion and normal distribution have been widely used in the Black--Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical phenomenon called "volatility smile" in option markets. To incorporate both of them and to strike a balance between ...

Asymptotic approach to the pricing of geometric asian options under the CEV model

International Nuclear Information System (INIS)

Lee, Min-Ku

2016-01-01

This paper studies the pricing of Asian options whose payoffs depend on the average value of an underlying asset during the period to a maturity. Since the Asian option is not so sensitive to the value of underlying asset, the possibility of manipulation is relatively small than the other options such as European vanilla and barrier options. We derive the pricing formula of geometric Asian options under the constant elasticity of variance (CEV) model that is one of local volatility models, and investigate the implication of the CEV model for geometric Asian options.

Evaluation of long-term natural gas marketing agreements: An application of commodity forward and option pricing theory

International Nuclear Information System (INIS)

Salahor, G.S.; Laughton, D.G.

1993-01-01

Methods that have been empirically validated in the analysis of short-term traded securities are adapted to evaluate long-term natural gas direct-sale contracts. A sample contract is examined from the perspective of the producer, and analyzed as a series of forward and option contracts. The assessment of contract value is based on the gas price forecast, the volatility in that forecast, and the valuation of risk caused by that volatility. The method presented allows the gas producer to quantify these elements, and to evaluate the variety of terms encountered in direct-sale natural gas agreements, including features such as load factors and penalty charges. The analysis uses as inputs a probabilistic price forecast and a determination of a price of risk for gas prices. Once the forecast volatility is derived from the probabilistic forecast, the forward contracts imbedded in the long-term gas contract can be valued with a risk-discounting model, and optional aspects can be evaluated using the Black-Scholes option pricing method. 10 refs., 3 figs., 2 tabs

National Options for a Sustainable Nuclear Energy System: MCDM Evaluation Using an Improved Integrated Weighting Approach

Directory of Open Access Journals (Sweden)

Ruxing Gao

2017-12-01

Full Text Available While the prospects look bright for nuclear energy development in China, no consensus about an optimum transitional path towards sustainability of the nuclear fuel cycle has been achieved. Herein, we present a preliminary study of decision making for China’s future nuclear energy systems, combined with a dynamic analysis model. In terms of sustainability assessment based on environmental, economic, and social considerations, we compared and ranked the four candidate options of nuclear fuel cycles combined with an integrated evaluation analysis using the Multi-Criteria Decision Making (MCDM method. An improved integrated weighting method was first applied in the nuclear fuel cycle evaluation study. This method synthesizes diverse subjective/objective weighting methods to evaluate conflicting criteria among the competing decision makers at different levels of expertise and experience. The results suggest that the fuel cycle option of direct recycling of spent fuel through fast reactors is the most competitive candidate, while the fuel cycle option of direct disposal of all spent fuel without recycling is the least attractive for China, from a sustainability perspective. In summary, this study provided a well-informed decision-making tool to support the development of national nuclear energy strategies.

Options contracts in the nuclear fuel industry

International Nuclear Information System (INIS)

Fuller, D.M.

1995-01-01

This article discusses options trading in the nuclear fuels industry. Although there now exists no formal options market in the nuclear industry, flexibilities, or embedded options, are actually quite common in the long-term supply contracts. The value of these flexibilities can be estimated by applying the methods used to evaluate options. The method used is the Black-Scholes Model, and it is applied to a number of examples

Dynamics Model Applied to Pricing Options with Uncertain Volatility

Directory of Open Access Journals (Sweden)

Lorella Fatone

2012-01-01

model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known equispaced discrete time values. Statistical tests were used to estimate the statistical significance of the two parameters of the Black-Scholes model: the volatility and the drift. The effects of these estimates on the option pricing problem were investigated. In particular, the pricing of an option with uncertain volatility in the Black-Scholes framework was revisited, and a statistical significance was associated with the price intervals determined using the Black-Scholes-Barenblatt equations. Numerical experiments involving synthetic and real data were presented. The real data considered were the daily closing values of the S&P500 index and the associated European call and put option prices in the year 2005. The method proposed here for calibrating the Black-Scholes dynamics model could be extended to other science and engineering models that may be expressed in terms of stochastic dynamical systems.

Applying real options analysis to assess cleaner energy development strategies

International Nuclear Information System (INIS)

Cheng, Ching-Tsung; Lo, Shang-Lien; Lin, Tyrone T.

2011-01-01

The energy industry, accounts for the largest portion of CO 2 emissions, is facing the issue of compliance with the national clean energy policy. The methodology for evaluating the energy mix policy is crucial because of the characteristics of lead time embedded with the power generation facilities investment and the uncertainty of future electricity demand. In this paper, a modified binomial model based on sequential compound options, which may account for the lead time and uncertainty as a whole is established, and a numerical example on evaluating the optional strategies and the strategic value of the cleaner energy policy is also presented. It is found that the optimal decision at some nodes in the binomial tree is path dependent, which is different from the standard sequential compound option model with lead time or time lag concept. The proposed modified binomial sequential compound real options model can be generalized and extensively applied to solve the general decision problems that deal with the long lead time of many government policies as well as capital intensive investments. - Highlights: → Introducing a flexible strategic management approach for government policy making. → Developing a modified binomial real options model based on sequential compound options. → Proposing an innovative model for managing the long term policy with lead time. → Applying to evaluate the options of various scenarios of cleaner energy strategies.

A Consistent Pricing Model for Index Options and Volatility Derivatives

DEFF Research Database (Denmark)

Kokholm, Thomas

to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

A Consistent Pricing Model for Index Options and Volatility Derivatives

DEFF Research Database (Denmark)

Cont, Rama; Kokholm, Thomas

2013-01-01

to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

Evaluation of five guidelines for option development in multiple-choice item-writing.

Science.gov (United States)

Martínez, Rafael J; Moreno, Rafael; Martín, Irene; Trigo, M Eva

2009-05-01

This paper evaluates certain guidelines for writing multiple-choice test items. The analysis of the responses of 5013 subjects to 630 items from 21 university classroom achievement tests suggests that an option should not differ in terms of heterogeneous content because such error has a slight but harmful effect on item discrimination. This also occurs with the "None of the above" option when it is the correct one. In contrast, results do not show the supposedly negative effects of a different-length option, the use of specific determiners, or the use of the "All of the above" option, which not only decreases difficulty but also improves discrimination when it is the correct option.

Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models

DEFF Research Database (Denmark)

Kokholm, Thomas; Stisen, Martin

2015-01-01

to existing literature, we derive numerically simpler VIX option and futures pricing formulas in the case of the SVJ model. Moreover, the paper is the first to study the pricing performance of three widely used models to SPX options and VIX derivatives.......With the existence of active markets for volatility derivatives and options on the underlying instrument, the need for models that are able to price these markets consistently has increased. Although pricing formulas for VIX and vanilla options are now available for commonly employed models...... and variance (SVJJ) are jointly calibrated to market quotes on SPX and VIX options together with VIX futures. The full flexibility of having jumps in both returns and volatility added to a stochastic volatility model is essential. Moreover, we find that the SVJJ model with the Feller condition imposed...

A Continuous-Time Model for Valuing Foreign Exchange Options

Directory of Open Access Journals (Sweden)

James J. Kung

2013-01-01

Full Text Available This paper makes use of stochastic calculus to develop a continuous-time model for valuing European options on foreign exchange (FX when both domestic and foreign spot rates follow a generalized Wiener process. Using the dollar/euro exchange rate as input for parameter estimation and employing our FX option model as a yardstick, we find that the traditional Garman-Kohlhagen FX option model, which assumes constant spot rates, values incorrectly calls and puts for different values of the ratio of exchange rate to exercise price. Specifically, it undervalues calls when the ratio is between 0.70 and 1.08, and it overvalues calls when the ratio is between 1.18 and 1.30, whereas it overvalues puts when the ratio is between 0.70 and 0.82, and it undervalues puts when the ratio is between 0.86 and 1.30.

Development of real options model for nuclear power plants

International Nuclear Information System (INIS)

Ono, Kenji

2004-01-01

As the Japanese electricity market is deregulated, it becomes more important for electric utilities to recognize their financial risks and to adopt strategic and scientific decision making methodology. We have developed two models for valuation of Japanese nuclear power plants to support utilities' decision making. One is a net present value (NPV) model using discounted cash flow analysis method. Another is a real options model. This model is based on strict financial technology theory and can calculate value of early retirement, life extension and new unit addition options of nuclear units under electricity price uncertainty. This can also derive an optimal period for retirement, life extension and new unit addition. (author)

The community Noah land surface model with multiparameterization options (Noah-MP): 2. Evaluation over global river basins

KAUST Repository

Yang, Zong-Liang

2011-06-24

The augmented Noah land surface model described in the first part of the two-part series was evaluated here over global river basins. Across various climate zones, global-scale tests can reveal a model\\'s weaknesses and strengths that a local-scale testing cannot. In addition, global-scale tests are more challenging than local- and catchment-scale tests. Given constant model parameters (e. g., runoff parameters) across global river basins, global-scale tests are more stringent. We assessed model performance against various satellite and ground-based observations over global river basins through six experiments that mimic a transition from the original Noah LSM to the fully augmented version. The model shows transitional improvements in modeling runoff, soil moisture, snow, and skin temperature, despite considerable increase in computational time by the fully augmented Noah-MP version compared to the original Noah LSM. The dynamic vegetation model favorably captures seasonal and spatial variability of leaf area index and green vegetation fraction. We also conducted 36 ensemble experiments with 36 combinations of optional schemes for runoff, leaf dynamics, stomatal resistance, and the β factor. Runoff schemes play a dominant and different role in controlling soil moisture and its relationship with evapotranspiration compared to ecological processes such as β the factor, vegetation dynamics, and stomatal resistance. The 36-member ensemble mean of runoff performs better than any single member over the world\\'s 50 largest river basins, suggesting a great potential of land-based ensemble simulations for climate prediction. Copyright © 2011 by the American Geophysical Union.

Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation

Directory of Open Access Journals (Sweden)

Aimin Heng

2014-01-01

Full Text Available Option pricing is irreversible, fuzzy, and flexible. The fuzzy measure which is used for real option pricing is a useful supplement to the traditional real option pricing method. Based on the review of the concepts of the mean and variance of trapezoidal fuzzy number and the combination with the Carlsson-Fuller model, the trapezoidal fuzzy variable can be used to represent the current price of land expropriation and the sale price of land on the option day. Fuzzy Black-Scholes option pricing model can be constructed under fuzzy environment and problems also can be solved and discussed through numerical examples.

Multi-criteria Evaluation of Nuclear Option

International Nuclear Information System (INIS)

Feretic, D.; Tomsic, Z.; Jaksic, D.

2002-01-01

When evaluating power system expansion scenarios there is a need to take into consideration a range of measurable and non-measurable impacts. Measurable impacts are fixed and variable production costs and, recently, external costs. Non-measurable impacts include public attitude to certain energy technology and investor's risk in achieving the expected profit (regulatory and political risk). Public attitude has a large and sometimes essential impact on decision-making. It is mostly associated with the expected environmental impact of a potential power plant and can be divided in rational and non-rational part. Rational part, which is in proportion with scientifically approved environmental impact of energy options (inversely proportional to external costs) is relatively small, while the other, non-rational category which is not proportional with the actual environmental impact (especially in the case of nuclear power), is much larger. Investor's risk in achieving the expected profit is mostly associated with possible changes of domestic or foreign regulations or policy that can influence power plant operation and long-term fuel availability and price. Two factors that affect decision-making should be distinguished. The first is the total impact of certain non-measurable factor and the other is the impact of certain technology on that non-measurable factor like public impact, for example. The objective of multi-criteria evaluation, after weighting and quantification of all impacts is to determine the most acceptable power system expansion option. In the article a simplified quantification will be made of measurable (investment costs, annual maintenance costs, fuel price, indirect costs of power plants) and non-measurable (public attitude, investor's risk) elements that affect future investment decision. For that purpose possible relative values of non-measurable impacts of different options will be determined (their weights and impact on relative increase of annual

Confidence limits for data mining models of options prices

Science.gov (United States)

Healy, J. V.; Dixon, M.; Read, B. J.; Cai, F. F.

2004-12-01

Non-parametric methods such as artificial neural nets can successfully model prices of financial options, out-performing the Black-Scholes analytic model (Eur. Phys. J. B 27 (2002) 219). However, the accuracy of such approaches is usually expressed only by a global fitting/error measure. This paper describes a robust method for determining prediction intervals for models derived by non-linear regression. We have demonstrated it by application to a standard synthetic example (29th Annual Conference of the IEEE Industrial Electronics Society, Special Session on Intelligent Systems, pp. 1926-1931). The method is used here to obtain prediction intervals for option prices using market data for LIFFE “ESX” FTSE 100 index options ( http://www.liffe.com/liffedata/contracts/month_onmonth.xls). We avoid special neural net architectures and use standard regression procedures to determine local error bars. The method is appropriate for target data with non constant variance (or volatility).

Economic assumptions for evaluating reactor-related options for managing plutonium

International Nuclear Information System (INIS)

Rothwell, G.

1996-01-01

This paper discusses the economic assumptions in the U.S. National Academy of Sciences' report, Management and Disposition of Excess Weapons Plutonium: Reactor-Related Options (1995). It reviews the Net Present Value approach for discounting and comparing the costs and benefits of reactor-related options. It argues that because risks associated with the returns to plutonium management are unlikely to be constant over time, it is preferable to use a real risk-free rate to discount cash flows and explicitly describe the probability distributions for costs and benefits, allowing decision makers to determine the risk premium of each option. As a baseline for comparison, it assumes that one economic benefit of changing the current plutonium management system is a reduction in on-going Surveillance and Maintenance (S and M) costs. This reduction in the present value of S and M costs can be compared with the discounted costs of each option. These costs include direct construction costs, indirect costs, operating costs minus revenues, and decontamination and decommissioning expenses. The paper also discusses how to conduct an uncertainty analysis. It finishes by summarizing conclusions and recommendations and discusses how these recommendations might apply to the evaluation of Russian plutonium management options. (author)

On option pricing models in the presence of heavy tails

NARCIS (Netherlands)

Vellekoop, Michel; Nieuwenhuis, Hans

2007-01-01

We propose a modification of the option pricing framework derived by Borland which removes the possibilities for arbitrage within this framework. It turns out that such arbitrage possibilities arise due to an incorrect derivation of the martingale transformation in the non-Gaussian option models

Options theory and strategic investment decisions

International Nuclear Information System (INIS)

Mann, D.; Goobie, G.; MacMillan, L.

1992-01-01

The possible use of options pricing theory for evaluating long-term capital investments is discussed. Using the Black and Scholes option pricing model, five variables were evaluated for a hypothetical oil sands project. These variables are: stock price as determined by the earning power of the company; exercise price which equals the investment cost of the project; price standard deviation which is assumed to be 50%; the length of time for which the company will maintain its option to invest in the project, and finally the risk free rate which is approximately equal to the yield in long term government securities. A sensitivity analysis on these variables can provide management with information on how best to influence the option value. A more in-depth analysis could provide valuable information about strategic choice for large projects. 5 refs., 3 figs

Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications

Directory of Open Access Journals (Sweden)

Raúl Merino

2017-01-01

Full Text Available We obtain a Hull and White type option price decomposition for a general local volatility model. We apply the obtained formula to CEV model. As an application we give an approximated closed formula for the call option price under a CEV model and an approximated short term implied volatility surface. These approximated formulas are used to estimate model parameters. Numerical comparison is performed for our new method with exact and approximated formulas existing in the literature.

Multivariate Option Pricing Using Dynamic Copula Models

NARCIS (Netherlands)

van den Goorbergh, R.W.J.; Genest, C.; Werker, B.J.M.

2003-01-01

This paper examines the behavior of multivariate option prices in the presence of association between the underlying assets.Parametric families of copulas offering various alternatives to the normal dependence structure are used to model this association, which is explicitly assumed to vary over

The application of option pricing theory to the evaluation of mining investment

Institute of Scientific and Technical Information of China (English)

ZHANG Neng-fu(张能福); CAI Si-jing(蔡嗣经); LIU Chao-ma(刘朝马); TANG Rui(唐瑞)

2003-01-01

A rational evaluation on an investment project forms the basis of a right investment decision-making. The discounted cash flow (DCF for short) method is usually used as a traditional evaluation method for a project investment. However, as the mining investment is influenced by many uncertainties, DCF method cannot take into account these uncertainties and often underestimates the value of an investment project. Based on the option pricing theory of the modern financial assets, the characteristics of a real project investment are discussed, and the management option of mine managers and its pricing method are described.

Decision-making model of generation technology under uncertainty based on real option theory

International Nuclear Information System (INIS)

Ming, Zeng; Ping, Zhang; Shunkun, Yu; Ge, Zhang

2016-01-01

Highlights: • A decision-making model of generation technology investment is proposed. • The irreversible investment concept and real option theory is introduced. • Practical data was used to prove the validity of the model. • Impact of electricity and fuel price fluctuation on investment was analyzed. - Abstract: The introduction of market competition and the increased uncertainty factors makes the generators have to decide not only on whether to invest generation capacity or not but also on what kind of generation technology to choose. In this paper, a decision-making model of generation technology investment is proposed. The irreversible investment concept and real option theory is introduced as the fundamental of the model. In order to explain the decision-making process of generator’s investment, the decision-making optimization model was built considering two generation technologies, i.e., the heat-only system and the combined heat and power generation. Also, we discussed the theory deducing process, which explained how to eliminate the overrated economic potential caused by risk hazard, based on economic evaluation of both generation technologies. Finally, practical data from electricity market of Inner Mongolia was used to prove the validity of the model and the impact of uncertainties of electricity and fuel price fluctuation on investment was analyzed according to the simulated results.

Comparison of turbulence models and CFD solution options for a plain pipe

Science.gov (United States)

Canli, Eyub; Ates, Ali; Bilir, Sefik

2018-06-01

Present paper is partly a declaration of state of a currently ongoing PhD work about turbulent flow in a thick walled pipe in order to analyze conjugate heat transfer. An ongoing effort on CFD investigation of this problem using cylindrical coordinates and dimensionless governing equations is identified alongside a literature review. The mentioned PhD work will be conducted using an in-house developed code. However it needs preliminary evaluation by means of commercial codes available in the field. Accordingly ANSYS CFD was utilized in order to evaluate mesh structure needs and asses the turbulence models and solution options in terms of computational power versus difference signification. Present work contains a literature survey, an arrangement of governing equations of the PhD work, CFD essentials of the preliminary analysis and findings about the mesh structure and solution options. Mesh element number was changed between 5,000 and 320,000. k-ɛ, k-ω, Spalart-Allmaras and Viscous-Laminar models were compared. Reynolds number was changed between 1,000 and 50,000. As it may be expected due to the literature, k-ɛ yields more favorable results near the pipe axis and k-ωyields more convenient results near the wall. However k-ɛ is found sufficient to give turbulent structures for a conjugate heat transfer problem in a thick walled plain pipe.

Evaluating technology service options.

Science.gov (United States)

Blumberg, D F

1997-05-01

Four service and support options are available to healthcare organizations for maintaining their growth arsenals of medical and information technology. These options include maintaining and servicing all equipment using a facility-based biomedical engineering and MIS service department; using a combination of facility-based service and subcontracted service; expanding facility-based biomedical and MIS service departments to provide service to other healthcare organizations to achieve economies of scale; and outsourcing all maintenance, repair, and technical support services. Independent service companies and original equipment manufacturers (OEMs) are offering healthcare organizations a wider array of service and support capabilities than ever before. However, some health systems have successfully developed their own independent service organizations to take care of their own--and other healthcare organizations'--service and support needs.

American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution

DEFF Research Database (Denmark)

Stentoft, Lars Peter

In this paper we propose a feasible way to price American options in a model with time varying volatility and conditional skewness and leptokurtosis using GARCH processes and the Normal Inverse Gaussian distribution. We show how the risk neutral dynamics can be obtained in this model, we interpret...... properties shows that there are important option pricing differences compared to the Gaussian case as well as to the symmetric special case. A large scale empirical examination shows that our model outperforms the Gaussian case for pricing options on three large US stocks as well as a major index...

Modelling the affordability and distributional implications of future health care financing options in South Africa.

Science.gov (United States)

McIntyre, Di; Ataguba, John E

2012-03-01

South Africa is considering introducing a universal health care system. A key concern for policy-makers and the general public is whether or not this reform is affordable. Modelling the resource and revenue generation requirements of alternative reform options is critical to inform decision-making. This paper considers three reform scenarios: universal coverage funded by increased allocations to health from general tax and additional dedicated taxes; an alternative reform option of extending private health insurance coverage to all formal sector workers and their dependents with the remainder using tax-funded services; and maintaining the status quo. Each scenario was modelled over a 15-year period using a spreadsheet model. Statistical analyses were also undertaken to evaluate the impact of options on the distribution of health care financing burden and benefits from using health services across socio-economic groups. Universal coverage would result in total health care spending levels equivalent to 8.6% of gross domestic product (GDP), which is comparable to current spending levels. It is lower than the status quo option (9.5% of GDP) and far lower than the option of expanding private insurance cover (over 13% of GDP). However, public funding of health services would have to increase substantially. Despite this, universal coverage would result in the most progressive financing system if the additional public funding requirements are generated through a surcharge on taxable income (but not if VAT is increased). The extended private insurance scheme option would be the least progressive and would impose a very high payment burden; total health care payments on average would be 10.7% of household consumption expenditure compared with the universal coverage (6.7%) and status quo (7.5%) options. The least pro-rich distribution of service benefits would be achieved under universal coverage. Universal coverage is affordable and would promote health system equity, but

Incentives for new antibiotics: the Options Market for Antibiotics (OMA) model.

Science.gov (United States)

Brogan, David M; Mossialos, Elias

2013-11-07

Antimicrobial resistance is a growing threat resulting from the convergence of biological, economic and political pressures. Investment in research and development of new antimicrobials has suffered secondary to these pressures, leading to an emerging crisis in antibiotic resistance. Current policies to stimulate antibiotic development have proven inadequate to overcome market failures. Therefore innovative ideas utilizing market forces are necessary to stimulate new investment efforts. Employing the benefits of both the previously described Advanced Market Commitment and a refined Call Options for Vaccines model, we describe herein a novel incentive mechanism, the Options Market for Antibiotics. This model applies the benefits of a financial call option to the investment in and purchase of new antibiotics. The goal of this new model is to provide an effective mechanism for early investment and risk sharing while maintaining a credible purchase commitment and incentives for companies to ultimately bring new antibiotics to market. We believe that the Options Market for Antibiotics (OMA) may help to overcome some of the traditional market failures associated with the development of new antibiotics. Additional work must be done to develop a more robust mathematical model to pave the way for practical implementation.

Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models

Energy Technology Data Exchange (ETDEWEB)

Yamazaki, Kazutoshi, E-mail: kyamazak@kansai-u.ac.jp [Kansai University, Department of Mathematics, Faculty of Engineering Science (Japan)

2015-08-15

This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Lévy process. This allows the model to incorporate sudden declines of the project values, generalizing greatly the classical geometric Brownian motion model. We solve the one-stage case as well as the extension to the multiple-stage case. The optimal stopping times are of threshold-type and the value function admits an expression in terms of the scale function. A series of numerical experiments are conducted to verify the optimality and to evaluate the efficiency of the algorithm.

Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models

International Nuclear Information System (INIS)

Yamazaki, Kazutoshi

2015-01-01

This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Lévy process. This allows the model to incorporate sudden declines of the project values, generalizing greatly the classical geometric Brownian motion model. We solve the one-stage case as well as the extension to the multiple-stage case. The optimal stopping times are of threshold-type and the value function admits an expression in terms of the scale function. A series of numerical experiments are conducted to verify the optimality and to evaluate the efficiency of the algorithm

Energy options

International Nuclear Information System (INIS)

Hampton, Michael

1999-01-01

This chapter focuses on energy options as a means of managing exposure to energy prices. An intuitive approach to energy options is presented, and traditional definitions of call and put options are given. The relationship between options and swaps, option value and option exercises, commodity options, and option pricing are described. An end-user's guide to energy option strategy is outlined, and straight options, collars, participating swaps and collars, bull and bear spreads, and swaption are examined. Panels explaining the defining of basis risk, and discussing option pricing and the Greeks, delta hedging, managing oil options using the Black-Scholes model, caps, floors and collars, and guidelines on hedging versus speculation with options are included in the paper

Pricing Exotic Options under a High-Order Markovian Regime Switching Model

Directory of Open Access Journals (Sweden)

Wai-Ki Ching

2007-10-01

Full Text Available We consider the pricing of exotic options when the price dynamics of the underlying risky asset are governed by a discrete-time Markovian regime-switching process driven by an observable, high-order Markov model (HOMM. We assume that the market interest rate, the drift, and the volatility of the underlying risky asset's return switch over time according to the states of the HOMM, which are interpreted as the states of an economy. We will then employ the well-known tool in actuarial science, namely, the Esscher transform to determine an equivalent martingale measure for option valuation. Moreover, we will also investigate the impact of the high-order effect of the states of the economy on the prices of some path-dependent exotic options, such as Asian options, lookback options, and barrier options.

Evaluation of natural gas supply options for Southeast and Central Europe: Part 2. Multi-criteria assessment

International Nuclear Information System (INIS)

Afgan, Naim H.; Carvalho, Maria G.; Pilavachi, Petros A.; Martins, Nelson

2008-01-01

Decision making methods are used as a tool for the selection of alternatives to be evaluated on the basis of several criteria. Evaluation of the potential routes for natural gas supply to the Southeast and Central European countries is studied using single and multi-criteria evaluation. The potential options included in this analysis are the: Yamal Route; Nabucco Route; West Balkan Route; LNG Neum Route; and Gas by Wire Route. In part 1, the paper was devoted to the definition of the indicators and to single indicator analysis. In part 2, the analysis is based on multi-criteria evaluation, which comprises the possibility to assess the options under predefined constraints amongst indicators. The paper also describes different methods used for multi-criteria evaluation. This analysis focuses on cases with different priorities defined among individual weighting coefficients with the others having the same value. It was shown that all options under specific constraints can be qualified as promising in the decision making process. It is also concluded that favourite indicator constraints may exaggerate some options

A tactical supply chain planning model with multiple flexibility options

DEFF Research Database (Denmark)

Esmaeilikia, Masoud; Fahimnia, Behnam; Sarkis, Joeseph

2016-01-01

Supply chain flexibility is widely recognized as an approach to manage uncertainty. Uncertainty in the supply chain may arise from a number of sources such as demand and supply interruptions and lead time variability. A tactical supply chain planning model with multiple flexibility options...... incorporated in sourcing, manufacturing and logistics functions can be used for the analysis of flexibility adjustment in an existing supply chain. This paper develops such a tactical supply chain planning model incorporating a realistic range of flexibility options. A novel solution method is designed...

Modelling mitigation options to reduce diffuse nitrogen water pollution from agriculture.

Science.gov (United States)

Bouraoui, Fayçal; Grizzetti, Bruna

2014-01-15

Agriculture is responsible for large scale water quality degradation and is estimated to contribute around 55% of the nitrogen entering the European Seas. The key policy instrument for protecting inland, transitional and coastal water resources is the Water Framework Directive (WFD). Reducing nutrient losses from agriculture is crucial to the successful implementation of the WFD. There are several mitigation measures that can be implemented to reduce nitrogen losses from agricultural areas to surface and ground waters. For the selection of appropriate measures, models are useful for quantifying the expected impacts and the associated costs. In this article we review some of the models used in Europe to assess the effectiveness of nitrogen mitigation measures, ranging from fertilizer management to the construction of riparian areas and wetlands. We highlight how the complexity of models is correlated with the type of scenarios that can be tested, with conceptual models mostly used to evaluate the impact of reduced fertilizer application, and the physically-based models used to evaluate the timing and location of mitigation options and the response times. We underline the importance of considering the lag time between the implementation of measures and effects on water quality. Models can be effective tools for targeting mitigation measures (identifying critical areas and timing), for evaluating their cost effectiveness, for taking into consideration pollution swapping and considering potential trade-offs in contrasting environmental objectives. Models are also useful for involving stakeholders during the development of catchments mitigation plans, increasing their acceptability. © 2013.

Informed public opinion in the Netherlands. Evaluation of CO2 capture and storage technologies in comparison with other CO2 mitigation options

Energy Technology Data Exchange (ETDEWEB)

De Best-Waldhober, M. [Energy Research of the Netherlands ECN, Unit Policy Studies, Radarweg 60, 1043 NT Amsterdam (Netherlands); Daamen, D.D.L. [Centre for Energy and Environmental Studies, Dept. of Psychology, Leiden University, Wassenaarseweg 52, 2333 AK Leiden (Netherlands); Ramirez-Ramirez, A.; Faaij, A. [Copernicus Institute, Faculty of Geosciences, Utrecht University, Budapestlaat 6, 3584 CD Utrecht (Netherlands); Hendriks, C.; De Visser, E. [Ecofys Netherlands, Kanaalweg 16-a, 3526 KL Utrecht (Netherlands)

2012-09-15

In this study, 995 respondents in a representative sample of the Dutch general population are set in the situation of policymakers: they are faced with the issue of fulfilling the Dutch demand for energy in 2030 in such a way that emissions of carbon dioxide will be reduced by 50%. In the Information-Choice Questionnaire (ICQ) that was developed for this, respondents evaluated information from experts on seven options for CO2 emission reduction and their consequences. Two CCS options were compared to two energy efficiency options, a wind energy option, a biomass energy option, and a nuclear energy option. Results show that people are not that enthusiastic regarding the two CCS options. These are evaluated 5.3 and 5.9 on average on a scale of 1-10 and not often chosen as one of the three preferred options, but they are also rarely rejected. Most of the other options in the questionnaire were evaluated rather positively, except nuclear energy and the more ambitious efficiency option. Analysis shows that the evaluation of the information regarding consequences moderately influences how options are evaluated overall. The results further indicate that the CCS options are evaluated less positively due to the comparison with other options.

Option Pricing with Stochastic Volatility and Jump Diffusion Processes

Directory of Open Access Journals (Sweden)

Radu Lupu

2006-03-01

Full Text Available Option pricing by the use of Black Scholes Merton (BSM model is based on the assumption that asset prices have a lognormal distribution. In spite of the use of these models on a large scale, both by practioners and academics, the assumption of lognormality is rejected by the history of returns. The objective of this article is to present the methods that developed after the Black Scholes Merton environment and deals with the option pricing model adjustment to the empirical properties of asset returns. The main models that appeared after BSM allowed for special changes of the returns that materialized in jump-diffusion and stochastic volatility processes. The article presents the foundations of risk neutral options evaluation and the empirical evidence that fed the amendment of the lognormal assumption in the first part and shows the evaluation procedure under the assumption of stock prices following the jump-diffusion process and the stochastic volatility process.

Analysis of Options Contract, Option Pricing in Agricultural Products

Directory of Open Access Journals (Sweden)

H. Tamidy

2016-03-01

of standardizing the underlying asset 4- Impossibility of creating cross supply of the underlying asset In addition, after the introduction of the model parameters, we offers method calculating of the volatility (standard deviation price with using historical data (time series. Parameters of Blk- Scholes model are introduced and option contract of selected product will pricing. After effect of the rise and fall agreement prices (in the form of 9-defined scenario on the price of put option and sales option are studied. In this study, after forming the hypothetical option market for the Canola, option pricing is done. In this section, the criteria for selecting an appropriate asset base is expressed for option contract. The Black–Scholes model is introduced for the valuation of call option and European put option contract. After introducing the model parameters, the calculation of volatility (standard deviation of price using historical data (time series is presented .To achieve this aim, the Black – Scholes model was used under 9 strike price scenario of 5, 10, 15, 20 percent above; 5, 10, 15, and 20 percent lower and finally equal to current prices. This model was run in Excel 2010 and Derivea gem 1.5. Results and Discussion: The results showed 43% price volatility for canola that reflects uncertainty in its price. In the next stage of pricing, the purchase and sale of the selected product was done under the nine price scenarios. The results showed that the highest authority to purchase option was for scenario K1 and the highest buy option was for the K9 scenario. The least expensive buy option is K9 and the least expensive sell option is K1. Conclusion: The results show that the increase of strike price under these scenarios leads to a decrease of call option price and decrease of put option price. In addition, the farmers, businesspersons and agricultural products transforming factories with a different degree of risk disclosure can participate in these markets

Nuclear Fuel Cycle Evaluation and Real Options

Directory of Open Access Journals (Sweden)

L. Havlíček

2008-01-01

Full Text Available The first part of this paper describes the nuclear fuel cycle. It is divided into three parts. The first part, called Front-End, covers all activities connected with fuel procurement and fabrication. The middle part of the cycle includes fuel reload design activities and the operation of the fuel in the reactor. Back-End comprises all activities ensuring safe separation of spent fuel and radioactive waste from the environment. The individual stages of the fuel cycle are strongly interrelated. Overall economic optimization is very difficult. Generally, NPV is used for an economic evaluation in the nuclear fuel cycle. However the high volatility of uranium prices in the Front-End, and the large uncertainty of both economic and technical parameters in the Back-End, make the use of NPV difficult. The real option method is able to evaluate the value added by flexibility of decision making by a company under conditions of uncertainty. The possibility of applying this method to the nuclear fuel cycle evaluation is studied. 

An open-label Optional Titration Trial to Evaluate the Efficacy ...

African Journals Online (AJOL)

An eight-week open-label optional titration trial to evaluate the efficacy, tolerability and safety of Valsartan 80 mg/ & 160 mg once daily was carried out in patients with mild to moderate essential hypertension at the Lagos University Teaching Hospital. There was a significant reduction in both systolic and diastolic blood ...

Energy exotic options

International Nuclear Information System (INIS)

Kaminski, V.; Gibner, S.; Pinnamaneni, K.

1999-01-01

This chapter with 88 references focuses on the use of exotic options to control exposure to energy prices. Exotic options are defined, and the conversion of a standard option into an exotic option and pricing models are examined. Pricing and hedging exotic options, path-dependent options, multi-commodity options, options on the minimum-or-maximum of two commodities, compound options, digital options, hybrid and complex structures, and natural gas daily options are described. Formulas for option pricing for vanilla, barrier, compound, options on minimum or maximum of two assets, and look back options are given in an appendix

Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility

Directory of Open Access Journals (Sweden)

Xinfeng Ruan

2013-01-01

Full Text Available We study the equity premium and option pricing under jump-diffusion model with stochastic volatility based on the model in Zhang et al. 2012. We obtain the pricing kernel which acts like the physical and risk-neutral densities and the moments in the economy. Moreover, the exact expression of option valuation is derived by the Fourier transformation method. We also discuss the relationship of central moments between the physical measure and the risk-neutral measure. Our numerical results show that our model is more realistic than the previous model.

Pricing Asian Interest Rate Options with a Three-Factor HJM Model

Directory of Open Access Journals (Sweden)

Claudio Henrique Barbedo

2010-04-01

Full Text Available Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable information from derivative instruments. We use a standard procedure to implement the HJM model and to price IDI options. We intend to assess the importance of the principal components of pricing and interest rate hedging derivatives in Brazil, one of the major emerging markets. Our results indicate that the HJM model consistently underprices IDI options traded in the over-the-counter market while it overprices long-term options traded in the exchange studied. We also find a direct relationship between time to maturity and pricing error and a negative relation with moneyness.

Evaluation of remedial alternative of a LNAPL plume utilizing groundwater modeling

International Nuclear Information System (INIS)

Johnson, T.; Way, S.; Powell, G.

1997-01-01

The TIMES model was utilized to evaluate remedial options for a large LNAPL spill that was impacting the North Platte River in Glenrock, Wyoming. LNAPL was found discharging into the river from the adjoining alluvial aquifer. Subsequent investigations discovered an 18 hectare plume extended across the alluvium and into a sandstone bedrock outcrop to the south of the river. The TIMES model was used to estimate the LNAPL volume and to evaluate options for optimizing LNAPL recovery. Data collected from recovery and monitoring wells were used for model calibration. A LNAPL volume of 5.5 million L was estimated, over 3.0 million L of which is in the sandstone bedrock. An existing product recovery system was evaluated for its effectiveness. Three alternative recovery scenarios were also evaluated to aid in selecting the most cost-effective and efficient recovery system for the site. An active wellfield hydraulically upgradient of the existing recovery system was selected as most appropriate to augment the existing system in recovering LNAPL efficiently

Preliminary evaluation of crisis-relocation fallout-shelter options. Volume 2. Detailed analysis

International Nuclear Information System (INIS)

Santini, D.J.; Clinch, J.M.; Davis, F.H.; Hill, L.G.; Lynch, E.P.; Tanzman, E.A.; Wernette, D.R.

1982-12-01

This report presents a preliminary, detailed evaluation of various shelter options for use if the President orders crisis relocation of the US urban population because of strong expectation of a nuclear war. The availability of livable shelter space at 40 ft 2 per person (congregate-care space) by state is evaluated. Options are evaluated for construction of fallout shelters allowing 10 ft 2 per person - such shelters are designed to provide 100% survival at projected levels of radioactive fallout. The FEMA concept of upgrading existing buildings to act as fallout shelters can, in principle, provide adequate shelter throughout most of the US. Exceptions are noted and remedies proposed. In terms of upgrading existing buildings to fallout shelter status, great benefits are possible by turning away from a standard national approach and adopting a more site-specific approach. Existing FEMA research provides a solid foundation for successful crisis relocation planning, but the program can be refined by making suitable modifications in its locational, engineering, and institutionally specific elements

Evaluation of retention and disposal options for tritium in fuel reprocessing

International Nuclear Information System (INIS)

Grimes, W.R.; Hampson, D.C.; Larkin, D.J.; Skolrud, J.O.; Benjamin, R.W.

1982-08-01

Five options were evaluated as means of retaining tritium released from light-water reactor or fast breeder reactor fuel during the head-end steps of a typical Purex reprocessing scheme. Cost estimates for these options were compared with a base case in which no retention of tritium within the facility was obtained. Costs were also estimated for a variety of disposal methods of the retained tritium. The disposal costs were combined with the retention costs to yield total costs (capital plus operating) for retention and disposal of tritium under the conditions envisioned. The above costs were converted to an annual basis and to a dollars per curie retained basis. This then was used to estimate the cost in dollars per man-rem saved by retaining the tritium. Only the options that used the least expensive disposal costs could approach the $1000/man-rem cost used as a guide by the Nuclear Regulatory Commission

Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices

DEFF Research Database (Denmark)

Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim

in the search for alternative specifications. We then estimate the models using maximum likelihood on S&P500 returns. Finally, we employ nonlinear least squares on a panel of option data. In comparison with earlier studies that explicitly solve the filtering problem, we analyze a more comprehensive option data......Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the resulting biases. We investigate...... alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources. We first use realized volatilities to assess the properties of the SQR model and to guide us...

Evaluation of storage/transportation options to support criteria development for the Phase I MRS

International Nuclear Information System (INIS)

Sorenson, K.B.; Brown, N.N.; Bennett, P.C.; Lake, W.

1991-01-01

The DOE's Office of Civilian Waste Management (OCRWM) plans to develop an interim storage facility to enable acceptance of spent fuel in 1998. It is estimated that this interim storage facility would be needed for about two years. A Monitored Retrievable Storage (MRS) facility is anticipated in 2000 and a repository in 2010. Acceptance and transport of spent fuel by DOE/OCRWM in 1998 will require an operating transportation system. Because this interim storage facility is not yet defined, development of an optimally compatible transportation system is not a certainty. In order to assure a transport capability for 1998 acceptance of spent fuel, it was decided that the OCRWM transportation program had to identify likely options for an interim storage facility, including identification of the components needed for compatibility between likely interim storage facility options and transportation. Primary attention was given to existing hardware, although conceptual designs were also considered. A systems-based probabilistic decision model was suggested by Sandia National Labs. and accepted by DOE/OCRWM's transportation program. Performance of the evaluation task involved several elements of the transportation program. This paper describes the decision model developed to accomplish this task, along with some of the results and conclusions

Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method

Directory of Open Access Journals (Sweden)

Fei Lung Yuen

2011-12-01

Full Text Available In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM. The MRSM allows the parameters of the market model depending on a Markovian process, and the model can reflect the information of the market environment which cannot be modeled solely by linear Gaussian process. However, when the parameters of the stock price model are not constant but governed by a Markovian process, the pricing of the options becomes complex. We present a fast and simple trinomial tree model to price options in MRSM. In recent years, the pricing of modern insurance products, such as Equity-Indexed annuity (EIA and variable annuities (VAs, has become a popular topic. We show here that our trinomial tree model can been used to price EIA with strong path dependent exotic options in the regime switching model.

Multifactor valuation models of energy futures and options on futures

Science.gov (United States)

Bertus, Mark J.

The intent of this dissertation is to investigate continuous time pricing models for commodity derivative contracts that consider mean reversion. The motivation for pricing commodity futures and option on futures contracts leads to improved practical risk management techniques in markets where uncertainty is increasing. In the dissertation closed-form solutions to mean reverting one-factor, two-factor, three-factor Brownian motions are developed for futures contracts. These solutions are obtained through risk neutral pricing methods that yield tractable expressions for futures prices, which are linear in the state variables, hence making them attractive for estimation. These functions, however, are expressed in terms of latent variables (i.e. spot prices, convenience yield) which complicate the estimation of the futures pricing equation. To address this complication a discussion on Dynamic factor analysis is given. This procedure documents latent variables using a Kalman filter and illustrations show how this technique may be used for the analysis. In addition, to the futures contracts closed form solutions for two option models are obtained. Solutions to the one- and two-factor models are tailored solutions of the Black-Scholes pricing model. Furthermore, since these contracts are written on the futures contracts, they too are influenced by the same underlying parameters of the state variables used to price the futures contracts. To conclude, the analysis finishes with an investigation of commodity futures options that incorporate random discrete jumps.

Preliminary evaluation of crisis-relocation fallout-shelter options. Volume 1. Summary

International Nuclear Information System (INIS)

Santini, D.J.; Clinch, J.M.; Davis, F.H.; Hill, L.G.; Lynch, E.P.; Tanzman, E.A.; Wernette, D.R.

1982-03-01

This report, prepared for the Federal Emergency Management Agency (FEMA), presents a summary evaluation of various shelter options for use in the case where the President orders crisis relocation of the US urban population because of strong expectation of a nuclear war. The availability of livable shelter space at 40 ft 2 per person (congregate-care space) by state is evaluated. Options are evaluated for construction of fallout shelters allowing 10 ft 2 per person - such shelters are designed to provide 100% survival at projected levels of radioactive fallout. The authors find that the FEMA concept of upgrading existing buildings to act as fallout shelters can, in principle, provide adequate shelter throughout most of the US. Exceptions are noted and remedies proposed. The authors also find that, in terms of upgrading existing buildings to fallout shelter status, great benefits are possible by turning away from a standard national approach and adopting a more site-specific approach. Existing FEMA research provides a solid foundation for successful crisis relocation planning, but the program can be refined by making suitable modifications in its locational, engineering, and institutionally specific elements

Clarifying evacuation options through fire behavior and traffic modeling

Science.gov (United States)

Carol L. Rice; Ronny J. Coleman; Mike. Price

2011-01-01

Communities are becoming increasingly concerned with the variety of choices related to wildfire evacuation. We used ArcView with Network Analyst to evaluate the different options for evacuations during wildfire in a case study community. We tested overlaying fire growth patterns with the road network and population characteristics to determine recommendations for...

Option value of electricity demand response

Energy Technology Data Exchange (ETDEWEB)

Sezgen, Osman; Goldman, C.A. [Lawrence Berkeley National Laboratory, 1 Cyclotron Road, Berkeley CA 94720 (United States); Krishnarao, P. [Citigroup Energy Inc., 1301 Fannin St, Houston, TX 77002 (United States)

2007-02-15

As electricity markets deregulate and energy tariffs increasingly expose customers to commodity price volatility, it is difficult for energy consumers to assess the economic value of investments in technologies that manage electricity demand in response to changing energy prices. The key uncertainties in evaluating the economics of demand-response technologies are the level and volatility of future wholesale energy prices. In this paper, we demonstrate that financial engineering methodologies originally developed for pricing equity and commodity derivatives (e.g., futures, swaps, options) can be used to estimate the value of demand-response technologies. We adapt models used to value energy options and assets to value three common demand-response strategies: load curtailment, load shifting or displacement, and short-term fuel substitution-specifically, distributed generation. These option models represent an improvement to traditional discounted cash flow methods for assessing the relative merits of demand-side technology investments in restructured electricity markets. (author)

Option value of electricity demand response

International Nuclear Information System (INIS)

Sezgen, Osman; Goldman, C.A.; Krishnarao, P.

2007-01-01

As electricity markets deregulate and energy tariffs increasingly expose customers to commodity price volatility, it is difficult for energy consumers to assess the economic value of investments in technologies that manage electricity demand in response to changing energy prices. The key uncertainties in evaluating the economics of demand-response technologies are the level and volatility of future wholesale energy prices. In this paper, we demonstrate that financial engineering methodologies originally developed for pricing equity and commodity derivatives (e.g., futures, swaps, options) can be used to estimate the value of demand-response technologies. We adapt models used to value energy options and assets to value three common demand-response strategies: load curtailment, load shifting or displacement, and short-term fuel substitution-specifically, distributed generation. These option models represent an improvement to traditional discounted cash flow methods for assessing the relative merits of demand-side technology investments in restructured electricity markets. (author)

Phytoremediation options for radioactively contaminated sites evaluated

International Nuclear Information System (INIS)

Vandenhove, Hildegarde

2013-01-01

Highlights: ► We present an overview of the most important site and environmental radioactive contamination problems encountered. ► The potential role of different phytomanagement options is discussed and illustrated with examples. ► The phytomanagement options considered are: soil phytoextraction, rhizofiltration, wetlands and alternative land use. - Abstract: The application of nuclear energy and the use of radionuclides for industrial, medical and research purposes have caused significant contamination of certain sites and their environment, which could result in health problems for several centuries if nothing is undertaken to remedy these situations. Except for the immediate environment of the facility, where decontamination activities may be feasible and affordable, the contamination often extents over a vast area and decontamination would be costly and could result in vast amounts of waste. Therefore, more realistic yet efficient remediation options should be searched for of which phytomanagement is among the potential options. A number of phytomanagement approaches will be discussed

Antenatal Hydronephrosis: Differential Diagnosis, Evaluation, and Treatment Options

Science.gov (United States)

Herndon, C.D. Anthony

2006-01-01

The diagnosis, evaluation and management of antenatal hydronephrosis has undergone a two stage paradigm shift since the advent of prenatal ultrasonography in the early 1980s. Initially the identification of a large number of asymptomatic infants appeared to afford the surgeon the opportunity for preemptive intervention. However, it has now become apparent that antenatal hydronephrosis (AH) is far more difficult to interpret thanoriginally perceived. The initial enthusiasm for surgery has now been replaced by a much more conservative approach to ureteropelvic junction(UPJ) obstruction, multi-cystic dysplastic kidney(MCDK), vesicoureteral reflux and the non-refluxing megaureter. This review will highlight the postnatal evaluation of AH and include an overview of the Society for Fetal Urology grading system for hydronephrosis. The differential diagnosis and treatment options for UPJ obstruction, vesicoureteral reflux, MCDK, duplication anomalies, megaureter, and posterior urethral valves will be discussed. PMID:17619702

Applicability of line outage distribution factors to evaluate distribution network expansion options

NARCIS (Netherlands)

Grond, M.O.W.; Pouw, J.I.P.; Morren, J.; Slootweg, J.G.

2014-01-01

Distribution network operators require more advanced planning tools to deal with the challenges of future network planning. An appropriate planning and optimization tool can identify which option for network extension should be selected from available alternatives. However, the evaluation part in

Preliminary evaluation of crisis-relocation fallout-shelter options. Volume 2. Detailed analysis

Energy Technology Data Exchange (ETDEWEB)

Santini, D.J.; Clinch, J.M.; Davis, F.H.; Hill, L.G.; Lynch, E.P.; Tanzman, E.A.; Wernette, D.R.

1982-12-01

This report presents a preliminary, detailed evaluation of various shelter options for use if the President orders crisis relocation of the US urban population because of strong expectation of a nuclear war. The availability of livable shelter space at 40 ft/sup 2/ per person (congregate-care space) by state is evaluated. Options are evaluated for construction of fallout shelters allowing 10 ft/sup 2/ per person - such shelters are designed to provide 100% survival at projected levels of radioactive fallout. The FEMA concept of upgrading existing buildings to act as fallout shelters can, in principle, provide adequate shelter throughout most of the US. Exceptions are noted and remedies proposed. In terms of upgrading existing buildings to fallout shelter status, great benefits are possible by turning away from a standard national approach and adopting a more site-specific approach. Existing FEMA research provides a solid foundation for successful crisis relocation planning, but the program can be refined by making suitable modifications in its locational, engineering, and institutionally specific elements.

Evaluating Domestic Hot Water Distribution System Options with Validated Analysis Models

Energy Technology Data Exchange (ETDEWEB)

Weitzel, E. [Alliance for Residential Building Innovation, Davis, CA (United States); Hoeschele, E. [Alliance for Residential Building Innovation, Davis, CA (United States)

2014-09-01

A developing body of work is forming that collects data on domestic hot water consumption, water use behaviors, and energy efficiency of various distribution systems. Transient System Simulation Tool (TRNSYS) is a full distribution system developed that has been validated using field monitoring data and then exercised in a number of climates to understand climate impact on performance. In this study, the Building America team built upon previous analysis modeling work to evaluate differing distribution systems and the sensitivities of water heating energy and water use efficiency to variations of climate, load, distribution type, insulation and compact plumbing practices. Overall, 124 different TRNSYS models were simulated. The results of this work are useful in informing future development of water heating best practices guides as well as more accurate (and simulation time efficient) distribution models for annual whole house simulation programs.

Contribution to the economic impact assessment of policy options to regulate animal cloning for food production with an economic simulation model

OpenAIRE

Koen Dillen; Emanuele Ferrari; Pascal Tillie; George Philippidis; Sophie Helaine

2013-01-01

The EU is currently evaluating different policy options towards the use of cloning or products derived from cloned animals in the food chain. This study presents a first attempt to quantify the likely effects of different policy scenarios on international trade and EU domestic production. In the context of the Impact Asessment process the JRC was requested to simulate via a modelling study the economic impact of selected policy options. Based on a literature review and the specific constra...

Utility-free heuristic models of two-option choice can mimic predictions of utility-stage models under many conditions

Science.gov (United States)

Piantadosi, Steven T.; Hayden, Benjamin Y.

2015-01-01

Economists often model choices as if decision-makers assign each option a scalar value variable, known as utility, and then select the option with the highest utility. It remains unclear whether as-if utility models describe real mental and neural steps in choice. Although choices alone cannot prove the existence of a utility stage, utility transformations are often taken to provide the most parsimonious or psychologically plausible explanation for choice data. Here, we show that it is possible to mathematically transform a large set of common utility-stage two-option choice models (specifically ones in which dimensions are can be decomposed into additive functions) into a heuristic model (specifically, a dimensional prioritization heuristic) that has no utility computation stage. We then show that under a range of plausible assumptions, both classes of model predict similar neural responses. These results highlight the difficulties in using neuroeconomic data to infer the existence of a value stage in choice. PMID:25914613

Utility-free heuristic models of two-option choice can mimic predictions of utility-stage models under many conditions

Directory of Open Access Journals (Sweden)

Steven T Piantadosi

2015-04-01

Full Text Available Economists often model choices as if decision-makers assign each option a scalar value variable, known as utility, and then select the option with the highest utility. It remains unclear whether as-if utility models describe real mental and neural steps in choice. Although choices alone cannot prove the existence of a utility stage in choice, utility transformations are often taken to provide the most parsimonious or psychologically plausible explanation for choice data. Here, we show that it is possible to mathematically transform a large set of common utility-stage two-option choice models (specifically ones in which dimensions are linearly separable into a psychologically plausible heuristic model (specifically, a dimensional prioritization heuristic that has no utility computation stage. We then show that under a range of plausible assumptions, both classes of model predict similar neural responses. These results highlight the difficulties in using neuroeconomic data to infer the existence of a value stage in choice.

Evaluating Domestic Hot Water Distribution System Options With Validated Analysis Models

Energy Technology Data Exchange (ETDEWEB)

Weitzel, E.; Hoeschele, M.

2014-09-01

A developing body of work is forming that collects data on domestic hot water consumption, water use behaviors, and energy efficiency of various distribution systems. A full distribution system developed in TRNSYS has been validated using field monitoring data and then exercised in a number of climates to understand climate impact on performance. This study builds upon previous analysis modelling work to evaluate differing distribution systems and the sensitivities of water heating energy and water use efficiency to variations of climate, load, distribution type, insulation and compact plumbing practices. Overall 124 different TRNSYS models were simulated. Of the configurations evaluated, distribution losses account for 13-29% of the total water heating energy use and water use efficiency ranges from 11-22%. The base case, an uninsulated trunk and branch system sees the most improvement in energy consumption by insulating and locating the water heater central to all fixtures. Demand recirculation systems are not projected to provide significant energy savings and in some cases increase energy consumption. Water use is most efficient with demand recirculation systems, followed by the insulated trunk and branch system with a central water heater. Compact plumbing practices and insulation have the most impact on energy consumption (2-6% for insulation and 3-4% per 10 gallons of enclosed volume reduced). The results of this work are useful in informing future development of water heating best practices guides as well as more accurate (and simulation time efficient) distribution models for annual whole house simulation programs.

Dynamique jointe stock/option et application aux stratégies de trading sur options

OpenAIRE

El Aoud , Sofiene

2015-01-01

This thesis explores theoretically and empirically the implications of the stock/option joint dynamics on applications related to option trading. In the first part of the thesis, we look into the relations between stock options and index options under the risk-neutral measure. The Capital Asset Pricing Model offers an adequate mathematical framework for this study as it provides a modeling approach for the joint dynamics between the stock and the index. As we compute option prices according t...

Perpetual American put options in a level-dependent volatility model

OpenAIRE

Ekström, Erik

2003-01-01

We find the explicit value of perpetual American put options in the constant elasticity of variance model using the concept of smooth fit. We show that the price is increasing in the volatility and convex in the underlying stock price. Moreover, as the model converges to the standard Black and Scholes model, the value of the put is shown to approach the `correct' limit.

Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

International Nuclear Information System (INIS)

Perelló, Josep; Masoliver, Jaume; Sircar, Ronnie

2008-01-01

We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein–Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein–Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force, toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones index data

Commodity Alliance Model – An Option for Advancing Private and ...

African Journals Online (AJOL)

Commodity Alliance Model – An Option for Advancing Private and Commercial ... that ensure adequate value addition and ultimate remunerative price for farmers' ... and integrating them in terms of fair price determination, information flow and ...

A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models

Directory of Open Access Journals (Sweden)

Raúl Merino

2015-01-01

Full Text Available We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model, extending a previous decomposition formula for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used for this purpose are nonanticipative. In particular, we also see that equivalent results can be obtained by using Functional Itô Calculus. Using the same generalizing ideas, we also extend to nonexponential models the alternative call option price decomposition formula written in terms of the Malliavin derivative of the volatility process. Finally, we give a general expression for the derivative of the implied volatility under both the anticipative and the nonanticipative cases.

An Evaluation of Feral Cat Management Options Using a Decision Analysis Network

Directory of Open Access Journals (Sweden)

Kerrie Anne T. Loyd

2010-12-01

Full Text Available The feral domestic cat (Felis catus is a predatory invasive species with documented negative effects on native wildlife. The issue of appropriate and acceptable feral cat management is a matter of contentious debate in cities and states across the United States due to concerns for wildlife conservation, cat welfare, and public health. Common management strategies include: Trap-Neuter-Release, Trap-Neuter-Release with removal of kittens for adoption and Trap-Euthanize. Very little empirical evidence exists relevant to the efficacy of alternative options and a model-based approach is needed to predict population response and extend calculations to impact on wildlife. We have created a structured decision support model representing multiple stakeholder groups to facilitate the coordinated management of feral cats. We used a probabilistic graphical model (a Bayesian Belief Network to evaluate and rank alternative management decisions according to efficacy, societal preferences, and cost. Our model predicts that Trap-Neuter-Release strategies would be optimal management decisions for small local populations of less than fifty cats while Trap-Euthanize would be the optimal management decision for populations greater than 50 cats. Removal is predicted to reduce feral cat populations quickly and prevent cats from taking a large number of wildlife prey.

Heston Model Calibration in the Brazilian Foreign Exchange (FX Options Market

Directory of Open Access Journals (Sweden)

Joe Akira Yoshino

2004-06-01

Full Text Available Despite the relatively recent advance in the derivative industry, the European FX option market uses simple models such as Black (1976 or Garman and Kohlhagen (1983. This widespread practice hides very important quantitative effects that could be better explored by using alternative pricing models such as the one that incorporates the stochastic volatility features. Understanding and calibrating this type of pricing model represents a challenge in the current state of art in financial engineering, specially in emerging markets that are characterized by strong volatilities, periodic changing regimes and in most case suffering of liquidity, specially during the crisis. In this sense, this paper shows how to implement the Hestons Model for the Brazilian FX option market. This approach uses the volatility matrix provided by a pool of domestic market players. Although the Hestons Model presents a formal analytical solution it does not require simulation-, the closed form solutions show a mathematical complexity. Thus, the main objective of this work is to implement this model in the Brazilian FX market.

ASTM STANDARD GUIDE FOR EVALUATING DISPOSAL OPTIONS FOR REUSE OF CONCRETE FROM NUCLEAR FACILITY DECOMMISSIONING

International Nuclear Information System (INIS)

Phillips, Ann Marie; Meservey, Richard H.

2003-01-01

Within the nuclear industry, many contaminated facilities that require decommissioning contain huge volumes of concrete. This concrete is generally disposed of as low-level waste at a high cost. Much of the concrete is lightly contaminated and could be reused as roadbed, fill material, or aggregate for new concrete, thus saving millions of dollars. However, because of the possibility of volumetric contamination and the lack of a method to evaluate the risks and costs of reusing concrete, reuse is rarely considered. To address this problem, Argonne National Laboratory-East (ANL-E) and the Idaho National Engineering and Environmental Laboratory teamed to write a ''concrete protocol'' to help evaluate the ramifications of reusing concrete within the U.S. Department of Energy (DOE). This document, titled the Protocol for Development of Authorized Release Limits for Concrete at U.S. Department of Energy Site (1) is based on ANL-E's previously developed scrap metal recycle protocols; on the 10-step method outlined in DOE's draft handbook, Controlling Release for Reuse or Recycle of Property Containing Residual Radioactive Material (2); and on DOE Order 4500.5, Radiation Protection of the Public and the Environment (3). The DOE concrete protocol was the basis for the ASTM Standard Guide for Evaluating Disposal Options for Concrete from Nuclear Facility Decommissioning, which was written to make the information available to a wider audience outside DOE. The resulting ASTM Standard Guide is a more concise version that can be used by the nuclear industry worldwide to evaluate the risks and costs of reusing concrete from nuclear facility decommissioning. The bulk of the ASTM Standard Guide focuses on evaluating the dose and cost for each disposal option. The user calculates these from the detailed formulas and tabulated data provided, then compares the dose and cost for each disposal option to select the best option that meets regulatory requirements. With this information

Option Pricing using Realized Volatility

DEFF Research Database (Denmark)

Stentoft, Lars Peter

dynamics to be used for option pricing purposes in this framework, and we show that our model explains some of the mispricings found when using traditional option pricing models based on interdaily data. We then show explicitly that a Generalized Autoregressive Conditional Heteroskedastic model with Normal...... Inverse Gaussian distributed innovations is the corresponding benchmark model when only daily data is used. Finally, we perform an empirical analysis using stock options for three large American companies, and we show that in all cases our model performs significantly better than the corresponding...... benchmark model estimated on return data alone. Hence the paper provides evidence on the value of using high frequency data for option pricing purposes....

Disposal options for radioactive residues. Development of interdisciplinary evaluation principles in ENTRIA; Entsorgungsoptionen fuer hoch radioaktive Abfaelle. Die Schaffung interdisziplinaerer Bewertungsgrundlagen in ENTRIA

Energy Technology Data Exchange (ETDEWEB)

Walther, C. [Hannover Univ. (Germany). Inst. fuer Radiooekologie und Strahlenschutz; Chaudry, S.; Plischke, E.; Roehlig, K.J. [TU Clausthal, Clausthal-Zellerfeld (Germany). Inst. fuer Endlagerforschung; Hocke, P. [Karlsruher Institut fuer Technologie, Karlsruhe (Germany). Inst. fuer Technikfolgenabschaetzung und Systemanalyse; Eckhardt, A. [risicare GmbH, Zollikerberg (Switzerland); Ott, K. [Kiel Univ. (Germany). Philosophisches Seminar

2016-07-01

ENTRIA, short for ''Disposal Options for Radioactive Residues: Interdisciplinary Analyses and Development of Evaluation Principles'', is a joint project of twelve institutes or departments of German universities and research institutions as well as a partner from Switzerland. The fundamentally new approach here is the plurality of represented disciplines. ENTRIA analyzes radioactive waste management subjects from the viewpoint of natural sciences, engineering, arts, law and social science. ENTRIA works independently from politics, operators und interest groups. ENTRIA performs purely scientific research analyzing the three most important radioactive waste management option:''Final disposal in deep geological formations without any arrangements for retrieval (maintenance-free deep geological disposal)'', ''disposal in deep geological formations with arrangements for monitoring and retrieval'' and ''surface storage''. Based on these options ENTRIA developed generic ''reference models'' and generic host-rockdependent container models (ENCON). All these models are of generic character, but are elaborated to an extent, e.g. with respect to reversibility time scales, as is necessary for a comparative differentiated evaluation. Long-term surface storage is considered and evaluated because of the increasingly apparent need to address interim storage not only as (temporary) alternative, but also as a necessary part of the overall process. Besides disciplinary work packages performed in ENTRIA several tasks combine the expertise and perspective of disciplines which could classically be considered ''far apart''. A key task is the creation of interdisciplinary evaluation principles. This article provides insight into interdisciplinary working within ENTERIA and describes the present status of this work from the perspective of the authors. However, this is not

Defaultable Game Options in a Hazard Process Model

Directory of Open Access Journals (Sweden)

Tomasz R. Bielecki

2009-01-01

Full Text Available The valuation and hedging of defaultable game options is studied in a hazard process model of credit risk. A convenient pricing formula with respect to a reference filteration is derived. A connection of arbitrage prices with a suitable notion of hedging is obtained. The main result shows that the arbitrage prices are the minimal superhedging prices with sigma martingale cost under a risk neutral measure.

Pricing European option with transaction costs under the fractional long memory stochastic volatility model

Science.gov (United States)

Wang, Xiao-Tian; Wu, Min; Zhou, Ze-Min; Jing, Wei-Shu

2012-02-01

This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the 'anchoring and adjustment' argument in a discrete time setting, a European call option pricing formula is obtained.

Integrated planning and spatial evaluation of megasite remediation and reuse options

Science.gov (United States)

Schädler, Sebastian; Morio, Maximilian; Bartke, Stephan; Finkel, Michael

2012-01-01

Redevelopment of large contaminated brownfields (megasites) is often hampered by a lack of communication and harmonization among diverse stakeholders with potentially conflicting interests. Decision support is required to provide integrative yet transparent evaluation of often complex spatial information to stakeholders with different areas of expertise. It is considered crucial for successful redevelopment to identify a shared vision of how the respective contaminated site could be remediated and redeveloped. We describe a framework of assessment methods and models that analyzes and visualizes site- and land use-specific spatial information at the screening level, with the aim to support the derivation of recommendable land use layouts and to initiate further and more detailed planning. The framework integrates a GIS-based identification of areas to be remediated, an estimation of associated clean-up costs, a spatially explicit market value appraisal, and an assessment of the planned future land use's contribution to sustainable urban and regional development. Case study results show that derived options are potentially favorable in both a sustainability and an economic sense and that iterative re-planning is facilitated by the evaluation and visualization of economic, ecological and socio-economic aspects. The framework supports an efficient early judgment about whether and how abandoned land may be assigned a sustainable and marketable land use.

Deep greenhouse gas emission reductions in Europe: Exploring different options

International Nuclear Information System (INIS)

Deetman, Sebastiaan; Hof, Andries F.; Pfluger, Benjamin; Vuuren, Detlef P. van; Girod, Bastien; Ruijven, Bas J. van

2013-01-01

Most modelling studies that explore emission mitigation scenarios only look into least-cost emission pathways, induced by a carbon tax. This means that European policies targeting specific – sometimes relatively costly – technologies, such as electric cars and advanced insulation measures, are usually not evaluated as part of cost-optimal scenarios. This study explores an emission mitigation scenario for Europe up to 2050, taking as a starting point specific emission reduction options instead of a carbon tax. The purpose is to identify the potential of each of these policies and identify trade-offs between sectoral policies in achieving emission reduction targets. The reduction options evaluated in this paper together lead to a reduction of 65% of 1990 CO 2 -equivalent emissions by 2050. More bottom-up modelling exercises, like the one presented here, provide a promising starting point to evaluate policy options that are currently considered by policy makers. - Highlights: ► We model the effects of 15 climate change mitigation measures in Europe. ► We assess the greenhouse gas emission reduction potential in different sectors. ► The measures could reduce greenhouse gas emissions by 60% below 1990 levels in 2050. ► The approach allows to explore arguably more relevant climate policy scenarios

Option Derivatives in Electricity Hedging

Directory of Open Access Journals (Sweden)

P. Pavlátka

2010-01-01

Full Text Available Despite the high volatility of electricity prices, there is still little demand for electricity power options, and the liquidity on the power exchanges of these power derivatives is quite low. One of the reasons is the uncertainty about how to evaluate these electricity options and about finding the right fair value of this product. Hedging of electricity is associated mainly with products such as futures and forwards. However, due to new trends in electricity trading and hedging, it is also useful to think more about options and the principles for working with them in hedging various portfolio positions and counterparties. We can quite often encounter a situation when we need to have a perfect hedge for our customer’s (end user consuming electricity portfolio, or we have to evaluate the volumetric risk (inability of a customer to predict consumption, which is very similar to selling options. Now comes the moment to compare the effects of using options or futures to hedge these open positions. From a practical viewpoint, the Black-Scholes prices appear to be the best available and the simplest method for evaluating option premiums, but there are some limitations that we have to consider.

Changing Climate, Challenging Choices: Identifying and Evaluating Climate Change Adaptation Options for Protected Areas Management in Ontario, Canada

Science.gov (United States)

Lemieux, Christopher J.; Scott, Daniel J.

2011-10-01

Climate change will pose increasingly significant challenges to managers of parks and other forms of protected areas around the world. Over the past two decades, numerous scientific publications have identified potential adaptations, but their suitability from legal, policy, financial, internal capacity, and other management perspectives has not been evaluated for any protected area agency or organization. In this study, a panel of protected area experts applied a Policy Delphi methodology to identify and evaluate climate change adaptation options across the primary management areas of a protected area agency in Canada. The panel identified and evaluated one hundred and sixty five (165) adaptation options for their perceived desirability and feasibility. While the results revealed a high level of agreement with respect to the desirability of adaptation options and a moderate level of capacity pertaining to policy formulation and management direction, a perception of low capacity for implementation in most other program areas was identified. A separate panel of senior park agency decision-makers used a multiple criterion decision-facilitation matrix to further evaluate the institutional feasibility of the 56 most desirable adaptation options identified by the initial expert panel and to prioritize them for consideration in a climate change action plan. Critically, only two of the 56 adaptation options evaluated by senior decision-makers were deemed definitely implementable, due largely to fiscal and internal capacity limitations. These challenges are common to protected area agencies in developed countries and pervade those in developing countries, revealing that limited adaptive capacity represents a substantive barrier to biodiversity conservation and other protected area management objectives in an era of rapid climate change.

Investing in Marine Scrubber under Uncertainty with Real Option Thinking

DEFF Research Database (Denmark)

Jiang, Liping; Hansen, Carsten Ørts

works that examine the economic feasibility of scrubber retrofitting through the net present value rule, this paper applies the Real Option Analysis to find the optimal investment strategies. The proposed decision-making framework addresses the uncertainty and the value of deferral option embedded...... in the scrubber investment. The multiple sources of investment uncertainties are explicitly analyzed and integrated in the modeling by using Rainbow option. The results demonstrate that the value of the scrubber investment has significantly increased for several cases by considering the deferral option....... It is thus important for ship owners to consider the available options before proceeding with abandoning or investing strategy. The proposed framework can be widely applied to other ship retrofitting investment evaluations, which include similar investment alternatives and uncertainties....

Pricing Vulnerable Options with Market Prices of Common Jump Risks under Regime-Switching Models

Directory of Open Access Journals (Sweden)

Miao Han

2018-01-01

Full Text Available This paper investigates the valuation of vulnerable European options considering the market prices of common systematic jump risks under regime-switching jump-diffusion models. The way of regime-switching Esscher transform is adopted to identify an equivalent martingale measure for pricing vulnerable European options. Explicit analytical pricing formulae for vulnerable European options are derived by risk-neutral pricing theory. For comparison, the other two cases are also considered separately. The first case considers all jump risks as unsystematic risks while the second one assumes all jumps risks to be systematic risks. Numerical examples for the valuation of vulnerable European options are provided to illustrate our results and indicate the influence of the market prices of jump risks on the valuation of vulnerable European options.

Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model

Directory of Open Access Journals (Sweden)

Petra Posedel

2006-12-01

Full Text Available The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework. The quantification of the fair price of such financial instruments is therefore becoming increasingly important. Once the derivatives market is formed, the use of the Black-Scholes option pricing model is also expected. However, contrary to the assumptions of the Black-Scholes model, research in the field of option markets worldwide suggests that the volatility of the time-series returns is not constant over time. The present study analyzes the implications of volatility that changes over time for option pricing. The nonlinear-in-mean asymmetric GARCH model that reflects asymmetry in the distribution of returns and the correlation between returns and variance is recommended. For the purpose of illustration, we use the NGARCH model for the pricing of foreign currency options. Possible prices for such options having different strikes and maturities are then determined using Monte Carlo simulations. The improvement provided by the NGARCH model is that the option price is a function of the risk premium embedded in the underlying asset. This contrasts with the standard preference-free option pricing result that is obtained in the Black-Scholes model.

Options with Extreme Strikes

Directory of Open Access Journals (Sweden)

Lingjiong Zhu

2015-07-01

Full Text Available In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black–Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the tail asymptotics for these option types fall into four scenarios.

Modelling Callable Annuity Bonds with Interest-Only Optionality

OpenAIRE

Holst, Anders; Nalholm, Morten

2004-01-01

In this paper an investigation of the pricing of callable annuities with interest-only (I-O) optionality is conducted. First the I-O optionality feature of callable annuities is introduced. Next an algorithm for pricing callable annuities with I-O optionality using the finite difference methodology, is formulated. This is then used to investigate optimal strategies of I-O bonds and impacts on prices from the I-O optionality. It is found that the I-O feature necessitates a simul...

Explaining the level of credit spreads: Option-implied jump risk premia in a firm value model

NARCIS (Netherlands)

Cremers, K.J.M.; Driessen, J.; Maenhout, P.

2008-01-01

We study whether option-implied jump risk premia can explain the high observed level of credit spreads. We use a structural jump-diffusion firm value model to assess the level of credit spreads generated by option-implied jump risk premia. Prices and returns of equity index and individual options

A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model

Science.gov (United States)

Hozman, J.; Tichý, T.

2017-12-01

Stochastic volatility models enable to capture the real world features of the options better than the classical Black-Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.

TANK SPACE OPTIONS REPORT

International Nuclear Information System (INIS)

Willis, W.L.; Ahrendt, M.R.

2009-01-01

Since this report was originally issued in 2001, several options proposed for increasing double-shell tank (DST) storage space were implemented or are in the process of implementation. Changes to the single-shell tank (SST) waste retrieval schedule, completion of DST space saving options, and the DST space saving options in progress have delayed the projected shortfall of DST storage space from the 2007-2011 to the 2018-2025 timeframe (ORP-11242, River Protection Project System Plan). This report reevaluates options from Rev. 0 and includes evaluations of new options for alleviating projected restrictions on SST waste retrieval beginning in 2018 because of the lack of DST storage space.

A review of methodologies applied in Australian practice to evaluate long-term coastal adaptation options

Directory of Open Access Journals (Sweden)

Timothy David Ramm

2017-01-01

Full Text Available Rising sea levels have the potential to alter coastal flooding regimes around the world and local governments are beginning to consider how to manage uncertain coastal change. In doing so, there is increasing recognition that such change is deeply uncertain and unable to be reliably described with probabilities or a small number of scenarios. Characteristics of methodologies applied in Australian practice to evaluate long-term coastal adaptation options are reviewed and benchmarked against two state-of-the-art international methods suited for conditions of uncertainty (Robust Decision Making and Dynamic Adaptive Policy Pathways. Seven out of the ten Australian case studies assumed the uncertain parameters, such as sea level rise, could be described deterministically or stochastically when identifying risk and evaluating adaptation options across multi-decadal periods. This basis is not considered sophisticated enough for long-term decision-making, implying that Australian practice needs to increase the use of scenarios to explore a much larger uncertainty space when assessing the performance of adaptation options. Two Australian case studies mapped flexible adaptation pathways to manage uncertainty, and there remains an opportunity to incorporate quantitative methodologies to support the identification of risk thresholds. The contextual framing of risk, including the approach taken to identify risk (top-down or bottom-up and treatment of uncertain parameters, were found to be fundamental characteristics that influenced the methodology selected to evaluate adaptation options. The small sample of case studies available suggests that long-term coastal adaptation in Australian is in its infancy and there is a timely opportunity to guide local government towards robust methodologies for developing long-term coastal adaptation plans.

A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE

International Nuclear Information System (INIS)

Ballestra, Luca Vincenzo; Cecere, Liliana

2016-01-01

Highlights: • We develop a method to compute the parameters of the CEV model implied by American options. • This is the first procedure for calibrating the CEV model to American option prices. • The proposed approach is extensively tested on the NYSE market. • The novel method turns out to be very efficient in computing the CEV model parameters. • The CEV model provides only a marginal improvement over the lognormal model. - Abstract: We develop a highly efficient procedure to forecast the parameters of the constant elasticity of variance (CEV) model implied by American options. In particular, first of all, the American option prices predicted by the CEV model are calculated using an accurate and fast finite difference scheme. Then, the parameters of the CEV model are obtained by minimizing the distance between theoretical and empirical option prices, which yields an optimization problem that is solved using an ad-hoc numerical procedure. The proposed approach, which turns out to be very efficient from the computational standpoint, is used to test the goodness-of-fit of the CEV model in predicting the prices of American options traded on the NYSE. The results obtained reveal that the CEV model does not provide a very good agreement with real market data and yields only a marginal improvement over the more popular Black–Scholes model.

A PC-based software package for modeling DOE mixed-waste management options

International Nuclear Information System (INIS)

Abashian, M.S.; Carney, C.; Schum, K.

1995-02-01

The U.S. Department of Energy (DOE) Headquarters and associated contractors have developed an IBM PC-based software package that estimates costs, schedules, and public and occupational health risks for a range of mixed-waste management options. A key application of the software package is the comparison of various waste-treatment options documented in the draft Site Treatment Plans prepared in accordance with the requirements of the Federal Facility Compliance Act of 1992. This automated Systems Analysis Methodology consists of a user interface for configuring complexwide or site-specific waste-management options; calculational algorithms for cost, schedule and risk; and user-selected graphical or tabular output of results. The mixed-waste management activities modeled in the automated Systems Analysis Methodology include waste storage, characterization, handling, transportation, treatment, and disposal. Analyses of treatment options identified in the draft Site Treatment Plans suggest potential cost and schedule savings from consolidation of proposed treatment facilities. This paper presents an overview of the automated Systems Analysis Methodology

THE REAL OPTIONS OF CAPITAL BUDGET

Directory of Open Access Journals (Sweden)

Antonio Lopo Martins

2008-07-01

Full Text Available The traditional techniques of capital budget, as the deducted cash flow and the net value present, do not incorporate existing flexibilities in an investment project, they tend to distort the value of certain investments, mainly those that are considered in scenes of uncertainty and risk. Therefore, this study intends to demonstrate that the Real Options Theory (TOR is a useful methodology to evaluate and to indicate the best option for project of expansion investment. To reach the considered objective the procedure method was used a case study, having as unit of case the Resort Praia Hotel do Litoral Norte of Salvador. This study was developed of the following form: first it identified the traditional net value present and later it was incorporated the volatileness of each analyzed uncertainty. Second, as the real options are analogous to the financial options, it was necessary to identify elements that composed the terminologies of the financial options with intention to get the value of the real option. For this model of options pricing of Black & Scholes jointly with a computational simulator was used (SLS to get the expanded net value present. As a result of this study it was possible to evidence that using the traditional tool of capital budget Net Value Present (VPL is negative, therefore the project of expansion of the Hotel would be rejected. While for the application of methodology TOR the project presents positive Expanded Present Value which would represent an excellent chance of investment. Key-word: Capital budget, Real options, Analysis of investments.

Mathematical modeling for exploring the effects of overtime option, rework, and discontinuous inventory issuing policy on EMQ model

Directory of Open Access Journals (Sweden)

Singa Wang Chiu

2018-09-01

Full Text Available This study employs mathematical modeling to explore the effects of overtime option, rework, and discontinuous end-item issuing policy on the economic manufacturing quantity (EMQ model. Conventional EMQ model assumed that all products fabricated are of good quality and are issued under continuous policy. In real world, however, nonconforming items are randomly produced, due to diverse unexpected factors in fabrication process. When finished items are to be distributed to outside locations, discontinuous multi-shipment policy is often used rather than continuous rule. In addition, with the intention of increasing short-term capacity or shortening replenishment cycle length to smooth the production planning, adopting overtime option can be an effective strategy. To cope with the aforementioned features in real production systems, this study incorporates overtime option, rework, and multi-shipment policy into the EMQ model and explores their joint effects on optimal lot size and number of shipments, and on other relevant system parameters. Mathematical modeling and Hessian matrix equations enable us to derive the optimal policies to the problem. Through the use of numerical example, the applicability of research result is exhibited and a variety of significant effects of these features on the proposed system are revealed.

Design Evolution Study - Aging Options

International Nuclear Information System (INIS)

McDaniel, P.

2002-01-01

The purpose of this study is to identify options and issues for aging commercial spent nuclear fuel received for disposal at the Yucca Mountain Mined Geologic Repository. Some early shipments of commercial spent nuclear fuel to the repository may be received with high-heat-output (younger) fuel assemblies that will need to be managed to meet thermal goals for emplacement. The capability to age as much as 40,000 metric tons of heavy metal of commercial spent nuclear he1 would provide more flexibility in the design to manage this younger fuel and to decouple waste receipt and waste emplacement. The following potential aging location options are evaluated: (1) Surface aging at four locations near the North Portal; (2) Subsurface aging in the permanent emplacement drifts; and (3) Subsurface aging in a new subsurface area. The following aging container options are evaluated: (1) Complete Waste Package; (2) Stainless Steel inner liner of the waste package; (3) Dual Purpose Canisters; (4) Multi-Purpose Canisters; and (5) New disposable canister for uncanistered commercial spent nuclear fuel. Each option is compared to a ''Base Case,'' which is the expected normal waste packaging process without aging. A Value Engineering approach is used to score each option against nine technical criteria and rank the options. Open issues with each of the options and suggested future actions are also presented. Costs for aging containers and aging locations are evaluated separately. Capital costs are developed for direct costs and distributable field costs. To the extent practical, unit costs are presented. Indirect costs, operating costs, and total system life cycle costs will be evaluated outside of this study. Three recommendations for aging commercial spent nuclear fuel--subsurface, surface, and combined surface and subsurface are presented for further review in the overall design re-evaluation effort. Options that were evaluated but not recommended are: subsurface aging in a new

Evaluation of Cloud Computing Hidden Benefits by Using Real Options Analysis

Directory of Open Access Journals (Sweden)

Pavel Náplava

2016-12-01

Full Text Available Cloud computing technologies have brought new attributes to the IT world. One of them is a flexibility of IT resources. It enables effectively both to downsize and upsize the capacity of IT resources in real time. Requirements for IT size change defines business strategy and actual market state. IT costs are not stable but dynamic in this case. Standard investment valuation methods (both static and dynamic are not able to include the flexibility attribute to the evaluation of IT projects. This article describes the application of the Real Options Analysis method for the valuation of the cloud computing flexibility. The method compares costs of the on-premise and cloud computing solutions by combining put and call option valuation. Cloud computing providers can use the method as an advanced tool that explains hidden benefits of cloud computing. Unexperienced cloud computing customers can simulate the market behavior and better plan necessary IT investments.

Business models and financing options for a rapid scale-up of rooftop solar power systems in Thailand

International Nuclear Information System (INIS)

Tongsopit, Sopitsuda; Moungchareon, Sunee; Aksornkij, Apinya; Potisat, Tanai

2016-01-01

Diverse solar PV business models and financing options exist in the international landscape, helping expand and accelerate the adoption of rooftop solar PV systems. The conditions for their emergence are context specific, depending on the policies, regulations, incentives, and market conditions of each country. After a review of the international landscape, this paper compiles and analyzes business models and financing options for rooftop solar PV investment in Thailand that have emerged during the period between 2013 and 2015. Despite policy discontinuity for the support of rooftop solar systems, diverse business models and financing options are driving market expansion and expanding solar access to more Thai consumers. Drawing on our policy and regulatory analyses and in-depth interviews with business representatives, we identify four types of business models and one financing option. The business models include Roof Rental, Solar PPA, Solar Leasing, and Community Solar, and the financing option is the solar loan. We analyze the drivers for their emergence, barriers to their success, and the risks from the business owners' and consumers' viewpoints. Our policy recommendation is focused on crafting a net-metering regulation with evidence-based studies on the potential costs and benefits to different stakeholders. - Highlights: •Advances understanding on PV business models in urban developing countries' context. •Reviews emerging rooftop solar business models in Thailand. •Thailand has a dynamic solar market despite policy uncertainties.

Options theory

International Nuclear Information System (INIS)

Markland, J.T.

1992-01-01

Techniques used in conventional project appraisal are mathematically very simple in comparison to those used in reservoir modelling, and in the geosciences. Clearly it would be possible to value assets in mathematically more sophisticated ways if it were meaningful and worthwhile so to do. The DCf approach in common use has recognized limitations; the inability to select a meaningful discount rate being particularly significant. Financial Theory has advanced enormously over the last few years, along with computational techniques, and methods are beginning to appear which may change the way we do project evaluations in practice. The starting point for all of this was a paper by Black and Scholes, which asserts that almost all corporate liabilities can be viewed as options of varying degrees of complexity. Although the financial presentation may be unfamiliar to engineers and geoscientists, some of the concepts used will not be. This paper outlines, in plain English, the basis of option pricing theory for assessing the market value of a project. it also attempts to assess the future role of this type of approach in practical Petroleum Exploration and Engineering economics. Reference is made to relevant published Natural Resource literature

Option price and market instability

Science.gov (United States)

Baaquie, Belal E.; Yu, Miao

2017-04-01

An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters-unlike the Black-Scholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007-2008. We make a hypothesis that the failure of the option price to fit data is an indication of the market's large deviation from its near equilibrium behavior due to the market's instability. Furthermore, our indicator of market's instability is shown to be more accurate than the option's observed volatility. The market prices of the FX option for various currencies are studied in the light of our hypothesis.

Evaluation of storage/transportation options to support criteria development for the Phase I MRS [Monitored Retrievable Storage

International Nuclear Information System (INIS)

Sorenson, K.B.; Brown, N.N.; Bennett, P.C.; Lake, W.

1991-01-01

The Department of Energy's (DOE) Office of Civilian Waste Management (OCRWM) plans to develop an interim storage facility to enable acceptance of spent fuel in 1998. It is estimated that this interim storage facility would be needed for about two years. A Monitored Retrievable Storage (MRS) facility is anticipated in 2000 and a repository in 2010. Acceptance and transport of spent fuel by DOE/OCRWM in 1998 will require an operating transportation system. Because this interim storage facility is not yet defined, development of an optimally compatible transportation system is not a certainty. In order to assure a transport capability for 1998 acceptance of spent fuel, it was decided that the OCRWM transportation program had to identify likely options for an interim storage facility, including identification of the components needed for compatibility between likely interim storage facility options and transportation. Primary attention was given to existing hardware, although conceptual designs were also considered. A systems-based probabilistic decision model was suggested by Sandia National Laboratories and accepted by DOE/OCRWM's transportation program. Performance of the evaluation task involved several elements of the transportation program. This paper describes the decision model developed to accomplish this task, along with some of the results and conclusions. 1 ref., 4 figs

Options of system integrated environment modelling in the predicated dynamic cyberspace

International Nuclear Information System (INIS)

Janková, Martina; Dvořák, Jiří

2015-01-01

In this article there are briefly mentioned some selected options of contemporary conception of cybernetic system models in the corresponding and possible integratable environment with modern system dynamics thinking and all this in the cyberspace of possible projecting of predicted system characteristics. The key to new capabilities of system integration modelling in the considered cyberspace is mainly the ability to improve the environment and the system integration options, all this with the aim of modern control in the hierarchically arranged dynamic cyberspace, e.g. in the currently desired electronic business with information. The aim of this article is to assess generally the trends in the use of modern modelling methods considering the cybernetics applications verified in practice, modern concept of project management and also the potential integration of artificial intelligence in the new projecting and project management of integratable and intelligent models, e.g. with the optimal structures and adaptable behaviour.The article results from the solution of a specific research partial task at the faculty; especially the moments proving that the new economics will be based more and more on information, knowledge system defined cyberspace of modern management, are stressed in the text

Options of system integrated environment modelling in the predicated dynamic cyberspace

Energy Technology Data Exchange (ETDEWEB)

Janková, Martina; Dvořák, Jiří [Institute of Informatics, Faculty of Business and Management, Brno University of Technology, Brno (Czech Republic)

2015-03-10

In this article there are briefly mentioned some selected options of contemporary conception of cybernetic system models in the corresponding and possible integratable environment with modern system dynamics thinking and all this in the cyberspace of possible projecting of predicted system characteristics. The key to new capabilities of system integration modelling in the considered cyberspace is mainly the ability to improve the environment and the system integration options, all this with the aim of modern control in the hierarchically arranged dynamic cyberspace, e.g. in the currently desired electronic business with information. The aim of this article is to assess generally the trends in the use of modern modelling methods considering the cybernetics applications verified in practice, modern concept of project management and also the potential integration of artificial intelligence in the new projecting and project management of integratable and intelligent models, e.g. with the optimal structures and adaptable behaviour.The article results from the solution of a specific research partial task at the faculty; especially the moments proving that the new economics will be based more and more on information, knowledge system defined cyberspace of modern management, are stressed in the text.

Integrated model of Korean spent fuel and high level waste disposal options - 16091

International Nuclear Information System (INIS)

Hwang, Yongsoo; Miller, Ian

2009-01-01

This paper describes an integrated model developed by the Korean Atomic Energy Research Institute (KAERI) to simulate options for disposal of spent nuclear fuel (SNF) and reprocessing products in South Korea. A companion paper (Hwang and Miller, 2009) describes a systems-level model of Korean options for spent nuclear fuel (SNF) management in the 21. century. The model addresses alternative design concepts for disposal of SNF of different types (Candu, PWR), high level waste, and fission products arising from a variety of alternative fuel cycle back ends. It uses the GoldSim software to simulate the engineered system, near-field and far-field geosphere, and biosphere, resulting in long-term dose predictions for a variety of receptor groups. The model's results allow direct comparison of alternative repository design concepts, and identification of key parameter uncertainties and contributors to receptor doses. (authors)

Options Study - Phase II

Energy Technology Data Exchange (ETDEWEB)

R. Wigeland; T. Taiwo; M. Todosow; W. Halsey; J. Gehin

2010-09-01

The Options Study has been conducted for the purpose of evaluating the potential of alternative integrated nuclear fuel cycle options to favorably address the issues associated with a continuing or expanding use of nuclear power in the United States. The study produced information that can be used to inform decisions identifying potential directions for research and development on such fuel cycle options. An integrated nuclear fuel cycle option is defined in this study as including all aspects of the entire nuclear fuel cycle, from obtaining natural resources for fuel to the ultimate disposal of used nuclear fuel (UNF) or radioactive wastes. Issues such as nuclear waste management, especially the increasing inventory of used nuclear fuel, the current uncertainty about used fuel disposal, and the risk of nuclear weapons proliferation have contributed to the reluctance to expand the use of nuclear power, even though it is recognized that nuclear power is a safe and reliable method of producing electricity. In this Options Study, current, evolutionary, and revolutionary nuclear energy options were all considered, including the use of uranium and thorium, and both once-through and recycle approaches. Available information has been collected and reviewed in order to evaluate the ability of an option to clearly address the challenges associated with the current implementation and potential expansion of commercial nuclear power in the United States. This Options Study is a comprehensive consideration and review of fuel cycle and technology options, including those for disposal, and is not constrained by any limitations that may be imposed by economics, technical maturity, past policy, or speculated future conditions. This Phase II report is intended to be used in conjunction with the Phase I report, and much information in that report is not repeated here, although some information has been updated to reflect recent developments. The focus in this Options Study was to

Exotic Options: a Chooser Option and its Pricing

Directory of Open Access Journals (Sweden)

Raimonda Martinkutė-Kaulienė

2012-12-01

Full Text Available Financial instruments traded in the markets and investors’ situation in such markets are getting more and more complex. This leads to more complex derivative structures used for hedging that are harder to analyze and which risk is harder managed. Because of the complexity of these instruments, the basic characteristics of many exotic options may sometimes be not clearly understood. Most scientific studies have been focused on developing models for pricing various types of exotic options, but it is important to study their unique characteristics and to understand them correctly in order to use them in proper market situations. The paper examines main aspects of options, emphasizing the variety of exotic options and their place in financial markets and risk management process. As the exact valuation of exotic options is quite difficult, the article deals with the theoretical and practical aspects of pricing of chooser options that suggest a broad range of usage and application in different market conditions. The calculations made in the article showed that the price of the chooser is closely correlated with the choice time and low correlated with its strike price. So the first mentioned factor should be taken into consideration when making appropriate hedging and investing decisions.

ECONOMIC EVALUATION OF CO2 STORAGE AND SINK ENHANCEMENT OPTIONS

Energy Technology Data Exchange (ETDEWEB)

Bert Bock; Richard Rhudy; Howard Herzog; Michael Klett; John Davison; Danial G. De La Torre Ugarte; Dale Simbeck

2003-02-01

This project developed life-cycle costs for the major technologies and practices under development for CO{sub 2} storage and sink enhancement. The technologies evaluated included options for storing captured CO{sub 2} in active oil reservoirs, depleted oil and gas reservoirs, deep aquifers, coal beds, and oceans, as well as the enhancement of carbon sequestration in forests and croplands. The capture costs for a nominal 500 MW{sub e} integrated gasification combined cycle plant from an earlier study were combined with the storage costs from this study to allow comparison among capture and storage approaches as well as sink enhancements.

Evaluation of cleaner production options in dyeing and printing industry: Using combination weighting method

Science.gov (United States)

Kang, Hong; Zhang, Yun; Hou, Haochen; Sun, Xiaoyang; Qin, Chenglu

2018-03-01

The textile industry has a high environmental impact so that implementing cleaner production audit is an effective way to achieve energy conservation and emissions reduction. But the evaluation method in current cleaner production audit divided the evaluation of CPOs into two parts: environment and economy. The evaluation index system was constructed from three criteria of environment benefits, economy benefits and product performance; weights of five indicators were determined by combination weights of entropy method and factor weight sorting method. Then efficiencies were evaluated comprehensively. The results showed that the best alkali recovery option was the nanofiltration membrane method (S=0.80).

What do you do when the binomial cannot value real options? The LSM model

Directory of Open Access Journals (Sweden)

S. Alonso

2014-12-01

Full Text Available The Least-Squares Monte Carlo model (LSM model has emerged as the derivative valuation technique with the greatest impact in current practice. As with other options valuation models, the LSM algorithm was initially posited in the field of financial derivatives and its extension to the realm of real options requires considering certain questions which might hinder understanding of the algorithm and which the present paper seeks to address. The implementation of the LSM model combines Monte Carlo simulation, dynamic programming and statistical regression in a flexible procedure suitable for application to valuing nearly all types of corporate investments. The goal of this paper is to show how the LSM algorithm is applied in the context of a corporate investment, thus contributing to the understanding of the principles of its operation.

Early Option Exercise

DEFF Research Database (Denmark)

Heje Pedersen, Lasse; Jensen, Mads Vestergaard

A classic result by Merton (1973) is that, except just before expiration or dividend payments, one should never exercise a call option and never convert a convertible bond. We show theoretically that this result is overturned when investors face frictions. Early option exercise can be optimal when...... it reduces short-sale costs, transaction costs, or funding costs. We provide consistent empirical evidence, documenting billions of dollars of early exercise for options and convertible bonds using unique data on actual exercise decisions and frictions. Our model can explain as much as 98% of early exercises...

Early Option Exercise

DEFF Research Database (Denmark)

Jensen, Mads Vestergaard; Heje Pedersen, Lasse

2016-01-01

A classic result by Merton (1973) is that, except just before expiration or dividend payments, one should never exercise a call option and never convert a convertible bond. We show theoretically that this result is overturned when investors face frictions. Early option exercise can be optimal when...... it reduces short-sale costs, transaction costs, or funding costs. We provide consistent empirical evidence, documenting billions of dollars of early exercise for options and convertible bonds using unique data on actual exercise decisions and frictions. Our model can explain as much as 98% of early exercises...

Comparative cost-effectiveness of Option B+ for prevention of mother to child transmission of HIV in Malawi: Mathematical modelling study

Science.gov (United States)

Tweya, Hannock; Keiser, Olivia; Haas, Andreas D.; Tenthani, Lyson; Phiri, Sam; Egger, Matthias; Estill, Janne

2016-01-01

Objective To estimate the cost-effectiveness of prevention of mother to child transmission (MTCT) of HIV with lifelong antiretroviral therapy (ART) for pregnant and breastfeeding women (‘Option B+’) compared to ART during pregnancy or breastfeeding only unless clinically indicated (‘Option B’). Design Mathematical modelling study of first and second pregnancy, informed by data from the Malawi Option B+ programme. Methods Individual-based simulation model. We simulated cohorts of 10,000 women and their infants during two subsequent pregnancies, including the breastfeeding period, with either Option B+ or B. We parameterised the model with data from the literature and by analysing programmatic data. We compared total costs of ante-natal and post-natal care, and lifetime costs and disability-adjusted life-years (DALYs) of the infected infants between Option B+ and Option B. Results During the first pregnancy, 15% of the infants born to HIV-infected mothers acquired the infection. With Option B+, 39% of the women were on ART at the beginning of the second pregnancy, compared to 18% with Option B. For second pregnancies, the rates MTCT were 11.3% with Option B+ and 12.3% with Option B. The incremental cost-effectiveness ratio comparing the two options ranged between about US$ 500 and US$ 1300 per DALY averted. Conclusion Option B+ prevents more vertical transmissions of HIV than Option B, mainly because more women are already on ART at the beginning of the next pregnancy. Option B+ is a cost-effective strategy for PMTCT if the total future costs and lost lifetime of the infected infants are taken into account. PMID:26691682

A real option-based model for promoting sustainable energy projects under the clean development mechanism

International Nuclear Information System (INIS)

Lee, Hyounkyu; Park, Taeil; Kim, Byungil; Kim, Kyeongseok; Kim, Hyoungkwan

2013-01-01

The clean development mechanism (CDM) provides a way of assisting sustainable development in developing countries for developed countries to reduce greenhouse gas (GHG) emissions. Despite its intended benefits, the primary CDM market decreased from US$5.8 billion in 2006 to US$1.5 billion in 2010. One of the primary reasons for the reduction of market size is that developed countries as investors have a high level of risks caused by the volatility of the market price for certified emission reductions (CERs). Another issue to be resolved is that developing countries as host countries cannot claim any right to the CERs produced on their own land. This paper presents a real option-based model for both parties (developed and developing countries) to have their fair share of profits and risks by controlling the uncertainty associated with the future value of CERs. A case study illustrated that the proposed model can effectively attract investors to CDM projects leading to mitigation of climate change. - Highlights: ► This study focused on the risks associated with the uncertainty of future CER value in CDM projects. ► A real option-based model was developed for both parties in CDM to have fair share of profit and risk. ► Key variables and boundary conditions were identified for application of real option to CDM. ► The model allowed both parties to own options, which have an identical value. ► Hydropower plant projects in Indonesia were used to illustrate the implementation of the model

Biomass Power Generation Investment in China: A Real Options Evaluation

Directory of Open Access Journals (Sweden)

Mingming Zhang

2016-06-01

Full Text Available This paper proposes a real options model for evaluating the biomass power generation investment in China. The uncertainties in the market price of electricity, CO2 price and straw price are considered. Meanwhile the dynamic relationship between installed capacity and fuel cost, as well as the long-term reduction of subsidy are described. Two scenarios, i.e., with the carbon emission trading scheme existent and non-existent, respectively, is built to empirically analyze the investment of a 25-MW straw-based power generation project. The results show that investors should undertake the investment in 2030 under two scenarios. Investment values are 14,869,254.8 and 37,608,727 Chinese Yuan (RMB, respectively. The implementation of the carbon emission trading scheme theoretically helps improve investment value and advance the most likely optimal investment time. However, the current CO2 price is not sufficient to advance the most likely optimal investment time. The impacts of several factors, including subsidy policy, CO2 price, straw price, installed capacity, correlation structure and the validity period of investment, on the optimal investment strategy are also examined. It is suggested that governments take some measures, including increasing subsidy, setting the growth pattern of subsidy and establishing and perfecting a nationwide carbon trading market, to improve the investment environment and attract more investments.

The origins of options.

Science.gov (United States)

Smaldino, Paul E; Richerson, Peter J

2012-01-01

Most research on decision making has focused on how human or animal decision makers choose between two or more options, posed in advance by the researchers. The mechanisms by which options are generated for most decisions, however, are not well understood. Models of sequential search have examined the trade-off between continued exploration and choosing one's current best option, but still cannot explain the processes by which new options are generated. We argue that understanding the origins of options is a crucial but untapped area for decision making research. We explore a number of factors which influence the generation of options, which fall broadly into two categories: psycho-biological and socio-cultural. The former category includes factors such as perceptual biases and associative memory networks. The latter category relies on the incredible human capacity for culture and social learning, which doubtless shape not only our choices but the options available for choice. Our intention is to start a discussion that brings us closer toward understanding the origins of options.

The modified Black-Scholes model via constant elasticity of variance for stock options valuation

Science.gov (United States)

Edeki, S. O.; Owoloko, E. A.; Ugbebor, O. O.

2016-02-01

In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock price is shown to be a non-constant function unlike the assumption of the classical Black-Scholes model.

A multicriteria approach to evaluate district heating system options

Energy Technology Data Exchange (ETDEWEB)

Ghafghazi, S.; Sowlati, T. [Department of Wood Science, University of British Columbia, 2931-2424 Main Mall, Vancouver, BC (Canada); Sokhansanj, S. [Department of Chemical and Biological Engineering, University of British Columbia, 2360 East Mall, Vancouver, BC (Canada); Environmental Sciences Division, Oak Ridge National Laboratory, Oak Ridge, TN 37831 (United States); Melin, S. [Department of Chemical and Biological Engineering, University of British Columbia, 2360 East Mall, Vancouver, BC (Canada); Delta Research Corporation, Delta, BC (Canada)

2010-04-15

District energy systems, in which renewable energy sources may be utilized, are centralized systems to provide energy to residential and commercial buildings. The aim of this paper is to evaluate and rank energy sources available for a case of district heating system in Vancouver, Canada, based on multiple criteria and the view points of different stakeholders, and to show how communication would affect the ranking of alternatives. The available energy sources are natural gas, biomass (wood pellets), sewer heat, and geothermal heat. The evaluation criteria include GHG emissions, particulate matter emissions, maturity of technology, traffic load, and local source. In order to rank the energy options the PROMETHEE method is used. In this paper, two different scenarios were developed to indicate how the communication between the stakeholders would affect their preferences about criteria weights and would change the ranking of alternatives. The result of this study shows that without communication the best energy source for the considered district energy system is different for different stakeholders. While, addressing concerns through efficient communication would result in a general consensus. In this case, wood pellet is the best energy alternative for all the stakeholders. (author)

Evaluation of supplier obligation policy options: Report for DTI and DEFRA

Energy Technology Data Exchange (ETDEWEB)

Radov, Daniel; Klevnas, Per; Nagler, David

2007-05-23

This report examines various policy design options for a future 'Supplier Obligation' to promote energy efficiency in the domestic sector. It examines possible reasons that low-cost energy efficiency measures have not been taken up to the extent predicted by simple models of household financial decision-making. Having characterised these 'barriers' to energy efficiency we review a range of policy designs that could be considered to reduce household CO{sub 2} emissions. We then evaluate these options against a range of criteria and suggest areas for further research. There is a substantial literature on the barriers to energy efficiency both within households and more generally across the economy. Based on this literature, w e have identified seven categories of 'barriers'. Briefly, these include: Basic financial barriers: These include the potentially higher (upfront) costs of energy efficient products and the interest rates available to households; Hidden costs: These include 'transaction costs' associated with finding reputable providers, time costs of disruption, and the costs of differences in quality of product or service - all of which may reduce the net benefit derived from efficiency measures. Lack of information: If households do not know their level of energy expenditure, how energy use can be reduced, by how much, or at what cost, they are unlikely to consider investing in energy efficiency. Risks and uncertainty: Uncertainty about future energy prices or period of tenure may deter households from investing, since they cannot be assured of future savings. In addition, households may be wary of the risk associated with new (or unfamiliar) products or services. Poorly aligned incentives: The most commonly cited barrier of this kind is the 'landlord-tenant split, whereby landlords under-invest in energy-efficiency because tenants pay energy bills, or tenants do not economise on energy because the landlord pays

Community Options Model): Using Artificial Intelligence for Transportation Planning and Community Decision Making

Science.gov (United States)

1997-01-01

This paper describes the Community Options Model for Transportation-Related Issues (COMTRI) designed to estimate the social and economic impacts of highway realignments on rural Michigan communities for the Michigan Department of Transportation (MDOT...

Metering, settlement and export reward options for micro-generation

Energy Technology Data Exchange (ETDEWEB)

NONE

2005-07-01

This report presents the results of a study carried out as part of the Department of Trade and Industry's New and Renewable Energy Programme to evaluate the costs and benefits of various metering, settlement and export reward opportunities for both renewable and non-renewable forms of microgeneration based on existing projections to 2020. The technologies studied included single and three-phase applications of: solar photovoltaic (rated at 1 kW per installation); small-scale wind generation (rated at 1 kW per installation); micro-CHP (combined heat and power) (rated at 1.1 kW per installation); and micro-hydropower (rated at 3.7 and 6.4 kW per installation). The report outlines a number of different options for metering, settlement and export rewards, and describes the development of an economic model to quantify their costs and benefits. This model is then used to predict the future costs and benefits of the various options. The potential value of the options to the UK economy and any environmental benefits are discussed and a commentary on possible barriers to implementation is provided.

The Factor Structure in Equity Options

DEFF Research Database (Denmark)

Christoffersen, Peter; Fournier, Mathieu; Jacobs, Kris

Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew, and 60% of the implied volatility term structure across...... equities. Furthermore, the first principal component has a 92% correlation with S&P500 index option volatility, a 64% correlation with the index option skew, and a 80% correlation with the index option term structure. We develop an equity option valuation model that captures this factor structure...

Standard Guide for Evaluating Disposal Options for Concrete from Nuclear Facility Decommissioning

CERN Document Server

American Society for Testing and Materials. Philadelphia

2002-01-01

1.1 This standard guide defines the process for developing a strategy for dispositioning concrete from nuclear facility decommissioning. It outlines a 10-step method to evaluate disposal options for radioactively contaminated concrete. One of the steps is to complete a detailed analysis of the cost and dose to nonradiation workers (the public); the methodology and supporting data to perform this analysis are detailed in the appendices. The resulting data can be used to balance dose and cost and select the best disposal option. These data, which establish a technical basis to apply to release the concrete, can be used in several ways: (1) to show that the release meets existing release criteria, (2) to establish a basis to request release of the concrete on a case-by-case basis, (3) to develop a basis for establishing release criteria where none exists. 1.2 This standard guide is based on the “Protocol for Development of Authorized Release Limits for Concrete at U.S. Department of Energy Sites,” (1) from ...

Evaluation of design options for improving the energy efficiency of an environmentally safe domestic refrigerator-freezer

Energy Technology Data Exchange (ETDEWEB)

Vineyard, E.A.; Sand, J.R. [Oak Ridge National Lab., TN (United States); Bohman, R.H.

1995-03-01

In order to reduce greenhouse emissions from power plants and respond to regulatory actions arising from the National Appliance Energy Conservation Act (NAECA), several design options were investigated for improving the energy efficiency of a conventionally designed, domestic refrigerator-freezer. The options, such as improved cabinet insulation and high-efficiency compressor and fans, were incorporated into a prototype refrigerator-freezer cabinet and refrigeration system to produce a unit that is superior from an environmental viewpoint due to its lower energy consumption and the use of refrigerant HFC-134a as a replacement for CFC-12. Baseline energy performance of the original 1993 production refrigerator-freezer, along with cabinet heat load and compressor calorimeter test results, were extensively documented to provide a firm basis for experimentally measured energy savings. A detailed refrigerator system computer model was used to evaluate the energy savings for several design modifications that, collectively, could achieve a targeted energy consumption of 1.00 kWh/d for a 20 ft{sup 3} (570 l) top-mount, automatic-defrost, refrigerator-freezer. The energy consumption goal represents a 50% reduction in the 1993 NAECA standard for units of this size. Following the modeling simulation, laboratory prototypes were fabricated and tested to experimentally verify the analytical results and aid in improving the model in those areas where discrepancies occurred. While the 1.00 kWh/d goal was not achieved with the modifications, a substantial energy efficiency improvement of 22% (1.41 kWh/d) was demonstrated using near-term technologies. It is noted that each improvement exacts a penalty in terms of increased cost or system complexity/reliability. Further work on this project will analyze cost-effectiveness of the design changes and investigate alternative, more-elaborate, refrigeration system changes to further reduce energy consumption.

Next Generation Melter Optioneering Study - Interim Report

International Nuclear Information System (INIS)

Gray, M.F.; Calmus, R.B.; Ramsey, G.; Lomax, J.; Allen, H.

2010-01-01

The next generation melter (NOM) development program includes a down selection process to aid in determining the recommended vitrification technology to implement into the WTP at the first melter change-out which is scheduled for 2025. This optioneering study presents a structured value engineering process to establish and assess evaluation criteria that will be incorporated into the down selection process. This process establishes an evaluation framework that will be used progressively throughout the NGM program, and as such this interim report will be updated on a regular basis. The workshop objectives were achieved. In particular: (1) Consensus was reached with stakeholders and technology providers represented at the workshop regarding the need for a decision making process and the application of the D 2 0 process to NGM option evaluation. (2) A framework was established for applying the decision making process to technology development and evaluation between 2010 and 2013. (3) The criteria for the initial evaluation in 2011 were refined and agreed with stakeholders and technology providers. (4) The technology providers have the guidance required to produce data/information to support the next phase of the evaluation process. In some cases it may be necessary to reflect the data/information requirements and overall approach to the evaluation of technology options against specific criteria within updated Statements of Work for 2010-2011. Access to the WTP engineering data has been identified as being very important for option development and evaluation due to the interface issues for the NGM and surrounding plant. WRPS efforts are ongoing to establish precisely data that is required and how to resolve this Issue. It is intended to apply a similarly structured decision making process to the development and evaluation of LAW NGM options.

77 FR 19278 - Informational Meeting on Nuclear Fuel Cycle Options

Science.gov (United States)

2012-03-30

... DEPARTMENT OF ENERGY Informational Meeting on Nuclear Fuel Cycle Options AGENCY: Office of Fuel... activities leading to a comprehensive evaluation and screening of nuclear fuel cycle options in 2013. At this... fuel cycle options developed for the evaluation and screening provides a comprehensive representation...

Evaluating landscape options for corridor restoration between giant panda reserves.

Directory of Open Access Journals (Sweden)

Fang Wang

Full Text Available The establishment of corridors can offset the negative effects of habitat fragmentation by connecting isolated habitat patches. However, the practical value of corridor planning is minimal if corridor identification is not based on reliable quantitative information about species-environment relationships. An example of this need for quantitative information is planning for giant panda conservation. Although the species has been the focus of intense conservation efforts for decades, most corridor projects remain hypothetical due to the lack of reliable quantitative researches at an appropriate spatial scale. In this paper, we evaluated a framework for giant panda forest corridor planning. We linked our field survey data with satellite imagery, and conducted species occupancy modelling to examine the habitat use of giant panda within the potential corridor area. We then conducted least-cost and circuit models to identify potential paths of dispersal across the landscape, and compared the predicted cost under current conditions and alternative conservation management options considered during corridor planning. We found that due to giant panda's association with areas of low elevation and flat terrain, human infrastructures in the same area have resulted in corridor fragmentation. We then identified areas with high potential to function as movement corridors, and our analysis of alternative conservation scenarios showed that both forest/bamboo restoration and automobile tunnel construction would significantly improve the effectiveness of corridor, while residence relocation would not significantly improve corridor effectiveness in comparison with the current condition. The framework has general value in any conservation activities that anticipate improving habitat connectivity in human modified landscapes. Specifically, our study suggested that, in this landscape, automobile tunnels are the best means to remove current barriers to giant panda

Evaluation of Landfill Cover Design Options for Waste Disposal Sites in the Coastal Regions of Ghana

Directory of Open Access Journals (Sweden)

Kodwo Beedu Keelson

2015-01-01

Full Text Available Uncontrolled leachate generation from operational and closed waste disposal sites is a major environmental concern in the coastal regions of Ghana which have abundant surface water and groundwater resources. The Ghana Landfill Guidelines requires the provision of a final cover or capping system as part of a final closure plan for waste disposal sites in the country as a means of minimizing the harmful environmental effects of these emissions. However, this technical manual does not provide explicit guidance on the material types or configuration for landfill covers that would be suitable for the different climatic conditions in the country. Four landfill cover options which are based on the USEPA RCRA-type and evapotranspirative landfill cover design specifications were evaluated with the aid of the HELP computer program to determine their suitability for waste disposal sites located in the Western, Central and Greater Accra regions. The RCRA Subtitle C cover which yielded flux rates of less than 0.001 mm/yr was found to be suitable for the specific climatic conditions. The RCRA Subtitle D cover was determined to be unsuitable due to the production of very large flux rates in excess of 200 mm/yr. The results for the anisotropic barrier and capillary barrier covers were inconclusive. Recommendations for further study include a longer simulation period as well the study of the combined effects of different topsoil vegetative conditions and evaporative zone depths on the landfill water balance. The use of other water balance models such as EPIC, HYDRUS-2D and UNSAT-H for the evaluation of the evapotranspirative landfill cover design options should also be considered.

A tree-based method to price American options in the Heston model

NARCIS (Netherlands)

Vellekoop, M.; Nieuwenhuis, H.

2009-01-01

We develop an algorithm to price American options on assets that follow the stochastic volatility model defined by Heston. We use an approach which is based on a modification of a combined tree for stock prices and volatilities, where the number of nodes grows quadratically in the number of time

Use of real options in nuclear power plant valuation in the presence of uncertainty with CO2 emission credit

International Nuclear Information System (INIS)

Kiriyama, Eriko; Suzuki, Atsuyuki

2004-01-01

The purpose of this study is to analyze the value of an investment in power generation assets that do not emit CO 2 , by using a real option model. This study evaluates the effects of future uncertainty on investment decision-making, by focusing on the uncertainty of CO 2 emission credits [yen/t-CO 2 ] in the fairly near future in Japan. Electric utilities are required to keep plans to prepare for various future uncertainties such as the price of CO 2 emission credits. The real option approach can evaluate the option value of decision-making under uncertainty. This study examined the option value of a power plant [yen/KW] to evaluate the effects of an externality under uncertainty. The results showed that nuclear power would have the most value under the forthcoming CO 2 emission limitations. In order to secure the effectiveness of measures against global warming, we should reconsider the roles of nuclear power plants in Japan. Finally, the real option model is shown to be an effective candidate for a decision-making support tool to deal with problems in energy environmental policy. (author)

The Amnesiac Lookback Option: Selectively Monitored Lookback Options and Cryptocurrencies

Directory of Open Access Journals (Sweden)

Ho-Chun Herbert Chang

2018-05-01

Full Text Available This study proposes a strategy to make the lookback option cheaper and more practical, and suggests the use of its properties to reduce risk exposure in cryptocurrency markets through blockchain enforced smart contracts and correct for informational inefficiencies surrounding prices and volatility. This paper generalizes partial, discretely-monitored lookback options that dilute premiums by selecting a subset of specified periods to determine payoff, which we call amnesiac lookback options. Prior literature on discretely-monitored lookback options considers the number of periods and assumes equidistant lookback periods in pricing partial lookback options. This study by contrast considers random sampling of lookback periods and compares resulting payoff of the call, put and spread options under floating and fixed strikes. Amnesiac lookbacks are priced with Monte Carlo simulations of Gaussian random walks under equidistant and random periods. Results are compared to analytic and binomial pricing models for the same derivatives. Simulations show diminishing marginal increases to the fair price as the number of selected periods is increased. The returns correspond to a Hill curve whose parameters are set by interest rate and volatility. We demonstrate over-pricing under equidistant monitoring assumptions with error increasing as the lookback periods decrease. An example of a direct implication for event trading is when shock is forecasted but its timing uncertain, equidistant sampling produces a lower error on the true maximum than random choice. We conclude that the instrument provides an ideal space for investors to balance their risk, and as a prime candidate to hedge extreme volatility. We discuss the application of the amnesiac lookback option and path-dependent options to cryptocurrencies and blockchain commodities in the context of smart contracts.

D0 HVAC System Controls Evaluation of Upgrade Options

International Nuclear Information System (INIS)

Markley, D.; Simon, P.

1998-01-01

This engineering note documents three different options for upgrading the Dzero HVAC control system. All three options leave the current field hardware and field devices intact and upgrade the computer control hardware and software. Dzero will be heading into a physics run starting in 2000. This physics run could last several years. The Dzero HVAC system is an integral part of climate control and electronics cooling. The current HVAC control system is based upon a 1985 Johnson Controls System. In order to enter the next long-term physics run with a solid HVAC control system, the current control system needs to be upgraded. This proposal investigates three options: (1) Replacement to the next generation of Johnson Controls Hardware and Software with the Johnson Controls operator interface - FESS; (2) Replacement to the next generation of Johnson Controls Hardware and Software with the FIX32 Operator Interface - FESS/Dzero; and (3) Replacement with a commercially available Programmable Logic Controller (PLC) WITH THE FIX 32 Operator Interface - Dzero.

An integrated TSP-GA with EOL cost model for selecting the best EOL option

Directory of Open Access Journals (Sweden)

Zakri Ghazalli

2011-10-01

Full Text Available This paper presents our research works on integrating design for disassembly with cost model for end-of-life (EOL product. This paper has two objectives. The first objective is to optimize disassembly sequence of the EOL product. We integrate a traveling salesman problem approach with genetic algorithm in finding the optimal disassembly sequence for disassembling the EOL product. Based on this optimal sequence, the second objective is to identify the best EOL option. We employ EOL profits and net present value of parts and subassemblies of the EOL product to determine the best EOL option of components and parts of the EOL product. The predicted results showed that the developed cost model has reached a good correspondence with the established methods.

The implied volatility of index options: the evidence of options on the Australian SPI 200 index futures

OpenAIRE

Tanha, Hassan

2017-01-01

This thesis is a study of the implied volatility component of the Black and Scholes option-pricing model. A recurring finding in the thesis is that in-the-money and out-of ¬the-money options should not be regarded as being on a continuum, but rather as being inherently "different." Additionally, differences across these options are accounted for in relation to behavioural and consumption based models, which, in turn, provide an explanation for the volatility smile. These findings provide a re...

Policy options and their potential effects on Moroccan small farmers and the poor facing increased world food prices: A general equilibrium model analysis

OpenAIRE

Diao, Xinshen; Doukkali, Rachid; Yu, Bingxin

2008-01-01

"This study evaluates the potential impact of the recent rise in world food prices on the Moroccan economy and possible policy options to respond to it. The study focuses mainly on the poverty effects of such an external shock and the possible policy responses to it. A new social accounting matrix (SAM) and a computable general equilibrium (CGE) model have been developed for this study based on micro-level data in combination with sectoral and economywide data. The CGE model simulations show ...

The Factor Structure in Equity Options

DEFF Research Database (Denmark)

Christoffersen, Peter; Fournier, Mathieu; Jacobs, Kris

2018-01-01

Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the crosssectional variation. Furthermore, these principal components are highly correlated with the S&P 500 index option...... volatility, skew, and term structure, respectively. We develop an equity option valuation model that captures this factor structure. The model predicts that firms with higher market betas have higher implied volatilities, steeper moneyness slopes, and a term structure that covaries more with the market...

The Application of the Real Options Method for the Evaluation of High-Rise Construction Projects

Science.gov (United States)

Izotov, Aleksandr; Rostova, Olga; Dubgorn, Alissa

2018-03-01

The paper is devoted to the problem of evaluation of high-rise construction projects in a rapidly changing environment. The authors proposed an algorithm for constructing and embedding real options in high-rise construction projects, which makes it possible to increase the flexibility of managing multi-stage projects that have the ability to adapt to changing conditions of implementation.

Option Valuation with Observable Volatility and Jump Dynamics

DEFF Research Database (Denmark)

Christoffersen, Peter; Feunou, Bruno; Jeon, Yoontae

Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...... for straightforward filtering and estimation of the model. Our model belongs to the affine class enabling us to derive the conditional characteristic function so that option values can be computed rapidly without simulation. When estimated on S&P500 index options and returns the new model performs well compared...

The Factor Structure in Equity Options

DEFF Research Database (Denmark)

Christoffersen, Peter; Fournier, Mathieu; Jacobs, Kris

Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the cross-sectional variation. Furthermore, these principal components are highly correlated with the S&P500 index option...... volatility, skew, and term structure respectively. We develop an equity option valuation model that captures this factor structure. The model predicts that firms with higher market betas have higher implied volatilities, steeper moneyness slopes, and a term structure that co-varies more with the market...

Option Panels in Pure-Jump Settings

DEFF Research Database (Denmark)

Andersen, Torben Gustav; Fusari, Nicola; Todorov, Viktor

We develop parametric inference procedures for large panels of noisy option data in the setting where the underlying process is of pure-jump type, i.e., evolve only through a sequence of jumps. The panel consists of options written on the underlying asset with a (different) set of strikes...... specification for the risk-neutral asset return dynamics, the option prices are nonlinear functions of a time-invariant parameter vector and a time-varying latent state vector (or factors). Furthermore, no-arbitrage restrictions impose a direct link between some of the quantities that may be identified from...... the return and option data. These include the so-called jump activity index as well as the time-varying jump intensity. We propose penalized least squares estimation in which we minimize L_2 distance between observed and model-implied options and further penalize for the deviation of model-implied quantities...

78 FR 26794 - Prospective Grant of Start-Up Exclusive Evaluation Option License Agreement: Gene Therapy and...

Science.gov (United States)

2013-05-08

... embryonic stem cells or mesenchymal stem cells, which are suitable for cell-based therapy. In contrast to...-Up Exclusive Evaluation Option License Agreement: Gene Therapy and Cell-Based Therapy for Cardiac... the field of use may be limited to ``Gene therapy and cell-based therapy for cardiac arrhythmias in...

The community Noah land surface model with multiparameterization options (Noah-MP): 2. Evaluation over global river basins

KAUST Repository

Yang, Zong-Liang; Niu, Guo-Yue; Mitchell, Kenneth E.; Chen, Fei; Ek, Michael B.; Barlage, Michael; Longuevergne, Laurent; Manning, Kevin; Niyogi, Dev; Tewari, Mukul; Xia, Youlong

2011-01-01

The augmented Noah land surface model described in the first part of the two-part series was evaluated here over global river basins. Across various climate zones, global-scale tests can reveal a model's weaknesses and strengths that a local

GARCH Option Valuation: Theory and Evidence

DEFF Research Database (Denmark)

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat

We survey the theory and empirical evidence on GARCH option valuation models. Our treatment includes the range of functional forms available for the volatility dynamic, multifactor models, nonnormal shock distributions as well as style of pricing kernels typically used. Various strategies...... for empirical implementation are laid out and we also discuss the links between GARCH and stochastic volatility models. In the appendix we provide Matlab computer code for option pricing via Monte Carlo simulation for nonaffine models as well as Fourier inversion for affine models....

Mixed waste management options

International Nuclear Information System (INIS)

Owens, C.B.; Kirner, N.P.

1992-01-01

Currently, limited storage and treatment capacity exists for commercial mixed waste streams. No commercial mixed waste disposal is available, and it has been estimated that if and when commercial mixed waste disposal becomes available, the costs will be high. If high disposal fees are imposed, generators may be willing to apply extraordinary treatment or regulatory approaches to properly dispose of their mixed waste. This paper explores the feasibility of several waste management scenarios and management options. Existing data on commercially generated mixed waste streams are used to identify the realm of mixed waste known to be generated. Each waste stream is evaluated from both a regulatory and technical perspective in order to convert the waste into a strictly low-level radioactive or a hazardous waste. Alternative regulatory approaches evaluated in this paper include a delisting petition) no migration petition) and a treatability variance. For each waste stream, potentially available treatment options are identified that could lead to these variances. Waste minimization methodology and storage for decay are also considered. Economic feasibility of each option is discussed broadly. Another option for mixed waste management that is being explored is the feasibility of Department of Energy (DOE) accepting commercial mixed waste for treatment, storage, and disposal. A study has been completed that analyzes DOE treatment capacity in comparison with commercial mixed waste streams. (author)

On the Black-Scholes European Option Pricing Model Robustness and Generality

Science.gov (United States)

Takada, Hellinton Hatsuo; de Oliveira Siqueira, José

2008-11-01

The common presentation of the widely known and accepted Black-Scholes European option pricing model explicitly imposes some restrictions such as the geometric Brownian motion assumption for the underlying stock price. In this paper, these usual restrictions are relaxed using maximum entropy principle of information theory, Pearson's distribution system, market frictionless and risk-neutrality theories to the calculation of a unique risk-neutral probability measure calibrated with market parameters.

Technetium removal: preliminary flowsheet options

International Nuclear Information System (INIS)

Eager, K.M.

1995-01-01

This document presents the results of a preliminary investigation into options for preliminary flowsheets for 99Tc removal from Hanford Site tank waste. A model is created to show the path of 99Tc through pretreatment to disposal. The Tank Waste Remediation (TWRS) flowsheet (Orme 1995) is used as a baseline. Ranges of important inputs to the model are developed, such as 99Tc inventory in the tanks and important splits through the TWRS flowsheet. Several technetium removal options are discussed along with sensitivities of the removal schemes to important model parameters

Weapons-grade plutonium dispositioning. Volume 2: Comparison of plutonium disposition options

International Nuclear Information System (INIS)

Brownson, D.A.; Hanson, D.J.; Blackman, H.S.

1993-06-01

The Secretary of Energy requested the National Academy of Sciences (NAS) Committee on International Security and Arms Control to evaluate disposition options for weapons-grade plutonium. The Idaho National Engineering Laboratory (INEL) offered to assist the NAS in this evaluation by investigating the technical aspects of the disposition options and their capability for achieving plutonium annihilation levels greater than 90%. This report was prepared for the NAS to document the gathered information and results from the requested option evaluations. Evaluations were performed for 12 plutonium disposition options involving five reactor and one accelerator-based systems. Each option was evaluated in four technical areas: (1) fuel status, (2) reactor or accelerator-based system status, (3) waste-processing status, and (4) waste disposal status. Based on these evaluations, each concept was rated on its operational capability and time to deployment. A third rating category of option costs could not be performed because of the unavailability of adequate information from the concept sponsors. The four options achieving the highest rating, in alphabetical order, are the Advanced Light Water Reactor with plutonium-based ternary fuel, the Advanced Liquid Metal Reactor with plutonium-based fuel, the Advanced Liquid Metal Reactor with uranium-plutonium-based fuel, and the Modular High Temperature Gas-Cooled Reactor with plutonium-based fuel. Of these four options, the Advanced Light Water Reactor and the Modular High Temperature Gas-Cooled Reactor do not propose reprocessing of their irradiated fuel. Time constraints and lack of detailed information did not allow for any further ratings among these four options. The INEL recommends these four options be investigated further to determine the optimum reactor design for plutonium disposition

Weapons-grade plutonium dispositioning. Volume 2: Comparison of plutonium disposition options

Energy Technology Data Exchange (ETDEWEB)

Brownson, D.A.; Hanson, D.J.; Blackman, H.S. [and others

1993-06-01

The Secretary of Energy requested the National Academy of Sciences (NAS) Committee on International Security and Arms Control to evaluate disposition options for weapons-grade plutonium. The Idaho National Engineering Laboratory (INEL) offered to assist the NAS in this evaluation by investigating the technical aspects of the disposition options and their capability for achieving plutonium annihilation levels greater than 90%. This report was prepared for the NAS to document the gathered information and results from the requested option evaluations. Evaluations were performed for 12 plutonium disposition options involving five reactor and one accelerator-based systems. Each option was evaluated in four technical areas: (1) fuel status, (2) reactor or accelerator-based system status, (3) waste-processing status, and (4) waste disposal status. Based on these evaluations, each concept was rated on its operational capability and time to deployment. A third rating category of option costs could not be performed because of the unavailability of adequate information from the concept sponsors. The four options achieving the highest rating, in alphabetical order, are the Advanced Light Water Reactor with plutonium-based ternary fuel, the Advanced Liquid Metal Reactor with plutonium-based fuel, the Advanced Liquid Metal Reactor with uranium-plutonium-based fuel, and the Modular High Temperature Gas-Cooled Reactor with plutonium-based fuel. Of these four options, the Advanced Light Water Reactor and the Modular High Temperature Gas-Cooled Reactor do not propose reprocessing of their irradiated fuel. Time constraints and lack of detailed information did not allow for any further ratings among these four options. The INEL recommends these four options be investigated further to determine the optimum reactor design for plutonium disposition.

An evaluation of nodalization/decay heat/ volatile fission product release models in ISAAC code

Energy Technology Data Exchange (ETDEWEB)

Song, Yong Mann; Park, Soo Yong; Kim, Dong Ha

2003-03-01

An ISAAC computer code, which was developed for a Level-2 PSA during 1995, has developed mainly with fundamental models for CANDU-specific severe accident progression and also the accident-analyzing experiences are limited to Level-2 PSA purposes. Hence the system nodalization model, decay model and volatile fission product release model, which are known to affect fission product behavior directly or indirectly, are evaluated to both enhance understanding for basic models and accumulate accident-analyzing experiences. As a research strategy, sensitivity studies of model parameters and sensitivity coefficients are performed. According to the results from core nodalization sensitivity study, an original 3x3 nodalization (per loop) method which groups horizontal fuel channels into 12 representative channels, is evaluated to be sufficient for an optimal scheme because detailed nodalization methods have no large effect on fuel thermal-hydraulic behavior, total accident progression and fission product behavior. As ANSI/ANS standard model for decay heat prediction after reactor trip has no needs for further model evaluation due to both wide application on accident analysis codes and good comparison results with the ORIGEN code, ISAAC calculational results of decay heat are used as they are. In addition, fission product revaporization in a containment which is caused by the embedded decay heat, is demonstrated. The results for the volatile fission product release model are analyzed. In case of early release, the IDCOR model with an in-vessel Te release option shows the most conservative results and for the late release case, NUREG-0772 model shows the most conservative results. Considering both early and late release, the IDCOR model with an in-vessel Te bound option shows mitigated conservative results.

Multifractal analysis of implied volatility in index options

Science.gov (United States)

Oh, GabJin

2014-06-01

In this paper, we analyze the statistical and the non-linear properties of the log-variations in implied volatility for the CAC40, DAX and S& P500 daily index options. The price of an index option is generally represented by its implied volatility surface, including its smile and skew properties. We utilize a Lévy process model as the underlying asset to deepen our understanding of the intrinsic property of the implied volatility in the index options and estimate the implied volatility surface. We find that the options pricing models with the exponential Lévy model can reproduce the smile or sneer features of the implied volatility that are observed in real options markets. We study the variation in the implied volatility for at-the-money index call and put options, and we find that the distribution function follows a power-law distribution with an exponent of 3.5 ≤ γ ≤ 4.5. Especially, the variation in the implied volatility exhibits multifractal spectral characteristics, and the global financial crisis has influenced the complexity of the option markets.

A Model-Free No-arbitrage Price Bound for Variance Options

Energy Technology Data Exchange (ETDEWEB)

Bonnans, J. Frederic, E-mail: frederic.bonnans@inria.fr [Ecole Polytechnique, INRIA-Saclay (France); Tan Xiaolu, E-mail: xiaolu.tan@polytechnique.edu [Ecole Polytechnique, CMAP (France)

2013-08-01

We suggest a numerical approximation for an optimization problem, motivated by its applications in finance to find the model-free no-arbitrage bound of variance options given the marginal distributions of the underlying asset. A first approximation restricts the computation to a bounded domain. Then we propose a gradient projection algorithm together with the finite difference scheme to solve the optimization problem. We prove the general convergence, and derive some convergence rate estimates. Finally, we give some numerical examples to test the efficiency of the algorithm.

78 FR 28864 - Prospective Grant of Start-Up Exclusive Evaluation Option License Agreement: In Vitro Diagnostics...

Science.gov (United States)

2013-05-16

... of new blood vessels) and metastasis (spread of cancer). The co-culture system is designed to mimic... contemplating the grant of a Start-Up Exclusive Evaluation Option License Agreement to Advanced Personalized... Angiogenesis and Metastasis in Three Dimensional Co- Cultures'', filed June 10, 2010 (HHS Ref. No. E-281-2007/1...

Implementation and assessment of improved models and options in TRAC-BF1

International Nuclear Information System (INIS)

Analytis, G.Th.

1996-07-01

A summary of modifications and options introduced in TRAC-BF1 is presented and it is shown that the predicting capabilities of the modified version of the core are greatly improved. These changes include the introduction of a different heat transfer package during reflooding, the implementation of a simple single-phase limit procedure for forcing the two phases to acquire the same velocity if one phase disappears, a close assessment of the annular flow interfacial shear correlation, implementation of a simple radiation model which seems to alleviate some numerical-oscillations problems induced by the existing highly complex model. Furthermore, different options were introduced and tested like upwinding some terms of the momentum equations (which seems to solve a number of problems reported in the past), the second upwind scheme for the convective terms of the phasic momentum equations and the implementation and assessment of a completely different annular flow interfacial shear correlation. The modified TRAC-BF1 is assessed against some bottom-flooding separate-effect experiments, a 'benchmark' top flooding simulation as well as against the TLTA test Nr. 6423. In the process of this task, the different options are assessed and discussed and is shown that the predictions of the modified code are physically sound and close to the measurements, while almost all the predicted variables are free of unphysical spurious oscillations. The modifications introduced solve a number of problems associated with the frozen version of the code and result in a version which can be confidently used for LB-LOCA analyses. (author) 19 figs., 16 refs

Investigation of non-Gaussian effects in the Brazilian option market

Science.gov (United States)

Sosa-Correa, William O.; Ramos, Antônio M. T.; Vasconcelos, Giovani L.

2018-04-01

An empirical study of the Brazilian option market is presented in light of three option pricing models, namely the Black-Scholes model, the exponential model, and a model based on a power law distribution, the so-called q-Gaussian distribution or Tsallis distribution. It is found that the q-Gaussian model performs better than the Black-Scholes model in about one third of the option chains analyzed. But among these cases, the exponential model performs better than the q-Gaussian model in 75% of the time. The superiority of the exponential model over the q-Gaussian model is particularly impressive for options close to the expiration date, where its success rate rises above ninety percent.

Pricing of contract options for electric power; Precificacao de contrato de opcoes de energia eletrica

Energy Technology Data Exchange (ETDEWEB)

Takahashi, Leticia; Gunn, Laura Keiko; Correia, Paulo B. [Universidade Estadual de Campinas (FEM/UNICAMP), SP (Brazil). Fac. de Engenharia Mecanica. Dept. de Energia

2008-07-01

The reorganization of the electric sector has improved the opportunity of energy trade through contracts, which have to be considered on the risk evaluation for generating companies. Different types of contracts have been used in electric energy commercialization. This work develops a model for option contract pricing. The classic model of options pricing used in the financial market is based in Black- Scholes. Due to the inherent feature of the Brazilian electrical system, with a strong predominance of hydroelectricity, the seasonal swing of the electricity price is the main source of contractual risk. So, the Black-Scholes model very is not adjusted. To deal with the uncertainties, this work uses an approach based on analysis of scenarios and binomial trees. Case studies are analyzed with binomial tree to calculate the price of the option contract. (author)

The Business Model Evaluation Tool for Smart Cities: Application to SmartSantander Use Cases

Directory of Open Access Journals (Sweden)

Raimundo Díaz-Díaz

2017-02-01

Full Text Available New technologies open up the door to multiple business models applied to public services in smart cities. However, there is not a commonly adopted methodology for evaluating business models in smart cities that can help both practitioners and researchers to choose the best option. This paper addresses this gap introducing the Business Model Evaluation Tool for Smart Cities. This methodology is a simple, organized, flexible and the transparent system that facilitates the work of the evaluators of potential business models. It is useful to compare two or more business models and take strategic decisions promptly. The method is part of a previous process of content analysis and it is based on the widely utilized Business Model Canvas. The evaluation method has been assessed by 11 experts and, subsequently it has been validated applying it to the case studies of Santander’s waste management and street lighting systems, which take advantage of innovative technologies commonly used in smart cities.

Multi-stage IT project evaluation: The flexibility value obtained by implementing and resolving Berk, Green and Naik (2004) model

Science.gov (United States)

Abid, Fathi; Guermazi, Dorra

2009-11-01

In this paper, we evaluate a multi-stage information technology investment project, by implementing and resolving Berk, Green and Naik's (2004) model, which takes into account specific features of IT projects and considers the real option to suspend investment at each stage. We present a particular case of the model where the project value is the solution of an optimal control problem with a single state variable. In this case, the model is more intuitive and tractable. The case study confirms the practical potential of the model and highlights the importance of the real-option approach compared to classical discounted cash flow techniques in the valuation of IT projects.

A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

Directory of Open Access Journals (Sweden)

Shengwu Zhou

2012-01-01

Full Text Available A positivity-preserving numerical method for nonlinear Black-Scholes models is developed in this paper. The numerical method is based on a nonstandard approximation of the second partial derivative. The scheme is not only unconditionally stable and positive, but also allows us to solve the discrete equation explicitly. Monotone properties are studied in order to avoid unwanted oscillations of the numerical solution. The numerical results for European put option and European butterfly spread are compared to the standard finite difference scheme. It turns out that the proposed scheme is efficient and reliable.

Option Valuation with Long-run and Short-run Volatility Components

DEFF Research Database (Denmark)

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat

This paper presents a new model for the valuation of European options, in which the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model can...... be viewed as an affine version of Engle and Lee (1999), allowing for easy valuation of European options. The model substantially outperforms a benchmark single-component volatility model that is well-established in the literature, and it fits options better than a model that combines conditional...... model long-maturity and short-maturity options....

Multivariate Option Pricing with Time Varying Volatility and Correlations

DEFF Research Database (Denmark)

Rombouts, Jeroen V.K.; Stentoft, Lars Peter

In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...... neutral dynamics for a general class of multivariate heteroskedastic models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the assumed underlying distribution and dynamics, and it nests several important special cases. We provide an application...... to options on the minimum of two indices. Our results show that not only is correlation important for these options but so is allowing this correlation to be dynamic. Moreover, we show that for the general model exposure to correlation risk carries an important premium, and when this is neglected option...

Margin Requirements and Equity Option Returns

DEFF Research Database (Denmark)

Hitzemann, Steffen; Hofmann, Michael; Uhrig-Homburg, Marliese

In equity option markets, traders face margin requirements both for the options themselves and for hedging-related positions in the underlying stock market. We show that these requirements carry a significant margin premium in the cross-section of equity option returns. The sign of the margin...... premium depends on demand pressure: If end-users are on the long side of the market, option returns decrease with margins, while they increase otherwise. Our results are statistically and economically significant and robust to different margin specifications and various control variables. We explain our...... findings by a model of funding-constrained derivatives dealers that require compensation for satisfying end-users’ option demand....

Margin Requirements and Equity Option Returns

DEFF Research Database (Denmark)

Hitzemann, Steffen; Hofmann, Michael; Uhrig-Homburg, Marliese

In equity option markets, traders face margin requirements both for the options themselves and for hedging-related positions in the underlying stock market. We show that these requirements carry a significant "margin premium" in the cross-section of equity option returns. The sign of the margin...... premium depends on demand pressure: If end-users are on the long side of the market, option returns decrease with margins, while they increase otherwise. Our results are statistically and economically significant and robust to different margin specifications and various control variables. We explain our...... findings by a model of funding-constrained derivatives dealers that require compensation for satisfying end-users’ option demand....

Evaluating Options for Civil Space Situational Awareness (SSA)

Science.gov (United States)

Lal, B.; Carioscia, S. A.

In recent years, the number of active satellites and human-made orbital space debris has increased dramatically. An expansion of activities in space, as is currently being proposed by many commercial and international entities, is expected to further exacerbate this challenge. The 18th Space Control Squadron under the Department of Defense (DOD) United States Strategic Command provides space situational awareness (SSA) services to users outside the national security community at no cost. International and commercial users demand better SSA service than is currently feasible, and the demand comes at a time when DOD is under pressure to better prepare for and respond to growing space-based threats to national security. Concerned about the possibility of overextending across conflicting missions in a fiscally constrained environment, some DOD officials have publicly noted a desire to move SSA services not related to national security out of DOD purview. Responding to a request from the Federal Aviation Administration (FAA) Office of Commercial Space Transportation (AST), researchers at the Science and Technology Policy Institute (STPI) identified and evaluated potential approaches for providing SSA services for civil and commercial operations in space. In this paper, we summarize the report [1] and present the pros and cons of four approaches to the provision of civil SSA services in the United States: (1) maintaining status quo through continued provision by DOD; (2) provision by a civil government entity; (3) industry self-provision; and (4) provision by an international organization. Within the second approach, assuming the provision of SSA by a civil agency, STPI further identified and discussed four options: (1) civil agency service capability embedded within DOD; (2) independent civil service capability, using DOD software and systems; (3) independent civil service capability, using commercial software and systems; and (4) the government certifies non

Requirements of Integrated Design Teams While Evaluating Advanced Energy Retrofit Design Options in Immersive Virtual Environments

Directory of Open Access Journals (Sweden)

Xue Yang

2015-12-01

Full Text Available One of the significant ways to save energy use in buildings is to implement advanced energy retrofits in existing buildings. Improving energy performance of buildings through advanced energy retrofitting requires a clear understanding of the cost and energy implications of design alternatives from various engineering disciplines when different retrofit options are considered. The communication of retrofit design alternatives and their energy implications is essential in the decision-making process, as it affects the final retrofit selections and hence the energy efficiency of the retrofitted buildings. The objective of the research presented here was to identify a generic list of information requirements that are needed to be shared and collectively analyzed by integrated design teams during advanced energy retrofit design review meetings held in immersive settings. While identifying such requirements, the authors used an immersive environment based iterative requirements elicitation approach. The technology was used as a means to better identify the information requirements of integrated design teams to be analyzed as a group. This paper provides findings on information requirements of integrated design teams when evaluating retrofit options in immersive virtual environments. The information requirements were identified through interactions with sixteen experts in design and energy modeling domain, and validated with another group of participants consisting of six design experts who were experienced in integrated design processes. Industry practitioners can use the findings in deciding on what information to share with integrated design team members during design review meetings that utilize immersive virtual environments.

Essay on Option Pricing, Hedging and Calibration

DEFF Research Database (Denmark)

da Silva Ribeiro, André Manuel

Quantitative finance is concerned about applying mathematics to financial markets.This thesis is a collection of essays that study different problems in this field: How efficient are option price approximations to calibrate a stochastic volatilitymodel? (Chapter 2) How different is the discretely...... of dynamics? (Chapter 5) How can we formulate a simple free-arbitrage model to price correlationswaps? (Chapter 6) A summary of the work presented in this thesis: Approximation Behooves Calibration In this paper we show that calibration based on an expansion approximation for option prices in the Heston...... stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005 to 2009. Discretely Sampled Variance Options: A Stochastic Approximation Approach In this paper, we expand Drimus and Farkas (2012) framework to price variance options on discretely sampled...

A Study on the Economic Analysis for Overseas Project of New Nuclear Power Plant Using Binomial Option Pricing Model and Monte Carlo Simulation

Energy Technology Data Exchange (ETDEWEB)

Kim, Beong Gwon; Roh, Myung Sub [KEPCO International Nuclear Graduate School, Ulsan (Korea, Republic of)

2014-10-15

Real options approach is suitable for evaluation of large-scale investment project with great uncertainties. Takizawa and Omori (2001) introduced a real option approach to calculate electricity price for economic feasibility. Rothwell (2006) modeled the net present value (NPV) of building an ABWR in Texas using ROA to determine the risk premium associated with net revenue uncertainty. W.C Yoon (2006) evaluated nuclear power plant construction value using DCF and ROA with sensitivity analysis. The value evaluations involved with nuclear power are very uncertain. This is because of a long period of construction as well as the cost uncertainties of decommissioning and nuclear waste management. Even more elements should be considered in new nuclear power valuation, including the uncertainty from the technology, operating costs, the potential risk of radiation, electricity mechanism and climate policy. In this respect, a traditional method such as discounted cash flow (DCF) can't fully catch the impacts of these uncertainties on nuclear power investment. So it is necessary to develop a proper method to handle such kinds of uncertainties to evaluate the new deployment of nuclear power plants. Meanwhile, overseas construction projects which are required capital investment, localization by target countries are increasing in these days. These elements may influence the uncertainty of project too.

Retrieval options study

International Nuclear Information System (INIS)

1980-03-01

This Retrieval Options Study is part of the systems analysis activities of the Office of Nuclear Waste Isolation to develop the scientific and technological bases for radioactive waste repositories in various geologic media. The study considers two waste forms, high level waste and spent fuel, and defines various classes of waste retrieval and recovery. A methodology and data base are developed which allow the relative evaluation of retrieval and recovery costs and the following technical criteria: safety; technical feasibility; ease of retrieval; probable intact retrieval time; safeguards; monitoring; criticality; and licensability. A total of 505 repository options are defined and the cost and technical criteria evaluated utilizing a combination of facts and engineering judgments. The repositories evaluated are selected combinations of the following parameters: Geologic Media (salt, granite, basalt, shale); Retrieval Time after Emplacement (5 and 25 years); Emplacement Design (nominal hole, large hole, carbon steel canister, corrosion resistant canister, backfill in hole, nominal sleeves, thick wall sleeves); Emplacement Configuration (single vertical, multiple vertical, single horizontal, multiple horizontal, vaults; Thermal Considerations; (normal design, reduced density, once-through ventilation, recirculated ventilation); Room Backfill; (none, run-of-mine, early, 5 year delay, 25 year delay, decommissioned); and Rate of Retrieval;

Delta-gamma-theta Hedging of Crude Oil Asian Options

Directory of Open Access Journals (Sweden)

Juraj Hruška

2015-01-01

Full Text Available Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper is to derive delta-gamma-theta hedging strategy for Asian options and compere its efficiency with gamma-delta-theta hedging combined with predictive model. Fixed strike Asian options are type of exotic options, whose special feature is that payoff is calculated from the difference of average market price and strike price for call options and vice versa for the put options. Methods of stochastic analysis are used to determine deltas, gammas and thetas of Asian options. Asian options are cheaper than vanilla options and therefore they are more suitable for precise portfolio creation. On the other hand their deltas are also smaller as well as profits. That means that they are also less risky and more suitable for hedging. Results, conducted on chosen commodity, confirm better feasibility of Asian options compering with vanilla options in sense of gamma hedging.

Nonlinear Schrödinger approach to European option pricing

Science.gov (United States)

Wróblewski, Marcin

2017-05-01

This paper deals with numerical option pricing methods based on a Schrödinger model rather than the Black-Scholes model. Nonlinear Schrödinger boundary value problems seem to be alternatives to linear models which better reflect the complexity and behavior of real markets. Therefore, based on the nonlinear Schrödinger option pricing model proposed in the literature, in this paper a model augmented by external atomic potentials is proposed and numerically tested. In terms of statistical physics the developed model describes the option in analogy to a pair of two identical quantum particles occupying the same state. The proposed model is used to price European call options on a stock index. the model is calibrated using the Levenberg-Marquardt algorithm based on market data. A Runge-Kutta method is used to solve the discretized boundary value problem numerically. Numerical results are provided and discussed. It seems that our proposal more accurately models phenomena observed in the real market than do linear models.

Documentation of a restart option for the U.S. Geological Survey coupled Groundwater and Surface-Water Flow (GSFLOW) model

Science.gov (United States)

Regan, R. Steve; Niswonger, Richard G.; Markstrom, Steven L.; Barlow, Paul M.

2015-10-02

A new option to write and read antecedent conditions (also referred to as initial conditions) has been developed for the U.S. Geological Survey (USGS) Groundwater and Surface-Water Flow (GSFLOW) numerical, hydrologic simulation code. GSFLOW is an integration of the USGS Precipitation-Runoff Modeling System (PRMS) and USGS Modular Groundwater-Flow Model (MODFLOW), and provides three simulation modes: MODFLOW-only, PRMS-only, and GSFLOW (or coupled). The new capability, referred to as the restart option, can be used for all three simulation modes, such that the results from a pair (or set) of spin-up and restart simulations are nearly identical to results produced from a continuous simulation for the same time period. The restart option writes all results to files at the end of a spin-up simulation that are required to initialize a subsequent restart simulation. Previous versions of GSFLOW have had some capability to save model results for use as antecedent condiitions in subsequent simulations; however, the existing capabilities were not comprehensive or easy to use. The new restart option supersedes the previous methods. The restart option was developed in collaboration with the National Oceanic and Atmospheric Administration, National Weather Service as part of the Integrated Water Resources Science and Services Partnership. The primary focus for the development of the restart option was to support medium-range (7- to 14-day) forecasts of low streamflow conditions made by the National Weather Service for critical water-supply basins in which groundwater plays an important role.

Technical and economic evaluation of controlled disposal options for very low level radioactive wastes

International Nuclear Information System (INIS)

Robinson, P.J.; Vance, J.N.

1990-08-01

Over the past several years, there has been considerable interest by the nuclear industry in the Nuclear Regulatory Commission (NRC) explicitly defined an activity level in plant waste materials at which the radiological impacts would be so low as to be considered Below Regulatory Concern (BRC). In January 1989, Electric Power Research Institute (EPRI) completed an extensive industry research effort to develop the technical bases for establishing criteria for the disposal of very low activity wastes in ordinary disposal facilities. The Nuclear Management and Resources Council (NUMARC), with assistance from the Edison Electric Institute (EEI) and the Electric Power Research Institute (EPRI), drafted a petition titled: ''Petition for Rulemaking Regarding Disposal of Below Regulatory Concern Radioactive Wastes from Commercial Nuclear Power Plants.'' Subsequent to the industry making a final decision for submittal of the drafted BRC petition, EPRI was requested to evaluate the technical and economic impact of six BRC options. These options are: take no action in pursuing a BRC waste exemption, petition the NRC for authorization to disposal of any BRC waste in any ordinary disposal facility, limit disposal of BRC waste to the nuclear power plant site, limit disposal of BRC waste to the nuclear power plant site and other utility owned property, petition for a mixed waste exemption, and petition for single waste stream exemptions in sequence (i.e. soil, followed by sewage sludge, etc.). The petition and technical bases were written to support the disposal of any BRC waste type in any ordinary disposal facility. These documents do not provide all of the technical and economic information needed to completely assessment the BRC options. This report provides the technical and economic basis for a range of options concerning disposal of very low activity wastes. 3 figs., 20 tabs

48 CFR 552.217-71 - Notice Regarding Option(s).

Science.gov (United States)

2010-10-01

... 48 Federal Acquisition Regulations System 4 2010-10-01 2010-10-01 false Notice Regarding Option(s... Notice Regarding Option(s). As prescribed in 517.208(b), insert the following provision: Notice Regarding Option(s) (NOV 1992) The General Services Administration (GSA) has included an option to [Insert...

Option Fixation: A Cognitive Contributor to Overconfidence

Science.gov (United States)

Sieck, Winston R.; Merkle, Edgar C.; Van Zandt, Trisha

2007-01-01

The ASC model of choice and confidence in general knowledge proposes that respondents first Assess the familiarity of presented options, and then use the high-familiarity option as a retrieval cue to Search memory for the purposes of Constructing an explanation about why that high-familiarity option is true. The ASC process implies that…

Mapping regulatory models for medicinal cannabis: a matrix of options.

Science.gov (United States)

Belackova, Vendula; Shanahan, Marian; Ritter, Alison

2017-05-30

Objective The aim of the present study was to develop a framework for assessing regulatory options for medicinal cannabis in Australia. Methods International regulatory regimes for medicinal cannabis were reviewed with a qualitative policy analysis approach and key policy features were synthesised, leading to a conceptual framework that facilitates decision making across multiple dimensions. Results Two central organising dimensions of medicinal cannabis regulation were identified: cannabis supply and patient authorisation (including patient access). A number of the different supply options can be matched with a number of different patient authorisation options, leading to a matrix of possible regulatory regimes. Conclusions The regulatory options, as used internationally, involve different forms of cannabis (synthetic and plant-based pharmaceutical preparations or herbal cannabis) and the varying extent to which patient authorisation policies and procedures are stringently or more loosely defined. The optimal combination of supply and patient authorisation options in any jurisdiction that chooses to make medicinal cannabis accessible will depend on policy goals. What is known about the topic? Internationally, regulation of medicinal cannabis has developed idiosyncratically, depending on formulations that were made available and local context. There has been no attempt to date in the scientific literature to systematically document the variety of regulatory possibilities for medicinal cannabis. What does this paper add? This paper presents a new conceptual schema for considering options for the regulation of medicinal cannabis, across both supply and patient authorisation aspects. What are the implications for practitioners? The design of regulatory systems in Australia, whether for pharmaceutical or herbal products, is a vital issue for policy makers right now as federal and state and territory governments grapple with the complexities of medicinal cannabis

Evaluation of INL Supplied MOOSE/OSPREY Model: Modeling Water Adsorption on Type 3A Molecular Sieve

Energy Technology Data Exchange (ETDEWEB)

Pompilio, L. M. [Syracuse University; DePaoli, D. W. [ORNL; Spencer, B. B. [ORNL

2014-08-29

The purpose of this study was to evaluate Idaho National Lab’s Multiphysics Object-Oriented Simulation Environment (MOOSE) software in modeling the adsorption of water onto type 3A molecular sieve (3AMS). MOOSE can be thought-of as a computing framework within which applications modeling specific coupled-phenomena can be developed and run. The application titled Off-gas SeParation and REcoverY (OSPREY) has been developed to model gas sorption in packed columns. The sorbate breakthrough curve calculated by MOOSE/OSPREY was compared to results previously obtained in the deep bed hydration tests conducted at Oak Ridge National Laboratory. The coding framework permits selection of various options, when they exist, for modeling a process. For example, the OSPREY module includes options to model the adsorption equilibrium with a Langmuir model or a generalized statistical thermodynamic adsorption (GSTA) model. The vapor solid equilibria and the operating conditions of the process (e.g., gas phase concentration) are required to calculate the concentration gradient driving the mass transfer between phases. Both the Langmuir and GSTA models were tested in this evaluation. Input variables were either known from experimental conditions, or were available (e.g., density) or were estimated (e.g., thermal conductivity of sorbent) from the literature. Variables were considered independent of time, i.e., rather than having a mass transfer coefficient that varied with time or position in the bed, the parameter was set to remain constant. The calculated results did not coincide with data from laboratory tests. The model accurately estimated the number of bed volumes processed for the given operating parameters, but breakthrough times were not accurately predicted, varying 50% or more from the data. The shape of the breakthrough curves also differed from the experimental data, indicating a much wider sorption band. Model modifications are needed to improve its utility and

Model development for quantitative evaluation of proliferation resistance of nuclear fuel cycles

Energy Technology Data Exchange (ETDEWEB)

Ko, Won Il; Kim, Ho Dong; Yang, Myung Seung

2000-07-01

This study addresses the quantitative evaluation of the proliferation resistance which is important factor of the alternative nuclear fuel cycle system. In this study, model was developed to quantitatively evaluate the proliferation resistance of the nuclear fuel cycles. The proposed models were then applied to Korean environment as a sample study to provide better references for the determination of future nuclear fuel cycle system in Korea. In order to quantify the proliferation resistance of the nuclear fuel cycle, the proliferation resistance index was defined in imitation of an electrical circuit with an electromotive force and various electrical resistance components. The analysis on the proliferation resistance of nuclear fuel cycles has shown that the resistance index as defined herein can be used as an international measure of the relative risk of the nuclear proliferation if the motivation index is appropriately defined. It has also shown that the proposed model can include political issues as well as technical ones relevant to the proliferation resistance, and consider all facilities and activities in a specific nuclear fuel cycle (from mining to disposal). In addition, sensitivity analyses on the sample study indicate that the direct disposal option in a country with high nuclear propensity may give rise to a high risk of the nuclear proliferation than the reprocessing option in a country with low nuclear propensity.

Model development for quantitative evaluation of proliferation resistance of nuclear fuel cycles

International Nuclear Information System (INIS)

Ko, Won Il; Kim, Ho Dong; Yang, Myung Seung

2000-07-01

This study addresses the quantitative evaluation of the proliferation resistance which is important factor of the alternative nuclear fuel cycle system. In this study, model was developed to quantitatively evaluate the proliferation resistance of the nuclear fuel cycles. The proposed models were then applied to Korean environment as a sample study to provide better references for the determination of future nuclear fuel cycle system in Korea. In order to quantify the proliferation resistance of the nuclear fuel cycle, the proliferation resistance index was defined in imitation of an electrical circuit with an electromotive force and various electrical resistance components. The analysis on the proliferation resistance of nuclear fuel cycles has shown that the resistance index as defined herein can be used as an international measure of the relative risk of the nuclear proliferation if the motivation index is appropriately defined. It has also shown that the proposed model can include political issues as well as technical ones relevant to the proliferation resistance, and consider all facilities and activities in a specific nuclear fuel cycle (from mining to disposal). In addition, sensitivity analyses on the sample study indicate that the direct disposal option in a country with high nuclear propensity may give rise to a high risk of the nuclear proliferation than the reprocessing option in a country with low nuclear propensity

Fast Spectrum Molten Salt Reactor Options

Energy Technology Data Exchange (ETDEWEB)

Gehin, Jess C [ORNL; Holcomb, David Eugene [ORNL; Flanagan, George F [ORNL; Patton, Bruce W [ORNL; Howard, Rob L [ORNL; Harrison, Thomas J [ORNL

2011-07-01

During 2010, fast-spectrum molten-salt reactors (FS-MSRs) were selected as a transformational reactor concept for light-water reactor (LWR)-derived heavy actinide disposition by the Department of Energy-Nuclear Energy Advanced Reactor Concepts (ARC) program and were the subject of a preliminary scoping investigation. Much of the reactor description information presented in this report derives from the preliminary studies performed for the ARC project. This report, however, has a somewhat broader scope-providing a conceptual overview of the characteristics and design options for FS-MSRs. It does not present in-depth evaluation of any FS-MSR particular characteristic, but instead provides an overview of all of the major reactor system technologies and characteristics, including the technology developments since the end of major molten salt reactor (MSR) development efforts in the 1970s. This report first presents a historical overview of the FS-MSR technology and describes the innovative characteristics of an FS-MSR. Next, it provides an overview of possible reactor configurations. The following design features/options and performance considerations are described including: (1) reactor salt options-both chloride and fluoride salts; (2) the impact of changing the carrier salt and actinide concentration on conversion ratio; (3) the conversion ratio; (4) an overview of the fuel salt chemical processing; (5) potential power cycles and hydrogen production options; and (6) overview of the performance characteristics of FS-MSRs, including general comparative metrics with LWRs. The conceptual-level evaluation includes resource sustainability, proliferation resistance, economics, and safety. The report concludes with a description of the work necessary to begin more detailed evaluation of FS-MSRs as a realistic reactor and fuel cycle option.

Option Strike Price and Managerial Investment Decisions

Institute of Scientific and Technical Information of China (English)

刘鸿雁; 张维

2003-01-01

The manager′s investment decisions is modeled when the manager is risk-averse and has stock options as compensation. It is found that the strike price of options is crucial to the investment incentives of managers, and that the correct value, or interval of values, of managerial stock option strike price can bring stockholder and manager interests in agreement.

An evaluation of greenhouse gas mitigation options for coal-fired power plants in the US Great Lakes States

International Nuclear Information System (INIS)

Froese, Robert E.; Shonnard, David R.; Miller, Chris A.; Koers, Ken P.; Johnson, Dana M.

2010-01-01

We assessed options for mitigating greenhouse gas emissions from electricity generation in the US Great Lakes States, a region heavily dependent on coal-fired power plants. A proposed 600 MW power plant in northern Lower Michigan, USA provided context for our evaluation. Options to offset fossil CO 2 emissions by 20% included biomass fuel substitution from (1) forest residuals, (2) short-rotation woody crops, or (3) switchgrass; (4) biologic sequestration in forest plantations; and (5) geologic sequestration using CO 2 capture. Review of timber product output data, land cover data, and expected energy crop productivity on idle agriculture land within 120 km of the plant revealed that biomass from forestry residuals has the potential to offset 6% and from energy crops 27% of the annual fossil fuel requirement. Furthermore, annual forest harvest in the region is only 26% of growth and the surplus represents a large opportunity for forest products and bioenergy applications. We used Life Cycle Assessment (LCA) to compare mitigation options, using fossil energy demand and greenhouse gas emissions per unit electricity generation as criteria. LCA results revealed that co-firing with forestry residuals is the most attractive option and geologic sequestration is the least attractive option, based on the two criteria. Biologic sequestration is intermediate but likely infeasible because of very large land area requirements. Our study revealed that biomass feedstock potentials from land and forest resources are not limiting mitigation activities, but the most practical approach is likely a combination of options that optimize additional social, environmental and economic criteria.

On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps

OpenAIRE

Bayraktar, Erhan

2007-01-01

We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quasi-variational inequality, that it is $C^2$ except at the stopping boundary and that it is $C^1$ everywhere (i.e. the smooth pasting condition always holds).

Dopamine Modulates Option Generation for Behavior.

Science.gov (United States)

Ang, Yuen-Siang; Manohar, Sanjay; Plant, Olivia; Kienast, Annika; Le Heron, Campbell; Muhammed, Kinan; Hu, Michele; Husain, Masud

2018-05-21

Animals make innumerable decisions every day, each of which involves evaluating potential options for action. But how are options generated? Although much is now known about decision making when a fixed set of potential options is provided, surprisingly little progress has been made on self-generated options. Some researchers have proposed that such abilities might be modulated by dopamine. Here, we used a new measure of option generation that is quantitative, objective, and culture fair to investigate how humans generate different behavioral options. Participants were asked to draw as many different paths (options) as they could between two points within a fixed time. Healthy individuals (n = 96) exhibited a trade-off between uniqueness (how individually different their options were) and fluency (number of options), generating either many similar or few unique options. To assess influence of dopamine, we first examined patients with Parkinson's disease (n = 35) ON and OFF their dopaminergic medication and compared them to elderly healthy controls (n = 34). Then we conducted a double-blind, placebo-controlled crossover study of the D2 agonist cabergoline in healthy older people (n = 29). Across both studies, dopamine increased fluency but diminished overall uniqueness of options generated, due to the effect of fluency trading off with uniqueness. Crucially, however, when this trade-off was corrected for, dopamine was found to increase uniqueness for any given fluency. Three carefully designed control studies showed that performance on our option-generation task was not related to executing movements, planning actions, or selecting between generated options. These findings show that dopamine plays an important role in modulating option generation. Copyright © 2018 The Author(s). Published by Elsevier Ltd.. All rights reserved.

Bayesian Option Pricing Framework with Stochastic Volatility for FX Data

Directory of Open Access Journals (Sweden)

Ying Wang

2016-12-01

Full Text Available The application of stochastic volatility (SV models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters. When option data are insufficient or unavailable, market practitioners must estimate the model from the historical returns of the underlying asset and then transform the resulting model into its risk-neutral equivalent. However, the likelihood function of an SV model can only be expressed in a high-dimensional integration, which makes the estimation a highly challenging task. The Bayesian approach has been the classical way to estimate SV models under the data-generating (physical probability measure, but the transformation from the estimated physical dynamic into its risk-neutral counterpart has not been addressed. Inspired by the generalized autoregressive conditional heteroskedasticity (GARCH option pricing approach by Duan in 1995, we propose an SV model that enables us to simultaneously and conveniently perform Bayesian inference and transformation into risk-neutral dynamics. Our model relaxes the normality assumption on innovations of both return and volatility processes, and our empirical study shows that the estimated option prices generate realistic implied volatility smile shapes. In addition, the volatility premium is almost flat across strike prices, so adding a few option data to the historical time series of the underlying asset can greatly improve the estimation of option prices.

Characterization of INEL compactible wastes, compactor options study, and recommendations

International Nuclear Information System (INIS)

Gillins, R.L.; Larsen, M.M.; Aldrich, W.C.

1986-03-01

This report provides the results of a detailed characterization and evaluation of low-level radioactive waste generated at the Idaho National Engineering Laboratory (INEL) and an evaluation of compactors available commercially. The results of these evaluations formed the basis for a study of compactor options suitable for compacting INEL-generated low-level waste. Seven compactor options were evaluated. A decision analysis performed on the results of the compactor option study and cost analysis showed that a 200-ton box compactor and a 5000-ton box supercompactor were the best options for an INEL compaction facility other than the RWMC. Two compactor locations were considered: WERF and CPP. The WERF location is recommended on the basis of existing facilities to house the compactor and store the waste, the presence of a trained waste-handling staff, and the desirability of maintaining a single location for processing INEL-generated low-level waste

Peformance Tuning and Evaluation of a Parallel Community Climate Model

Energy Technology Data Exchange (ETDEWEB)

Drake, J.B.; Worley, P.H.; Hammond, S.

1999-11-13

The Parallel Community Climate Model (PCCM) is a message-passing parallelization of version 2.1 of the Community Climate Model (CCM) developed by researchers at Argonne and Oak Ridge National Laboratories and at the National Center for Atmospheric Research in the early to mid 1990s. In preparation for use in the Department of Energy's Parallel Climate Model (PCM), PCCM has recently been updated with new physics routines from version 3.2 of the CCM, improvements to the parallel implementation, and ports to the SGIKray Research T3E and Origin 2000. We describe our experience in porting and tuning PCCM on these new platforms, evaluating the performance of different parallel algorithm options and comparing performance between the T3E and Origin 2000.

Low level radioactive waste disposal: An evaluation of reports comparing ocean and land based disposal options

International Nuclear Information System (INIS)

1990-05-01

This document evaluates reports presenting comparative assessments of land and sea disposal options for low and intermediate level radioactive waste. It was performed following a request by the LDC to the IAEA. In this evaluation, IAEA Safety Series No. 65 ''Environmental Assessment Methodologies for Sea Dumping of Radioactive Wastes'', was used as the main reference in reviewing the comparative assessments made to date. IAEA Safety Series No. 65 gives guidance on the performance of comparative assessments of the different options, and provides a list and scheme of factors to be considered. 5 studies were transmitted by the Contracting Parties and considered in this review. A larger number of reports was not considered in this effort on the basis that the evaluation would be most effective if directed at those studies which specifically compared ocean disposal with land based disposal in a consistent manner. It is not the purpose of this report to state whether one document is better than another or whether one report forms a good blueprint for future assessments. This would require a different type of review and is outside the scope of this document. Indeed since the purposes of the five reports were originally so different it would not be possible to produce such a ranking and any attempts in that direction would be very misleading. 11 refs, 3 tabs

Heterogeneous Beliefs, Public Information, and Option Markets

DEFF Research Database (Denmark)

Qin, Zhenjiang

In an incomplete market setting with heterogeneous prior beliefs, I show that public information and strike price of option have substantial infl‡uence on asset pricing in option markets, by investigating an absolute option pricing model with negative exponential utility investors and normally...... distributed dividend. I demonstrate that heterogeneous prior variances give rise to the economic value of option markets. Investors speculate in option market and public information improves allocational efficiency of markets only when there is heterogeneity in prior variance. Heterogeneity in mean is neither...... a necessary nor sufficient condition for generating speculations in option markets. With heterogeneous beliefs, options are non-redundant assets which can facilitate side-betting and enable investors to take advantage of the disagreements and the differences in con…dence. This fact leads to a higher growth...

Idaho's Energy Options

Energy Technology Data Exchange (ETDEWEB)

Robert M. Neilson

2006-03-01

This report, developed by the Idaho National Laboratory, is provided as an introduction to and an update of the status of technologies for the generation and use of energy. Its purpose is to provide information useful for identifying and evaluating Idaho’s energy options, and for developing and implementing Idaho’s energy direction and policies.

5 CFR 410.203 - Options for developing employees.

Science.gov (United States)

2010-01-01

...-development activities, coaching, mentoring, career development counseling, details, rotational assignments... Planning and Evaluating Training § 410.203 Options for developing employees. Agencies may use a full range of options to meet their mission-related organizational and employee development needs, such as...

Developing a Hierarchical Decision Model to Evaluate Nuclear Power Plant Alternative Siting Technologies

Science.gov (United States)

Lingga, Marwan Mossa

A strong trend of returning to nuclear power is evident in different places in the world. Forty-five countries are planning to add nuclear power to their grids and more than 66 nuclear power plants are under construction. Nuclear power plants that generate electricity and steam need to improve safety to become more acceptable to governments and the public. One novel practical solution to increase nuclear power plants' safety factor is to build them away from urban areas, such as offshore or underground. To date, Land-Based siting is the dominant option for siting all commercial operational nuclear power plants. However, the literature reveals several options for building nuclear power plants in safer sitings than Land-Based sitings. The alternatives are several and each has advantages and disadvantages, and it is difficult to distinguish among them and choose the best for a specific project. In this research, we recall the old idea of using the alternatives of offshore and underground sitings for new nuclear power plants and propose a tool to help in choosing the best siting technology. This research involved the development of a decision model for evaluating several potential nuclear power plant siting technologies, both those that are currently available and future ones. The decision model was developed based on the Hierarchical Decision Modeling (HDM) methodology. The model considers five major dimensions, social, technical, economic, environmental, and political (STEEP), and their related criteria and sub-criteria. The model was designed and developed by the author, and its elements' validation and evaluation were done by a large number of experts in the field of nuclear energy. The decision model was applied in evaluating five potential siting technologies and ranked the Natural Island as the best in comparison to Land-Based, Floating Plant, Artificial Island, and Semi-Embedded plant.

Real options analysis for land use management: Methods, application, and implications for policy.

Science.gov (United States)

Regan, Courtney M; Bryan, Brett A; Connor, Jeffery D; Meyer, Wayne S; Ostendorf, Bertram; Zhu, Zili; Bao, Chenming

2015-09-15

Discounted cash flow analysis, including net present value is an established way to value land use and management investments which accounts for the time-value of money. However, it provides a static view and assumes passive commitment to an investment strategy when real world land use and management investment decisions are characterised by uncertainty, irreversibility, change, and adaptation. Real options analysis has been proposed as a better valuation method under uncertainty and where the opportunity exists to delay investment decisions, pending more information. We briefly review the use of discounted cash flow methods in land use and management and discuss their benefits and limitations. We then provide an overview of real options analysis, describe the main analytical methods, and summarize its application to land use investment decisions. Real options analysis is largely underutilized in evaluating land use decisions, despite uncertainty in policy and economic drivers, the irreversibility and sunk costs involved. New simulation methods offer the potential for overcoming current technical challenges to implementation as demonstrated with a real options simulation model used to evaluate an agricultural land use decision in South Australia. We conclude that considering option values in future policy design will provide a more realistic assessment of landholder investment decision making and provide insights for improved policy performance. Copyright © 2015 Elsevier Ltd. All rights reserved.

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options

DEFF Research Database (Denmark)

Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco

innovation for a Laplace innovation assumption improves the pricing in a smaller way. Apart from investigating directly the value of model sophistication in terms of dollar losses, we also use the model condence set approach to statistically infer the set of models that delivers the best pricing performance.......We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differer...

Retrieval options study

Energy Technology Data Exchange (ETDEWEB)

1980-03-01

This Retrieval Options Study is part of the systems analysis activities of the Office of Nuclear Waste Isolation to develop the scientific and technological bases for radioactive waste repositories in various geologic media. The study considers two waste forms, high level waste and spent fuel, and defines various classes of waste retrieval and recovery. A methodology and data base are developed which allow the relative evaluation of retrieval and recovery costs and the following technical criteria: safety; technical feasibility; ease of retrieval; probable intact retrieval time; safeguards; monitoring; criticality; and licensability. A total of 505 repository options are defined and the cost and technical criteria evaluated utilizing a combination of facts and engineering judgments. The repositories evaluated are selected combinations of the following parameters: Geologic Media (salt, granite, basalt, shale); Retrieval Time after Emplacement (5 and 25 years); Emplacement Design (nominal hole, large hole, carbon steel canister, corrosion resistant canister, backfill in hole, nominal sleeves, thick wall sleeves); Emplacement Configuration (single vertical, multiple vertical, single horizontal, multiple horizontal, vaults; Thermal Considerations; (normal design, reduced density, once-through ventilation, recirculated ventilation); Room Backfill; (none, run-of-mine, early, 5 year delay, 25 year delay, decommissioned); and Rate of Retrieval; (same as emplacement, variably slower depending on repository/canister condition).

Option Pricing with Time-changed Lévy Processes

DEFF Research Database (Denmark)

Klingler, Sven; Kim, Young Shin; Rachev, Svetlozar T.

2013-01-01

In this article, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good fit to observed option prices. To demonstrate the advantages of the new processes, we conduct...

The impact of delaying an investment decision on R&D projects in real option game

International Nuclear Information System (INIS)

Chang, Shuhua; Li, Yue; Gao, Fanglu

2016-01-01

In a research and development (R&D) investment, the cost and the project value of such an investment are usually uncertain, which thus increases its complexity. Correspondingly, the NPV (Net Present Value) rule fails to evaluate the value of this project exactly, because this method does not take into account the market uncertainty, irreversibility of investment and ability of delay entry. In this paper, we employ the real option theory to evaluate the project value of a R&D investment. Since the cost of a R&D investment is very high and the flow of the information is crowded, an investor cannot make an immediate decision every time. So, the proposed real option model is an exchange option. At the same time, combining the real option and the game theory, we can find the Nash equilibrium which is the optimal strategy. Moreover, we also study how the delayed time influences the price of the project investment and how the different delayed times effect the choice of the optimal strategies.

Valuating Privacy with Option Pricing Theory

Science.gov (United States)

Berthold, Stefan; Böhme, Rainer

One of the key challenges in the information society is responsible handling of personal data. An often-cited reason why people fail to make rational decisions regarding their own informational privacy is the high uncertainty about future consequences of information disclosures today. This chapter builds an analogy to financial options and draws on principles of option pricing to account for this uncertainty in the valuation of privacy. For this purpose, the development of a data subject's personal attributes over time and the development of the attribute distribution in the population are modeled as two stochastic processes, which fit into the Binomial Option Pricing Model (BOPM). Possible applications of such valuation methods to guide decision support in future privacy-enhancing technologies (PETs) are sketched.

Application of Binomial Model and Market Asset Declaimer Methodology for Valuation of Abandon and Expand Options. The Case Study

Directory of Open Access Journals (Sweden)

Paweł Mielcarz

2007-06-01

Full Text Available The article presents a case study of valuation of real options included in a investment project. The main goal of the article is to present the calculation and methodological issues of application the methodology for real option valuation. In order to do it there are used the binomial model and Market Asset Declaimer methodology. The project presented in the article concerns the introduction of radio station to a new market. It includes two valuable real options: to abandon the project and to expand.

Monte Carlo Simulation of an American Option

Directory of Open Access Journals (Sweden)

Gikiri Thuo

2007-04-01

Full Text Available We implement gradient estimation techniques for sensitivity analysis of option pricing which can be efficiently employed in Monte Carlo simulation. Using these techniques we can simultaneously obtain an estimate of the option value together with the estimates of sensitivities of the option value to various parameters of the model. After deriving the gradient estimates we incorporate them in an iterative stochastic approximation algorithm for pricing an option with early exercise features. We illustrate the procedure using an example of an American call option with a single dividend that is analytically tractable. In particular we incorporate estimates for the gradient with respect to the early exercise threshold level.

Prognostic modelling options for remaining useful life estimation by industry

Science.gov (United States)

Sikorska, J. Z.; Hodkiewicz, M.; Ma, L.

2011-07-01

Over recent years a significant amount of research has been undertaken to develop prognostic models that can be used to predict the remaining useful life of engineering assets. Implementations by industry have only had limited success. By design, models are subject to specific assumptions and approximations, some of which are mathematical, while others relate to practical implementation issues such as the amount of data required to validate and verify a proposed model. Therefore, appropriate model selection for successful practical implementation requires not only a mathematical understanding of each model type, but also an appreciation of how a particular business intends to utilise a model and its outputs. This paper discusses business issues that need to be considered when selecting an appropriate modelling approach for trial. It also presents classification tables and process flow diagrams to assist industry and research personnel select appropriate prognostic models for predicting the remaining useful life of engineering assets within their specific business environment. The paper then explores the strengths and weaknesses of the main prognostics model classes to establish what makes them better suited to certain applications than to others and summarises how each have been applied to engineering prognostics. Consequently, this paper should provide a starting point for young researchers first considering options for remaining useful life prediction. The models described in this paper are Knowledge-based (expert and fuzzy), Life expectancy (stochastic and statistical), Artificial Neural Networks, and Physical models.

A quantum model of option pricing: When Black-Scholes meets Schrödinger and its semi-classical limit

Science.gov (United States)

Contreras, Mauricio; Pellicer, Rely; Villena, Marcelo; Ruiz, Aaron

2010-12-01

The Black-Scholes equation can be interpreted from the point of view of quantum mechanics, as the imaginary time Schrödinger equation of a free particle. When deviations of this state of equilibrium are considered, as a product of some market imperfection, such as: Transaction cost, asymmetric information issues, short-term volatility, extreme discontinuities, or serial correlations; the classical non-arbitrage assumption of the Black-Scholes model is violated, implying a non-risk-free portfolio. From Haven (2002) [1] we know that an arbitrage environment is a necessary condition to embedding the Black-Scholes option pricing model in a more general quantum physics setting. The aim of this paper is to propose a new Black-Scholes-Schrödinger model based on the endogenous arbitrage option pricing formulation introduced by Contreras et al. (2010) [2]. Hence, we derive a more general quantum model of option pricing, that incorporates arbitrage as an external time dependent force, which has an associated potential related to the random dynamic of the underlying asset price. This new resultant model can be interpreted as a Schrödinger equation in imaginary time for a particle of mass 1/σ2 with a wave function in an external field force generated by the arbitrage potential. As pointed out above, this new model can be seen as a more general formulation, where the perfect market equilibrium state postulated by the Black-Scholes model represent a particular case. Finally, since the Schrödinger equation is in place, we can apply semiclassical methods, of common use in theoretical physics, to find an approximate analytical solution of the Black-Scholes equation in the presence of market imperfections, as it is the case of an arbitrage bubble. Here, as a numerical illustration of the potential of this Schrödinger equation analogy, the semiclassical approximation is performed for different arbitrage bubble forms (step, linear and parabolic) and compare with the exact

2005 resource options report

International Nuclear Information System (INIS)

Morris, T.

2005-01-01

This resource options report (ROR) fulfils regulatory requirements in British Columbia's two-year resource planning process. It identifies a wide range of resources and technologies that could be used to meet BC Hydro's future electricity demand. As such, it facilitates a transparent public review of resource options which include both supply-side and demand-side options. The resource options that will be used in the 2005 integrated electricity plan (IEP) were characterized. This ROR also documents where there is a general agreement or disagreement on the resource type characterization, based on the First Nations and Stakeholder engagement. BC Hydro used current information to provide realistic ranges on volume and cost to characterize environmental and social attributes. The BC Hydro system was modelled to assess the benefit and cost of various resource options. The information resulting from this ROR and IEP will help in making decisions on how to structure competitive acquisition calls and to determine the level of transmission services needed to advance certain BC Hydro projects. The IEP forecasts the nature and quantity of domestic resources required over the next 20 years. A strategic direction on how those needs will be met has been created to guide the management of BC Hydro's energy resources. Supply-side options include near-commercial technologies such as energy storage, ocean waves, tidal, fuel cells and integrated coal gasification combined cycle technology. Supply-side options also include natural gas, coal, biomass, geothermal, wind, and hydro. 120 refs., 39 tabs., 21 figs., 6 appendices

Intuitionistic fuzzy (IF) evaluations of multidimensional model

International Nuclear Information System (INIS)

Valova, I.

2012-01-01

There are different logical methods for data structuring, but no one is perfect enough. Multidimensional model-MD of data is presentation of data in a form of cube (referred also as info-cube or hypercube) with data or in form of 'star' type scheme (referred as multidimensional scheme), by use of F-structures (Facts) and set of D-structures (Dimensions), based on the notion of hierarchy of D-structures. The data, being subject of analysis in a specific multidimensional model is located in a Cartesian space, being restricted by D-structures. In fact, the data is either dispersed or 'concentrated', therefore the data cells are not distributed evenly within the respective space. The moment of occurrence of any event is difficult to be predicted and the data is concentrated as per time periods, location of performed business event, etc. To process such dispersed or concentrated data, various technical strategies are needed. The basic methods for presentation of such data should be selected. The approaches of data processing and respective calculations are connected with different options for data representation. The use of intuitionistic fuzzy evaluations (IFE) provide us new possibilities for alternative presentation and processing of data, subject of analysis in any OLAP application. The use of IFE at the evaluation of multidimensional models will result in the following advantages: analysts will dispose with more complete information for processing and analysis of respective data; benefit for the managers is that the final decisions will be more effective ones; enabling design of more functional multidimensional schemes. The purpose of this work is to apply intuitionistic fuzzy evaluations of multidimensional model of data. (authors)

Economic Evaluation for Energy Business Using Real Options Pricing Method

Energy Technology Data Exchange (ETDEWEB)

Yun, W.C. [Korea Energy Economics Institute, Euiwang (Korea)

2001-11-01

Recently, facing the new era of restructuring, privatization, and liberalization the energy industry in the world is changing rapidly, and thus the uncertain factors tend to increase. This would imply that energy-related business is now confronted with new market risks as well as the simple price risks. The traditional investment valuation method using the concept of net present value (NPV) or internal rate of revenue (IRR) might not incorporate the managerial alternatives which enable managers to respond flexibly to the changes in business environment. This study pointed out the problems of the traditional discounted cash flow (DCF) method when evaluating a certain capital investment in energy industry. As an alternative, the real option pricing method (ROPM) was proposed, which is widely adopted in the field of profit projection for the venture business. In addition, when applying to energy sector the feasibility of ROPM was discussed, and the frameworks and major results of previous related studies were described. For those using the ROPM in real business, I explained the detailed procedures and solutions of ROPM, and introduced the log-transformed binomial model which provides a more efficient solution. In order to verify the usefulness of the ROPM, this study performed an empirical analysis for a virtual construction and operation project of power plant. And, the results from the ROPM was compared to those from the traditional DCF method. Based on the empirical results, the values of various investment opportunities were shown to be high. Therefore, the project not justified in terms of traditional DCF would turn into the project with a positive gross project value, properly reflecting managerial flexibilities inherent in the original project. (author). 58 refs., 32 figs., 33 tabs.

Carbon pricing in the EU: Evaluation of different EU ETS reform options

International Nuclear Information System (INIS)

Brink, Corjan; Vollebergh, Herman R.J.; Werf, Edwin van der

2016-01-01

This paper studies various options to support allowance prices in the EU Emissions Trading System (ETS), such as adjusting the cap, an auction reserve price, and fixed and variable carbon taxes in addition to the EU ETS. We use a dynamic computable general equilibrium model that explicitly allows for allowance banking and for a detailed cost-effectiveness analysis at the EU Member State level. We find that tightening the cap provides an ad hoc solution to the fundamental issue of the robustness of the effective carbon price, while introducing a price component to the ETS brings structural carbon price support in times of negative demand shocks for emission allowances. These price-based policies still benefit from the intertemporal flexibility through the banking provision in the EU ETS by re-allocating emissions over time with stronger emission reductions in early years and emission increases in later years. A higher emission price has a larger negative impact on the new Member States' economies than on other Member States. Furthermore, introducing a carbon tax in addition to the EU ETS decreases the price of allowances, resulting in welfare gains for net buyers of allowances while net sellers are worse off. - Highlights: • We analyse reform options for European Union Emission Trading System (EU ETS) with a CGE model. • Variable carbon tax and auction reserve price support carbon price at least cost. • Price-based reforms decrease early emissions but increase later emissions through banking. • New Member States' economies are affected more than others by higher CO_2 prices. • Lower allowance prices due to a carbon tax are unfavourable to net sellers of allowances.

Modeling of NOx Destruction Options for INEEL Sodium-Bearing Waste Vitrification

Energy Technology Data Exchange (ETDEWEB)

Wood, Richard Arthur

2001-09-01

Off-gas NOx concentrations in the range of 1-5 mol% are expected as a result of the proposed vitrification of sodium-bearing waste at the Idaho National Engineering and Environmental Laboratory. An existing kinetic model for staged combustion (originally developed for NOx abatement from the calcination process) was updated for application to vitrification offgas. In addition, two new kinetic models were developed to assess the feasibility of using selective non-catalytic reduction (SNCR) or high-temperature alone for NOx abatement. Each of the models was developed using the Chemkin code. Results indicate that SNCR is a viable option, reducing NOx levels to below 1000 ppmv. In addition, SNCR may be capable of simultaneously reducing CO emissions to below 100 ppmv. Results for using high-temperature alone were not as promising, indicating that a minimum NOx concentration of 3950 ppmv is achievable at 3344°F.

Numerical Methods for Pricing American Options with Time-Fractional PDE Models

Directory of Open Access Journals (Sweden)

Zhiqiang Zhou

2016-01-01

Full Text Available In this paper we develop a Laplace transform method and a finite difference method for solving American option pricing problem when the change of the option price with time is considered as a fractal transmission system. In this scenario, the option price is governed by a time-fractional partial differential equation (PDE with free boundary. The Laplace transform method is applied to the time-fractional PDE. It then leads to a nonlinear equation for the free boundary (i.e., optimal early exercise boundary function in Laplace space. After numerically finding the solution of the nonlinear equation, the Laplace inversion is used to transform the approximate early exercise boundary into the time space. Finally the approximate price of the American option is obtained. A boundary-searching finite difference method is also proposed to solve the free-boundary time-fractional PDEs for pricing the American options. Numerical examples are carried out to compare the Laplace approach with the finite difference method and it is confirmed that the former approach is much faster than the latter one.

Climate change impacts and adaptation options for the Greek agriculture in 2021–2050: A monetary assessment

Directory of Open Access Journals (Sweden)

E. Georgopoulou

2017-01-01

Full Text Available The paper presents a quantitative assessment of mid-term (2021–2050 climate change impacts on and potential adaptation options for selected crops in Greece that are of importance in terms of their share in national agricultural production and gross value added. Central points in the assessment are the monetary evaluation of impacts and the cost-benefit analysis of adaptation options. To address local variability in current and future climate conditions, analysis is spatially disaggregated into geographical regions using as an input downscaled results from climatic models. For some crops (cereals, vegetables, pulses, grapevines, changes in future agricultural yields are assessed by means of agronomic simulation models, while for the rest crops changes are assessed through regression models. The expected effects on crop yields of a number of potential adaptation options are also investigated through the same models, and the costs and benefits of these options are also quantitatively assessed. The findings indicate that climate change may create winners and losers depending on their agricultural activity and location, while adaptation can mitigate adverse effects of climate change under cost-effective terms.

Radiological impacts of spent nuclear fuel management options. A comparative study

International Nuclear Information System (INIS)

2000-01-01

Given its potential significance for public health and the environment, the impact of radioactive releases during important steps of nuclear energy production must be considered when selecting among different fuel cycles. With this in mind, the OECD Nuclear Energy Agency (NEA) has undertaken a comparative study to the radiological impacts of two main fuel cycle options : one with and one without reprocessing of spent nuclear fuel. The study compares the respective impacts of the two options based on generic models and assumptions as well as actual data. It concludes that the difference between them is not significant. A wealth of recent data assembled and evaluated by an international expert team is provided in annex. (authors)

Exploring Modeling Options and Conversion of Average Response to Appropriate Vibration Envelopes for a Typical Cylindrical Vehicle Panel with Rib-stiffened Design

Science.gov (United States)

Harrison, Phil; LaVerde, Bruce; Teague, David

2009-01-01

Although applications for Statistical Energy Analysis (SEA) techniques are more widely used in the aerospace industry today, opportunities to anchor the response predictions using measured data from a flight-like launch vehicle structure are still quite valuable. Response and excitation data from a ground acoustic test at the Marshall Space Flight Center permitted the authors to compare and evaluate several modeling techniques available in the SEA module of the commercial code VA One. This paper provides an example of vibration response estimates developed using different modeling approaches to both approximate and bound the response of a flight-like vehicle panel. Since both vibration response and acoustic levels near the panel were available from the ground test, the evaluation provided an opportunity to learn how well the different modeling options can match band-averaged spectra developed from the test data. Additional work was performed to understand the spatial averaging of the measurements across the panel from measured data. Finally an evaluation/comparison of two conversion approaches from the statistical average response results that are output from an SEA analysis to a more useful envelope of response spectra appropriate to specify design and test vibration levels for a new vehicle.

Helping Working Parents: Child Care Options for Business.

Science.gov (United States)

North Carolina State Dept. of Administration, Raleigh.

Seven models representing the existing range of options of employer involvement in day care are described in this paper. The range of options are grouped into two categories: (1) company owned, operated, or subsidized child day care; and (2) employee assistance services, benefits, and policies. The models included in the first category are the…

Narrative scenario development based on cross-impact analysis for the evaluation of global-warming mitigation options

International Nuclear Information System (INIS)

Hayashi, Ayami; Tokimatsu, Koji; Yamamoto, Hiromi; Mori, Shunsuke

2006-01-01

Social, technological, economic and environmental issues should be considered comprehensively for the evaluation of global-warming mitigation options. Existing integrated assessment models include assessment of quantitative factors; however, these models do not explicitly consider interactions among qualitative factors in the background - for example, introductions of nuclear power stations interact with social acceptability. In this paper, we applied a technological forecasting method - the cross-impact method - which explicitly deals with the relationships among relevant factors, and we then developed narrative scenarios having consistency with qualitative social contexts. An example of developed scenarios in 2050, assuming the global population and the gross domestic product are the same as those of the A1 scenario of the IPCC Special Report on Emissions Scenarios, tells us that: (1) the Internet will be extensively used in all regions; (2) the global unified market will appear; (3) regional cultures will tend to converge; (4) long-term investments (of more than 30 years) will become difficult and therefore nuclear-power stations will not increase so remarkably; (5) the self-sufficient supply and diversification of primary energy sources will not progress so rapidly; and (6) due to the widespread use of the Internet, people will be more educated in global environmental issues and environmental costs will be more socially acceptable

Pricing and Hedging Quanto Options in Energy Markets

DEFF Research Database (Denmark)

Benth, Fred Espen; Lange, Nina; Myklebust, Tor Åge

approach we derive a closed form option pricing formula for energy quanto options, under the assumption that the underlying assets are log-normally distributed. Our approach encompasses several interesting cases, such as geometric Brownian motions and multifactor spot models. We also derive delta and gamma......In energy markets, the use of quanto options have increased significantly in the recent years. The payoff from such options are typically written on an underlying energy index and a measure of temperature and are suited for managing the joint price and volume risk in energy markets. Using an HJM...... expressions for hedging. Furthermore, we illustrate the use of our model by an empirical pricing exercise using NYMEX traded natural gas futures and CME traded Heating Degree Days futures for New York....

Pricing perpetual American options under multiscale stochastic elasticity of variance

International Nuclear Information System (INIS)

Yoon, Ji-Hun

2015-01-01

Highlights: • We study the effects of the stochastic elasticity of variance on perpetual American option. • Our SEV model consists of a fast mean-reverting factor and a slow mean-revering factor. • A slow scale factor has a very significant impact on the option price. • We analyze option price structures through the market prices of elasticity risk. - Abstract: This paper studies pricing the perpetual American options under a constant elasticity of variance type of underlying asset price model where the constant elasticity is replaced by a fast mean-reverting Ornstein–Ulenbeck process and a slowly varying diffusion process. By using a multiscale asymptotic analysis, we find the impact of the stochastic elasticity of variance on the option prices and the optimal exercise prices with respect to model parameters. Our results enhance the existing option price structures in view of flexibility and applicability through the market prices of elasticity risk

Robust Trajectory Option Set planning in CTOP based on Bayesian game model

KAUST Repository

Li, Lichun; Clarke, John-Paul; Feron, Eric; Shamma, Jeff S.

2017-01-01

The Federal Aviation Administration (FAA) rations capacity to reduce en route delay, especially those caused by bad weather. This is accomplished via Collaborative Trajectory Options Program (CTOP) which has been recently developed to provide a mechanism for flight operators to communicate their route preferences for each flight via a Trajectory Option Set (TOS), as well as a mechanism for the FAA to assign the best possible route within the set of trajectories in the TOS for a given flight, i.e. the route with the lowest adjusted cost after consideration of system constraints and the requirements of all flights. The routes assigned to an airline depend not only on the TOS's for its own flights but also on the TOS's of all other flights in the CTOP, which are unknown. This paper aims to provide a detailed algorithm for the airline to design its TOS plan which is robust to the uncertainties of its competitors' TOS's. To this purpose, we model the CTOP problem as a Bayesian game, and use Linear Program (LP) to compute the security strategy in the Bayesian game model. This security strategy guarantees the airline an upper bound on the sum of the assigned times. The numerical results demonstrate the robustness of the strategy, which is not achieved by any other tested strategy.

Robust Trajectory Option Set planning in CTOP based on Bayesian game model

KAUST Repository

Li, Lichun

2017-07-10

The Federal Aviation Administration (FAA) rations capacity to reduce en route delay, especially those caused by bad weather. This is accomplished via Collaborative Trajectory Options Program (CTOP) which has been recently developed to provide a mechanism for flight operators to communicate their route preferences for each flight via a Trajectory Option Set (TOS), as well as a mechanism for the FAA to assign the best possible route within the set of trajectories in the TOS for a given flight, i.e. the route with the lowest adjusted cost after consideration of system constraints and the requirements of all flights. The routes assigned to an airline depend not only on the TOS\\'s for its own flights but also on the TOS\\'s of all other flights in the CTOP, which are unknown. This paper aims to provide a detailed algorithm for the airline to design its TOS plan which is robust to the uncertainties of its competitors\\' TOS\\'s. To this purpose, we model the CTOP problem as a Bayesian game, and use Linear Program (LP) to compute the security strategy in the Bayesian game model. This security strategy guarantees the airline an upper bound on the sum of the assigned times. The numerical results demonstrate the robustness of the strategy, which is not achieved by any other tested strategy.

1992 Columbia River Salmon Flow Measures Options Analysis/EIS : Appendices.

Energy Technology Data Exchange (ETDEWEB)

1992-01-01

This Options Analysis/Environmental Impact Statement (OA/EIS) identifies, presents effects of, and evaluates the potential options for changing instream flow levels in efforts to increase salmon populations in the lower Columbia and Snake rivers. The potential actions would be implemented during 1992 to benefit juvenile and adult salmon during migration through eight run-of-river reservoirs. The Corps of Engineers (Corps) prepared this document in cooperation with the Bonneville Power Administration and the Bureau of Reclamation. The US Fish and Wildlife Service (FWS) is a participating agency. The text and appendices of the document describe the characteristics of 10 Federal projects and one private water development project in the Columbia River drainage basin. Present and potential operation of these projects and their effects on the salmon that spawn and rear in the Columbia and Snake River System are presented. The life history, status, and response of Pacific salmon to current environmental conditions are described. The document concludes with an evaluation of the potential effects that could result from implementing proposed actions. The conclusions are based on evaluation of existing data, utilization of numerical models, and application of logical inference. This volume contains the appendices.

1992 Columbia River salmon flow measures Options Analysis/EIS: Appendices

International Nuclear Information System (INIS)

1992-01-01

This Options Analysis/Environmental Impact Statement (OA/EIS) identifies, presents effects of, and evaluates the potential options for changing instream flow levels in efforts to increase salmon populations in the lower Columbia and Snake rivers. The potential actions would be implemented during 1992 to benefit juvenile and adult salmon during migration through eight run-of-river reservoirs. The Corps of Engineers (Corps) prepared this document in cooperation with the Bonneville Power Administration and the Bureau of Reclamation. The US Fish and Wildlife Service (FWS) is a participating agency. The text and appendices of the document describe the characteristics of 10 Federal projects and one private water development project in the Columbia River drainage basin. Present and potential operation of these projects and their effects on the salmon that spawn and rear in the Columbia and Snake River System are presented. The life history, status, and response of Pacific salmon to current environmental conditions are described. The document concludes with an evaluation of the potential effects that could result from implementing proposed actions. The conclusions are based on evaluation of existing data, utilization of numerical models, and application of logical inference. This volume contains the appendices

Modelling Pasture-based Automatic Milking System Herds: Grazeable Forage Options

Directory of Open Access Journals (Sweden)

M. R. Islam

2015-05-01

Full Text Available One of the challenges to increase milk production in a large pasture-based herd with an automatic milking system (AMS is to grow forages within a 1-km radius, as increases in walking distance increases milking interval and reduces yield. The main objective of this study was to explore sustainable forage option technologies that can supply high amount of grazeable forages for AMS herds using the Agricultural Production Systems Simulator (APSIM model. Three different basic simulation scenarios (with irrigation were carried out using forage crops (namely maize, soybean and sorghum for the spring-summer period. Subsequent crops in the three scenarios were forage rape over-sown with ryegrass. Each individual simulation was run using actual climatic records for the period from 1900 to 2010. Simulated highest forage yields in maize, soybean and sorghum- (each followed by forage rape-ryegrass based rotations were 28.2, 22.9, and 19.3 t dry matter/ha, respectively. The simulations suggested that the irrigation requirement could increase by up to 18%, 16%, and 17% respectively in those rotations in El-Niño years compared to neutral years. On the other hand, irrigation requirement could increase by up to 25%, 23%, and 32% in maize, soybean and sorghum based rotations in El-Nino years compared to La-Nina years. However, irrigation requirement could decrease by up to 8%, 7%, and 13% in maize, soybean and sorghum based rotations in La-Nina years compared to neutral years. The major implication of this study is that APSIM models have potentials in devising preferred forage options to maximise grazeable forage yield which may create the opportunity to grow more forage in small areas around the AMS which in turn will minimise walking distance and milking interval and thus increase milk production. Our analyses also suggest that simulation analysis may provide decision support during climatic uncertainty.

Modelling Pasture-based Automatic Milking System Herds: Grazeable Forage Options.

Science.gov (United States)

Islam, M R; Garcia, S C; Clark, C E F; Kerrisk, K L

2015-05-01

One of the challenges to increase milk production in a large pasture-based herd with an automatic milking system (AMS) is to grow forages within a 1-km radius, as increases in walking distance increases milking interval and reduces yield. The main objective of this study was to explore sustainable forage option technologies that can supply high amount of grazeable forages for AMS herds using the Agricultural Production Systems Simulator (APSIM) model. Three different basic simulation scenarios (with irrigation) were carried out using forage crops (namely maize, soybean and sorghum) for the spring-summer period. Subsequent crops in the three scenarios were forage rape over-sown with ryegrass. Each individual simulation was run using actual climatic records for the period from 1900 to 2010. Simulated highest forage yields in maize, soybean and sorghum- (each followed by forage rape-ryegrass) based rotations were 28.2, 22.9, and 19.3 t dry matter/ha, respectively. The simulations suggested that the irrigation requirement could increase by up to 18%, 16%, and 17% respectively in those rotations in El-Niño years compared to neutral years. On the other hand, irrigation requirement could increase by up to 25%, 23%, and 32% in maize, soybean and sorghum based rotations in El-Nino years compared to La-Nina years. However, irrigation requirement could decrease by up to 8%, 7%, and 13% in maize, soybean and sorghum based rotations in La-Nina years compared to neutral years. The major implication of this study is that APSIM models have potentials in devising preferred forage options to maximise grazeable forage yield which may create the opportunity to grow more forage in small areas around the AMS which in turn will minimise walking distance and milking interval and thus increase milk production. Our analyses also suggest that simulation analysis may provide decision support during climatic uncertainty.

Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model

DEFF Research Database (Denmark)

Christiansen, Charlotte; Hansen, Charlotte Strunk

2002-01-01

We analyze the empirical properties of the volatility implied in options on the 13-week US Treasury bill rate. These options have not been studied previously. It is shown that a European style put option on the interest rate is equivalent to a call option on a zero-coupon bond. We apply the LIBOR...

Evaluating options for balancing the water–electricity nexus in California: Part 2—Greenhouse gas and renewable energy utilization impacts

Energy Technology Data Exchange (ETDEWEB)

Tarroja, Brian; AghaKouchak, Amir; Sobhani, Reza; Feldman, David; Jiang, Sunny; Samuelsen, Scott, E-mail: gss@uci.edu

2014-11-01

A study was conducted to compare the technical potential and effectiveness of different water supply options for securing water availability in a large-scale, interconnected water supply system under historical and climate-change augmented inflow and demand conditions. Part 2 of the study focused on determining the greenhouse gas and renewable energy utilization impacts of different pathways to stabilize major surface reservoir levels. Using a detailed electric grid model and taking into account impacts on the operation of the water supply infrastructure, the greenhouse gas emissions and effect on overall grid renewable penetration level was calculated for each water supply option portfolio that successfully secured water availability from Part 1. The effects on the energy signature of water supply infrastructure were found to be just as important as that of the fundamental processes for each option. Under historical (baseline) conditions, many option portfolios were capable of securing surface reservoir levels with a net neutral or negative effect on emissions and a benefit for renewable energy utilization. Under climate change augmented conditions, however, careful selection of the water supply option portfolio was required to prevent imposing major emissions increases for the system. Overall, this analysis provided quantitative insight into the tradeoffs associated with choosing different pathways for securing California's water supply. - Highlights: • Part I presents a spatially and temporally resolved model of California’s surface reservoirs. • Part II presents GHG emissions and grid renewable penetration for water availability options. • In particular, the energy signature of water supply infrastructure is delineated. • Different pathways for securing California’s water supply are developed quantitatively. • Under baseline conditions, portfolios capable of securing surface reservoir levels emerge. • Under climate change conditions, the

Evaluating options for balancing the water–electricity nexus in California: Part 2—Greenhouse gas and renewable energy utilization impacts

International Nuclear Information System (INIS)

Tarroja, Brian; AghaKouchak, Amir; Sobhani, Reza; Feldman, David; Jiang, Sunny; Samuelsen, Scott

2014-01-01

A study was conducted to compare the technical potential and effectiveness of different water supply options for securing water availability in a large-scale, interconnected water supply system under historical and climate-change augmented inflow and demand conditions. Part 2 of the study focused on determining the greenhouse gas and renewable energy utilization impacts of different pathways to stabilize major surface reservoir levels. Using a detailed electric grid model and taking into account impacts on the operation of the water supply infrastructure, the greenhouse gas emissions and effect on overall grid renewable penetration level was calculated for each water supply option portfolio that successfully secured water availability from Part 1. The effects on the energy signature of water supply infrastructure were found to be just as important as that of the fundamental processes for each option. Under historical (baseline) conditions, many option portfolios were capable of securing surface reservoir levels with a net neutral or negative effect on emissions and a benefit for renewable energy utilization. Under climate change augmented conditions, however, careful selection of the water supply option portfolio was required to prevent imposing major emissions increases for the system. Overall, this analysis provided quantitative insight into the tradeoffs associated with choosing different pathways for securing California's water supply. - Highlights: • Part I presents a spatially and temporally resolved model of California’s surface reservoirs. • Part II presents GHG emissions and grid renewable penetration for water availability options. • In particular, the energy signature of water supply infrastructure is delineated. • Different pathways for securing California’s water supply are developed quantitatively. • Under baseline conditions, portfolios capable of securing surface reservoir levels emerge. • Under climate change conditions, the

Comparative assessment of electricity generation options for Mexico

International Nuclear Information System (INIS)

Cecilia, Martin Del Campo; Francois, Juan Luis

2009-01-01

This paper presents an approach to the evaluation of sustainability of energy options for the electricity generation in Mexico. The study evaluated technologies that could be planned in the short term because their high maturity. The purpose was to rank the energy options based on the evaluation of a set of criteria grouped in impact areas for each dimension of the sustainability: economic, environmental and social. Obviously, no single technology exhibited superior performance on the basis of all the criteria and it was necessary to apply a mult criteria decision analysis (MCDA). In total this study all the decision elements were combined and integrated in an inference fuzzy logic system that takes into account the weights of different indicators. The methodology was applied to compare five technologies based on wind, nuclear, natural gas, coal, hydro and oil resources under the current Mexican conditions. In view of the features of the energy options, oil and gas are subject to limited energy resources. Coal and oil show relatively unfavorable ecological and accident risk characteristics. Gas is by far the option with the best performance among the fossil fuel options. In the case of nuclear energy, the economic, environmental and health indicators are highly favorable, however, social indicators for nuclear energy are unfavorable but they are also very controversial and additional studies must be carried out. The global sustainability of hydro, nuclear, wind and natural gas resulted very close; so these energy options must be considered in the generation expansion planning studies to search the expansion plans with the better combination of generation, energetic diversification and emissions, between other criteria

A decision methodology for the evaluation of mixed low-level radioactive waste management options for DOE sites

Energy Technology Data Exchange (ETDEWEB)

Bassi, J. [Dept. of Energy, Washington, DC (United States); Abashian, M.S.; Chakraborti, S.; Devarakonda, M.; Djordjevic, S.M. [IT Corp., Albuquerque, NM (United States)

1993-03-01

Currently, many DOE sites are developing site-specific solutions to manage their mixed low-level wastes. These site-specific MLLW programs often result in duplication of efforts between the different sites, and consequently, inefficient use of DOE system resources. A nationally integrated program for MLLW eliminates unnecessary duplication of effort, but requires a comprehensive analysis of waste management options to ensure that all site issues are addressed. A methodology for comprehensive analysis of the complete DOE MLLW system is being developed by DOE-HQ to establish an integrated and standardized solution for managing MLLW. To be effective, the comprehensive systems analysis must consider all aspects of MLLW management from cradle-to-grave (i.e. from MLLW generation to disposal). The results of the analysis will include recommendations for alternative management options for the complete DOE MLLW system based on various components such as effectiveness, cost, health and safety risks, and the probability of regulatory acceptance for an option. Because of the diverse nature of these various components and the associated difficulties in comparing between them, a decision methodology is being developed that will integrate the above components into a single evaluation scheme for performing relative comparisons between different MLLW management options. The remainder of this paper provides an overview of the roles and responsibilities of the various participants of the DOE MLLW Program, and discusses in detail the components involved in the development of the decision methodology for a comprehensive systems analysis.

Nevada Transportation Options Study

International Nuclear Information System (INIS)

P. GEHNER; E.M. WEAVER; L. FOSSUM

2006-01-01

of rail is restricted to approximately twelve, without upgrading public highways. There is high uncertainty as to what road upgrades and security/escorts the Nevada Department of Transportation would require to obtain an overweight/overdimensional permit. In addition, the Naval Nuclear Propulsion Program has indicated that a larger cask weight than that analyzed in the Final Environmental Impact Statement may be required for naval shipments, resulting in additional costs for heavy-haul transport. These uncertainties result in a high cost and schedule risk. Option 3 assumes that the start of rail construction will be delayed until after construction authorization is received from the Nuclear Regulatory Commission. Similar to Option 2, Option 3 uses legal-weight truck shipments and limited heavy haul truck shipments to meet the same initial waste receipt rates as Option 1, until rail becomes available. By using heavy-haul truck for two years, Option 3 contains the same uncertainties and resultant high cost and schedule risk as Option 2. The cost and schedule of legal-weight truck transport are not included in this report as that will be evaluated in the report on national transportation

20 CFR 416.2035 - Optional supplementation: Additional State options.

Science.gov (United States)

2010-04-01

... 20 Employees' Benefits 2 2010-04-01 2010-04-01 false Optional supplementation: Additional State options. 416.2035 Section 416.2035 Employees' Benefits SOCIAL SECURITY ADMINISTRATION SUPPLEMENTAL... § 416.2035 Optional supplementation: Additional State options. (a) Residency requirement. A State or...

Completion of Population of and Quality Assurance on the Nuclear Fuel Cycle Options Catalog.

Energy Technology Data Exchange (ETDEWEB)

Price, Laura L. [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Barela, Amanda Crystal [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Walkow, Walter M. [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Schetnan, Richard Reed [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Arnold, Matthew Brian [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)

2015-12-01

An Evaluation and Screening team supporting the Fuel Cycle Technologies Program Office of the United States Department of Energy, Office of Nuclear Energy is conducting an evaluation and screening of a comprehensive set of fuel cycle options. These options have been assigned to one of 40 evaluation groups, each of which has a representative fuel cycle option [Todosow 2013]. A Fuel Cycle Data Package System Datasheet has been prepared for each representative fuel cycle option to ensure that the technical information used in the evaluation is high-quality and traceable [Kim, et al., 2013]. The information contained in the Fuel Cycle Data Packages has been entered into the Nuclear Fuel Cycle Options Catalog at Sandia National Laboratories so that it is accessible by the evaluation and screening team and other interested parties. In addition, an independent team at Savannah River National Laboratory has verified that the information has been entered into the catalog correctly. This report documents that the 40 representative fuel cycle options have been entered into the Catalog, and that the data entered into the catalog for the 40 representative options has been entered correctly.

Compound Option Pricing under Fuzzy Environment

Directory of Open Access Journals (Sweden)

Xiandong Wang

2014-01-01

Full Text Available Considering the uncertainty of a financial market includes two aspects: risk and vagueness; in this paper, fuzzy sets theory is applied to model the imprecise input parameters (interest rate and volatility. We present the fuzzy price of compound option by fuzzing the interest and volatility in Geske’s compound option pricing formula. For each α, the α-level set of fuzzy prices is obtained according to the fuzzy arithmetics and the definition of fuzzy-valued function. We apply a defuzzification method based on crisp possibilistic mean values of the fuzzy interest rate and fuzzy volatility to obtain the crisp possibilistic mean value of compound option price. Finally, we present a numerical analysis to illustrate the compound option pricing under fuzzy environment.

Multiperiod Production and Ordering Policies for a Retailer-Led Supply Chain through Option Contracts

Directory of Open Access Journals (Sweden)

Nana Wan

2018-01-01

Full Text Available This paper formulates two groups of multiperiod production and ordering models with call and bidirectional option contracts for a two-party supply chain consisting of one followed supplier and one dominant retailer, respectively. Based on dynamic programming theory, we characterize the optimal policy structures for two partners in each period. We also provide an approximation for the corresponding policy parameters evaluation in two cases. Then, we investigate the impacts of different option contracts and the demand risk on the decisions and performances of two members. Our results suggest that, whether concerning call or bidirectional option contracts, the optimal policies for two members always follow a base stock type. When the price parameters are the same for different option contracts, the service levels of both the system and the retailer are higher with call option contracts than with bidirectional ones, whereas the retailer’s inventory risk is lower with bidirectional option contracts than with call ones. Under the same conditions stated above, call option contracts can always benefit the supplier, but not the retailer. Owing to the retailer’s dominant position, call option contracts are better choice for the supply chain if the option (exercise price is low (high, while bidirectional option contracts are more suitable choice for the supply chain if the option (exercise price is high (low. In addition, an increase in the demand risk would prompt the supplier to increase his production quantity and the retailer to reduce the initial firm order quantity, either with call or bidirectional option contracts.

"An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates"

OpenAIRE

Akihiko Takahashi; Kohta Takehara

2007-01-01

This paper proposes an asymptotic expansion scheme of currency options with a libor market model of interest rates and stochastic volatility models of spot exchange rates. In particular, we derive closed-form approximation formulas for the density functions of the underlying assets and for pricing currency options based on the third order asymptotic expansion scheme; we do not model a foreign exchange rate's variance such as in Heston[1993], but its volatility that follows a general time-inho...

Evaluation of waste management options in view of long-term maintenance-free landfills

International Nuclear Information System (INIS)

Brunner, P.H.; Doeberl, G.; Huber, R.; Eder, M.; Pierrard, R.; Schoenbaeck, W.; Fruehwirth, W.; Hutterer, H.; Woeginger, H.

2001-01-01

The present case study compares and evaluates different waste management options with special consideration to their long-term implications. Multiple scenarios of these options were created and investigated as to which of term best fulfilled the goals of the Austrian waste management act (Abfallwirtschaftgesetz, AWG). Serving as a basis for this study, an elaborated model of the Austrian waste management, as described in GUA and IFIP (1998, 'Management of Household and Household-like Waste in Austria'), was used. Alterations to the GUA and IFIP study were done in order to best fulfill the needs of this assessment. Household and household-like waste, as well as municipal sewage sludge have been defined as the system input. The following list of scenarios were investigated against an up-dated status-quo (P0): M1 maximum landfilling of untreated waste; M2a maximum incineration without any after treatment; M2b maximum incineration with cement stabilization of the residual material; M2c maximum high temperature process; M3a maximum mechanical-biological treatment with the light fraction from sorting and splitting processed in a fluidized-bed furnace; M3b maximum mechanical-biological treatment with the light fraction from sorting and splitting processed in a rotary kiln for use in the cement industry; M3c maximum mechanical-biological treatment with the high caloric heavy fraction after decomposition processed in a fluidized-bed furnace; M3d maximum mechanical-biological treatment with the high caloric heavy fraction after decomposition processed in a rotary kiln for use in the cement industry. In order to oblige to the precautionary principle of the AWG, each of the scenarios were investigated, with regards to the short, middle, and long-term landfills behaviors of the deposited residual material. The macro-economical Cost-Benefit-Analysis (CBA) was used in the assessment. Additionally a so-called 'modified-Cost-Effect-Analysis' (MCEA) was developed. Unlike the

Option pricing with COS method on Graphics Processing Units

NARCIS (Netherlands)

B. Zhang (Bo); C.W. Oosterlee (Kees)

2009-01-01

htmlabstractIn this paper, acceleration on the GPU for option pricing by the COS method is demonstrated. In particular, both European and Bermudan options will be discussed in detail. For Bermudan options, we consider both the Black-Scholes model and Levy processes of infinite activity. Moreover,

Currency lookback options and observation frequency: A binomial approach

NARCIS (Netherlands)

T.H.F. Cheuk; A.C.F. Vorst (Ton)

1997-01-01

textabstractIn the last decade, interest in exotic options has been growing, especially in the over-the-counter currency market. In this paper we consider Iookback currency options, which are path-dependent. We show that a one-state variable binomial model for currency Iookback options can

Modeling, Simulation and Performance Evaluation of Parabolic Trough

African Journals Online (AJOL)

Mekuannint

Heat Transfer Fluid (HTF); TRNSYS power plant model; STEC library; Solar Advisor Model (SAM);. TRNSYS solar field model; Solar Electric. Generation System (SEGS). INTRODUCTION. Parabolic troughs are currently most used means of power generation option of solar sources. Solar electric generation systems (SEGs) ...

Closed-form pricing formula for exchange option with credit risk

International Nuclear Information System (INIS)

Kim, Geonwoo; Koo, Eunho

2016-01-01

In this paper, we study the valuation of Exchange option with credit risk. Since the over-the-counter (OTC) markets have grown rapidly in size, the counterparty default risk is very important and should be considered for the valuation of options. For modeling of credit risk, we use the structural model of Klein [13]. We derive the closed-form pricing formula for the price of the Exchange option with credit risk via the Mellin transform and provide the experiment results to illustrate the important properties of option with numerical graphs.

Evaluating options for sustainable energy mixes in South Korea using scenario analysis

International Nuclear Information System (INIS)

Hong, Sanghyun; Bradshaw, Corey J.A.; Brook, Barry W.

2013-01-01

To mitigate greenhouse gas emissions, coal-fired electricity infrastructure needs to be replaced by low-carbon electricity generation options. Here we examine a range of possible alternative scenarios for sustainable electricity generation in South Korea, considering both physical and economic limits of current technologies. The results show that South Korea cannot achieve a 100% renewable energy mix and requires at least 55 GW of backup capacity. Given that constraint, we modelled seven scenarios: (i) the present condition, (ii) the First National Electricity Plan configuration, (iii) renewable energy (including 5 GW photovoltaic) with fuel cells or (iv) natural gas backup, (v) maximum renewable energy (including 75 GW photovoltaic) with natural gas, (vi) maximum nuclear power, and (vii) nuclear power with natural gas. We then quantify levelised cost of electricity, energy security, greenhouse gas emissions, fresh water consumption, heated water discharge, land transformation, air pollutant emissions, radioactive waste disposal, solid waste disposal and safety issues for each modelled mix. Our analysis shows that the maximum nuclear power scenario yields the fewest overall negative impacts, and the maximum renewable energy scenario with fuel cells would have the highest negative impacts. - Highlights: ► Due to physical limits of renewable sources, renewable energy cannot provide total electricity consumption in South Korea. ► A massive expansion of solar power will act to save only a small amount of backup fuel at greatly increased costs. ► A huge supply of natural gas capacity is essential, due to the absence of feasible large-scale energy storage. ► A pathway to maximize renewable energy causes more environmental and economic disadvantages than the status quo. ► Maximizing nuclear power is the most sustainable option for South Korea

Evaluation of food waste disposal options by LCC analysis from the perspective of global warming: Jungnang case, South Korea

International Nuclear Information System (INIS)

Kim, Mi-Hyung; Song, Yul-Eum; Song, Han-Byul; Kim, Jung-Wk; Hwang, Sun-Jin

2011-01-01

Highlights: → Various food waste disposal options were evaluated from the perspective of global warming. → Costs of the options were compared by the methodology of life cycle assessment and life cycle cost analysis. → Carbon price and valuable by-products were used for analyzing environmental credits. → The benefit-cost ratio of wet feeding scenario was the highest. - Abstract: The costs associated with eight food waste disposal options, dry feeding, wet feeding, composting, anaerobic digestion, co-digestion with sewage sludge, food waste disposer, incineration, and landfilling, were evaluated in the perspective of global warming and energy and/or resource recovery. An expanded system boundary was employed to compare by-products. Life cycle cost was analyzed through the entire disposal process, which included discharge, separate collection, transportation, treatment, and final disposal stages, all of which were included in the system boundary. Costs and benefits were estimated by an avoided impact. Environmental benefits of each system per 1 tonne of food waste management were estimated using carbon prices resulting from CO 2 reduction by avoided impact, as well as the prices of by-products such as animal feed, compost, and electricity. We found that the cost of landfilling was the lowest, followed by co-digestion. The benefits of wet feeding systems were the highest and landfilling the lowest.

American option pricing with stochastic volatility processes

Directory of Open Access Journals (Sweden)

Ping LI

2017-12-01

Full Text Available In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are analyzed and discussed. In view of the fact that there is no analytical American option pricing formula, through the space discretization parameters, the stochastic partial differential equation satisfied by American options with Heston stochastic volatility is transformed into the corresponding differential equations, and then using high order compact finite difference method, numerical solutions are obtained for the option price. The numerical experiments are carried out to verify the theoretical results and simulation. The two kinds of optimal exercise boundaries under the conditions of the constant volatility and the stochastic volatility are compared, and the results show that the optimal exercise boundary also has stochastic volatility. Under the setting of parameters, the behavior and the nature of volatility are analyzed, the volatility curve is simulated, the calculation results of high order compact difference method are compared, and the numerical option solution is obtained, so that the method is verified. The research result provides reference for solving the problems of option pricing under stochastic volatility such as multiple underlying asset option pricing and barrier option pricing.

Pricing and Hedging Quanto Options in Energy Markets

DEFF Research Database (Denmark)

Benth, Fred Espen; Lange, Nina; Myklebust, Tor Åge

2015-01-01

–Jarrow–Morton approach, we derive a closed-form option pricing formula for energy quanto options under the assumption that the underlying assets are lognormally distributed. Our approach encompasses several interesting cases, such as geometric Brownian motions and multifactor spot models. We also derive Delta and Gamma......In energy markets, the use of quanto options has increased significantly in recent years. The payoff from such options are typically written on an underlying energy index and a measure of temperature. They are suited to managing the joint price and volume risk in energy markets. Using a Heath...... expressions for hedging. Further, we illustrate the use of our model by an empirical pricing exercise using NewYork Mercantile Exchange-traded natural gas futures and Chicago Mercantile Exchange-traded heating degree days futures for NewYork....

Design of Training Systems (DOTS) Project: Test and Evaluation of Phase II Models

Science.gov (United States)

1976-04-01

when the process being modeled is very much dependent upon human resoarces, precise requirement formulas are usually V unavailable. In this...mixed integer formulation options. The SGRR, in a sense, is an automiation of what is cu~rrently beinig donec men~tall y by instructors and trai ninrg nv...test and evaluation (T&E); information concerning CNETS LCDR R. J. Biersner Human Factors Analysis, N-214 AV 922-1392 CNTECHTRA CDR J. D. Davis

Comparison between three option, four option and five option multiple choice question tests for quality parameters: A randomized study.

Science.gov (United States)

Vegada, Bhavisha; Shukla, Apexa; Khilnani, Ajeetkumar; Charan, Jaykaran; Desai, Chetna

2016-01-01

Most of the academic teachers use four or five options per item of multiple choice question (MCQ) test as formative and summative assessment. Optimal number of options in MCQ item is a matter of considerable debate among academic teachers of various educational fields. There is a scarcity of the published literature regarding the optimum number of option in each item of MCQ in the field of medical education. To compare three options, four options, and five options MCQs test for the quality parameters - reliability, validity, item analysis, distracter analysis, and time analysis. Participants were 3 rd semester M.B.B.S. students. Students were divided randomly into three groups. Each group was given one set of MCQ test out of three options, four options, and five option randomly. Following the marking of the multiple choice tests, the participants' option selections were analyzed and comparisons were conducted of the mean marks, mean time, validity, reliability and facility value, discrimination index, point biserial value, distracter analysis of three different option formats. Students score more ( P = 0.000) and took less time ( P = 0.009) for the completion of three options as compared to four options and five options groups. Facility value was more ( P = 0.004) in three options group as compared to four and five options groups. There was no significant difference between three groups for the validity, reliability, and item discrimination. Nonfunctioning distracters were more in the four and five options group as compared to three option group. Assessment based on three option MCQs is can be preferred over four option and five option MCQs.

Evaluation of electromagnetic loads on various design options of the ITER diagnostic upper port plug during plasma disruptions

International Nuclear Information System (INIS)

Pak, Sunil; Ku, Duck Young; Oh, Dong-Keun; Jhang, Hogun; Kim, Duck-Hoi; Cheon, Mun-Seong; Seon, Chang Rae; Lee, Hyeon Gon; Pitcher, Spencer

2011-01-01

Electromagnetic (EM) loads due to eddy current and halo current during plasma disruptions are evaluated for the ITER diagnostic upper port plug. To reduce strong EM loads acting on the port plug fixed to the vacuum vessel like a cantilever beam, three design options have been considered: removal of the diagnostic first wall, slitting of the diagnostic shield module and recess of the port plug. The main focus of the present study is to examine the efficacy of these options in terms of EM loads on the upper port plug. It is found that making slits is more effective than removing the first wall. It is also shown that the upper port plug needs to be recessed to reduce the EM load induced by halo current.

A rational approach for evaluation and screening of treatment and disposal options for the solar pond sludges at Rocky Flats

International Nuclear Information System (INIS)

Dickerson, K.S.

1995-01-01

This document consists of information about the treatment options for the sludge that is located in the evaporation ponds at the Rocky Flats Plant. The sludges are mixed low-level radioactive wastes whose composition and character were variable. Sludges similar to these are typically treated prior to ultimate disposal. Disposal of treated sludges includes both on-site and off-site options. The rational approach described in this paper is useful for technology evaluation and screening because it provides a format for developing objectives, listing alternatives, and weighing the alternatives against the objectives and against each other

A rational approach for evaluation and screening of treatment and disposal options for the solar pond sludges at Rocky Flats

Energy Technology Data Exchange (ETDEWEB)

Dickerson, K.S.

1995-12-31

This document consists of information about the treatment options for the sludge that is located in the evaporation ponds at the Rocky Flats Plant. The sludges are mixed low-level radioactive wastes whose composition and character were variable. Sludges similar to these are typically treated prior to ultimate disposal. Disposal of treated sludges includes both on-site and off-site options. The rational approach described in this paper is useful for technology evaluation and screening because it provides a format for developing objectives, listing alternatives, and weighing the alternatives against the objectives and against each other.

Public health economic evaluation of different European Union-level policy options aimed at reducing population dietary trans fat intake.

Science.gov (United States)

Martin-Saborido, Carlos; Mouratidou, Theodora; Livaniou, Anastasia; Caldeira, Sandra; Wollgast, Jan

2016-11-01

The adverse relation between dietary trans fatty acid (TFA) intake and coronary artery disease risk is well established. Many countries in the European Union (EU) and worldwide have implemented different policies to reduce the TFA intake of their populations. The aim of this study was to assess the added value of EU-level action by estimating the cost-effectiveness of 3 possible EU-level policy measures to reduce population dietary TFA intake. This was calculated against a reference situation of not implementing any EU-level policy (i.e., by assuming only national or self-regulatory measures). We developed a mathematical model to compare different policy options at the EU level: 1) to do nothing beyond the current state (reference situation), 2) to impose mandatory TFA labeling of prepackaged foods, 3) to seek voluntary agreements toward further reducing industrially produced TFA (iTFA) content in foods, and 4) to impose a legislative limit for iTFA content in foods. The model indicated that to impose an EU-level legal limit or to make voluntary agreements may, over the course of a lifetime (85 y), avoid the loss of 3.73 and 2.19 million disability-adjusted life-years (DALYs), respectively, and save >51 and 23 billion euros when compared with the reference situation. Implementing mandatory TFA labeling can also avoid the loss of 0.98 million DALYs, but this option incurs more costs than it saves compared with the reference option. The model indicates that there is added value of an EU-level action, either via a legal limit or through voluntary agreements, with the legal limit option producing the highest additional health benefits. Introducing mandatory TFA labeling for the EU common market may provide some additional health benefits; however, this would likely not be a cost-effective strategy.

Index options : Pricing, implied densities and returns

NARCIS (Netherlands)

Boes, M.J.

2006-01-01

Chapter 2 gives an overview of the literature that is directly related to the topics studied in this thesis. In Chapter 3 the impact of overnight periods on option prices is examined by estimating an option pricing model that takes overnight closures of exchanges explicitly into account. Chapter 4

Options for rural electrification in Mexico

International Nuclear Information System (INIS)

Vera, J.G.

1992-01-01

This paper summarizes a study which examined 19 commercially available options for electrifying remote communities in Mexico. Characteristics of a typical community are defined and, using 7 of the technologies, power systems are designed capable of supporting this community. The performance of these systems is evaluated with respect to their ability to satisfy 11 technical design objectives, 5 socioeconomic objectives, and their impact on the environment. A photovoltaic- diesel generator hybrid system with wind generator option is recommended for the typical community

Short-Term Market Risks Implied by Weekly Options

DEFF Research Database (Denmark)

Andersen, Torben Gustav; Fusari, Nicola; Todorov, Viktor

a direct way to study volatility and jump risks. Unlike longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment. Adopting a novel semi-nonparametric approach, we uncover variation in the negative jump tail risk which is not spanned by market......We study short-term market risks implied by weekly S&P 500 index options. The introduction of weekly options has dramatically shifted the maturity profile of traded options over the last five years, with a substantial proportion now having expiry within one week. Such short-dated options provide......" by the level of market volatility and elude standard asset pricing models....

Description and Evaluation of IAP-AACM: A Global-regional Aerosol Chemistry Model for the Earth System Model CAS-ESM

Science.gov (United States)

Wei, Y.; Chen, X.

2017-12-01

We present a first description and evaluation of the IAP Atmospheric Aerosol Chemistry Model (IAP-AACM) which has been integrated into the earth system model CAS-ESM. In this way it is possible to research into interaction of clouds and aerosol by its two-way coupling with the IAP Atmospheric General Circulation Model (IAP-AGCM). The model has a nested global-regional grid based on the Global Environmental Atmospheric Transport Model (GEATM) and the Nested Air Quality Prediction Modeling System (NAQPMS). The AACM provides two optional gas chemistry schemes, the CBM-Z gas chemistry as well as a sulfur oxidize box designed specifically for the CAS-ESM. Now the model driven by AGCM has been applied to a 1-year simulation of tropospheric chemistry both on global and regional scales for 2014, and been evaluated against various observation datasets, including aerosol precursor gas concentration, aerosol mass and number concentrations. Furthermore, global budgets in AACM are compared with other global aerosol models. Generally, the AACM simulations are within the range of other global aerosol model predictions, and the model has a reasonable agreement with observations of gases and particles concentration both on global and regional scales.

Options for reclaiming the Gunnar uranium tailings, Saskatchewan, Canada

International Nuclear Information System (INIS)

Lawson, D.W.

1986-01-01

This paper discusses potential reclamation options and outlines further associated studies. Research is continuing and none of the options are as yet under consideration for implementation. Final selection could also require integrated planning involving an environmental impact assessment, pathways analyses and cost benefit evaluations

Option Valuation with Observable Volatility and Jump Dynamics

DEFF Research Database (Denmark)

Christoffersen, Peter; Feunoua, Bruno; Jeon, Yoontae

Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...

Option Valuation with Observable Volatility and Jump Dynamics

DEFF Research Database (Denmark)

Christoffersen, Peter; Feunoua, Bruno; Jeon, Yoontae

2015-01-01

Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...

A scenario analysis of future energy systems based on an energy flow model represented as functionals of technology options

International Nuclear Information System (INIS)

Kikuchi, Yasunori; Kimura, Seiichiro; Okamoto, Yoshitaka; Koyama, Michihisa

2014-01-01

Highlights: • Energy flow model was represented as the functionals of technology options. • Relationships among available technologies can be visualized by developed model. • Technology roadmapping can be incorporated into the model as technical scenario. • Combination of technologies can increase their contribution to the environment. - Abstract: The design of energy systems has become an issue all over the world. A single optimal system cannot be suggested because the availability of infrastructure and resources and the acceptability of the system should be discussed locally, involving all related stakeholders in the energy system. In particular, researchers and engineers of technologies related to energy systems should be able to perform the forecasting and roadmapping of future energy systems and indicate quantitative results of scenario analyses. We report an energy flow model developed for analysing scenarios of future Japanese energy systems implementing a variety of feasible technology options. The model was modularized and represented as functionals of appropriate technology options, which enables the aggregation and disaggregation of energy systems by defining functionals for single technologies, packages integrating multi-technologies, and mini-systems such as regions implementing industrial symbiosis. Based on the model, the combinations of technologies on both energy supply and demand sides can be addressed considering not only the societal scenarios such as resource prices, economic growth and population change but also the technical scenarios including the development and penetration of energy-related technologies such as distributed solid oxide fuel cells in residential sectors and new-generation vehicles, and the replacement and shift of current technologies such as heat pumps for air conditioning and centralized power generation. The developed model consists of two main modules; namely, a power generation dispatching module for the

Perpetual American options within CTRWs

Science.gov (United States)

Montero, Miquel

2008-06-01

Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time. Our approach leads to option prices that fulfill financial formulas when canonical assumptions on the dynamics governing the process are made, but it is still suitable for more exotic market conditions.

Perpetual American options within CTRW's

OpenAIRE

Montero, Miquel

2007-01-01

Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time. Our approach leads to option prices that fulfil financial formulas when canonical assumptions on the dynamics governing the process are made, but it is still suitable for more exotic market conditions.

Scope Complexity Options Risks Excursions (SCORE) Version 3.0 Mathematical Description.

Energy Technology Data Exchange (ETDEWEB)

Gearhart, Jared Lee [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Samberson, Jonell Nicole [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Shettigar, Subhasini [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Jungels, John [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Welch, Kimberly M. [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Jones, Dean A. [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)

2017-03-01

The purpose of the Scope, Complexity, Options, Risks, Excursions (SCORE) model is to estimate the relative complexity of design variants of future warhead options. The results of this model allow those considering these options to understand the complexity tradeoffs between proposed warhead options. The core idea of SCORE is to divide a warhead option into a well- defined set of scope elements and then estimate the complexity of each scope element against a well understood reference system. The uncertainty associated with estimates can also be captured. A weighted summation of the relative complexity of each scope element is used to determine the total complexity of the proposed warhead option or portions of the warhead option (i.e., a National Work Breakdown Structure code). The SCORE analysis process is a growing multi-organizational Nuclear Security Enterprise (NSE) effort, under the management of the NA- 12 led Enterprise Modeling and Analysis Consortium (EMAC), that has provided the data elicitation, integration and computation needed to support the out-year Life Extension Program (LEP) cost estimates included in the Stockpile Stewardship Management Plan (SSMP).

Implied Stopping Rules for American Basket Options from Markovian Projection

KAUST Repository

Bayer, Christian; Hä ppö lä , Juho; Tempone, Raul

2017-01-01

This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and the Black-Scholes models. In high dimensions, nonlinear partial differential equation methods for solving the problem become prohibitively costly due to the curse of dimensionality. Instead, this work proposes to use a stopping rule that depends on the dynamics of a low-dimensional Markovian projection of the given basket of assets. It is shown that the ability to approximate the original value function by a lower-dimensional approximation is a feature of the dynamics of the system and is unaffected by the path-dependent nature of the American basket option. Assuming that we know the density of the forward process and using the Laplace approximation, we first efficiently evaluate the diffusion coefficient corresponding to the low-dimensional Markovian projection of the basket. Then, we approximate the optimal early-exercise boundary of the option by solving a Hamilton-Jacobi-Bellman partial differential equation in the projected, low-dimensional space. The resulting near-optimal early-exercise boundary is used to produce an exercise strategy for the high-dimensional option, thereby providing a lower bound for the price of the American basket option. A corresponding upper bound is also provided. These bounds allow to assess the accuracy of the proposed pricing method. Indeed, our approximate early-exercise strategy provides a straightforward lower bound for the American basket option price. Following a duality argument due to Rogers, we derive a corresponding upper bound solving only the low-dimensional optimal control problem. Numerically, we show the feasibility of the method using baskets with dimensions up to fifty. In these examples, the resulting option price relative errors are only of the order of few percent.

Implied Stopping Rules for American Basket Options from Markovian Projection

KAUST Repository

Bayer, Christian

2017-05-01

This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and the Black-Scholes models. In high dimensions, nonlinear partial differential equation methods for solving the problem become prohibitively costly due to the curse of dimensionality. Instead, this work proposes to use a stopping rule that depends on the dynamics of a low-dimensional Markovian projection of the given basket of assets. It is shown that the ability to approximate the original value function by a lower-dimensional approximation is a feature of the dynamics of the system and is unaffected by the path-dependent nature of the American basket option. Assuming that we know the density of the forward process and using the Laplace approximation, we first efficiently evaluate the diffusion coefficient corresponding to the low-dimensional Markovian projection of the basket. Then, we approximate the optimal early-exercise boundary of the option by solving a Hamilton-Jacobi-Bellman partial differential equation in the projected, low-dimensional space. The resulting near-optimal early-exercise boundary is used to produce an exercise strategy for the high-dimensional option, thereby providing a lower bound for the price of the American basket option. A corresponding upper bound is also provided. These bounds allow to assess the accuracy of the proposed pricing method. Indeed, our approximate early-exercise strategy provides a straightforward lower bound for the American basket option price. Following a duality argument due to Rogers, we derive a corresponding upper bound solving only the low-dimensional optimal control problem. Numerically, we show the feasibility of the method using baskets with dimensions up to fifty. In these examples, the resulting option price relative errors are only of the order of few percent.

Payout phase in DC pension funds – policy option - Theoretical considerations and Albanian available options

Directory of Open Access Journals (Sweden)

Enkeleda Shehi

2015-11-01

Full Text Available The aim of this paper is to provide a brief overview of the third pillar of pensions in Albania and what are the different alternatives related to the payout. Referring to the actual development of this market in Albania, experience of the actors involved, I find it indispensable and necessary to provide some theoretical background and considerations, and then build up a simple model of projection of a pension scheme cost and a model for payout alternatives for the Albanian pension funds. A great deal of importance is shown towards posing the assumptions. Also, the paper gives an explanation about the differences among different payout options and suggests the best option for the existing pension funds in Albania. The best option represents my conclusion and recommendation for the actual third pillar of pensions and the others that might join latter. To sum up, the first conclusion of the paper is that the annuity option is the best alternative for the payout phase of the pensions. It has the advantage of providing the highest protection against the risk of longevity. The second conclusion is that based on other countries experiences, the annuity market have to be developed hand in hand with the pension system development. Therefore Albania should rely on and follow this experience.

Electricity price and Southern California's water supply options

Energy Technology Data Exchange (ETDEWEB)

Dale, Larry [Lawrence Berkeley National Laboratory, Camilla Dunham Whitehead, Andre Fargeix, Golden Gate Economics, 1 Cycltron Road, Berkeley, CA 94720 (United States)

2004-11-01

This paper evaluates the impact of fluctuating electricity prices on the cost of five options to increase the water supply to urban areas in Southern California-new surface storage, water purchases, desalination, wastewater recycling, and conservation.We show that the price of electricity required to produce and transport water influences the cost of water supply options and may alter the decision makers economic ranking of these options. When electricity prices are low, water purchase is the cost effective option. When prices exceed US$ 86/MWh, conservation of electricity and water through installation of high efficiency clothes washers is the most effective option.

Estimating spillover benefits of large R and D projects: Application of real options modelling approach to the case of thermonuclear fusion R and D programme

International Nuclear Information System (INIS)

Bednyagin, Denis; Gnansounou, Edgard

2012-01-01

This paper is focused on the analysis of spillover benefits of the ongoing R and D programme on thermonuclear fusion technology. The spillover effects are understood here as positive externalities of publicly funded R and D, demonstration and deployment (RDDD) activities that may be revealed at the companies' level in the form of newly created knowledge stock; development of innovative products/processes with broader market applications; strengthening of R and D, manufacturing and marketing capabilities; etc. An integrated compound real options model is proposed that allows to estimate the strategic net social present value of fusion RDDD programme taking into account the different types of spillover benefits along with the hidden real options value arising due to uncertainty and managerial flexibility. It was found that the value of spillover effects, modelled as “expansion option”, could represent a significant proportion of the overall socio-economic value of fusion RDDD programme (nearly 20%). This paper clearly demonstrates that, besides a high-level mission to assure sustainable energy supply, fusion RDDD programme may yield substantial net socio-economic benefits that may be at least two times higher compared to the expected RD and D costs, and hence the pursuit of even more ambitious programme is economically justified. - Highlights: ► Evaluate the strategic net social present value of fusion RDDD programme. ► Consider different types of spillover effects. ► Economic value of spillovers is estimated with a compound real options model. ► Spillover benefits could represent up to 20% of the value of fusion RDDD programme.

Selection of appropriate greenhouse gas mitigation options

Energy Technology Data Exchange (ETDEWEB)

Ramanathan, R. [Indira Ghandi Institute of Development Research, Mumbai (India)

1999-10-01

Greenhouse gas mitigation options help in reducing greenhouse gas emissions so as to avoid the adverse environmental impacts due to global warming/climate change. They have different characteristics when evaluated using different criteria. For example, some options may be very cost effective, while some may have an additional advantage of reducing local pollution. Hence, selection of these options, for consideration by a national government or by a funding agency, has to incorporate multiple criteria. In this paper, some important criteria relevant to the selection are discussed, and a multi-criteria methodology is suggested for making appropriate selection. The methodology, called the Analytic Hierarchy Process, is described using two illustrations. (author)

Analysis on one type of swing option in the energy market

International Nuclear Information System (INIS)

Mistry, Hetal A.

2005-01-01

In the Nordic electricity market most of the trading takes place in derivates and options. To describe these products theoretically one needs to have knowledge from stochastic analysis. This thesis will derive a price model for one type of swing option in energy market. The main aim of writing this thesis is to introduce coal power plant and how to approach the problem if such power plant is built in Norway. This thesis uses the approach where I start out with a model for the spot price of electricity and coal, and then derive theoretical option prices. I use a Schwartz process for model and Ornstein Uhlenbeck processes to model the spot prices for electricity and coal. This model also incorporates mean-reversion, which is an important aspect of energy prices. Historical data for the spot prices is used to estimate my variables in the Schwartz model. The main objectives of this thesis were to find the price for a tolling contract in energy market and production volume that is producers control function. The first chapters gives an over view about the agreement and the formula used to derive the price. The second chapter provided me with the material I needed to derive these price and production volume such as dynamics for the spot prices for electricity and coal and their solution. Third chapter gives a statistical look on these stochastic processes. In the last chapter I tested the price model for stochastic control problem and found that the swing option can be bound in two ways: 1. Swing option limited as Margrabes solution. 2. Swing option limited as spread option. The use of the model is discussed. (Author)

Symmetry analysis of a model for the exercise of a barrier option

Science.gov (United States)

O'Hara, J. G.; Sophocleous, C.; Leach, P. G. L.

2013-09-01

A barrier option takes into account the possibility of an unacceptable change in the price of the underlying stock. Such a change could carry considerable financial loss. We examine one model based upon the Black-Scholes-Merton Equation and determine the functional forms of the barrier function and rebate function which are consistent with a solution of the underlying evolution partial differential equation using the Lie Theory of Extended Groups. The solution is consistent with the possibility of no rebate and the barrier function is very similar to one adopted on an heuristic basis.

Option managing for radioactive metallic waste from the decommissioning of Kori Unit 1

Energy Technology Data Exchange (ETDEWEB)

Kessel, David S.; Kim, Chagn Lak [KEPCO International Nuclear Graduate School (KINGS), Ulsan (Korea, Republic of)

2017-06-15

The purpose of this paper is to evaluate several leading options for the management of radioactive metallic waste against a set of general criteria including safety, cost effectiveness, radiological dose to workers and volume reduction. Several options for managing metallic waste generated from decommissioning are evaluated in this paper. These options include free release, controlled reuse, and direct disposal of radioactive metallic waste. Each of these options may involve treatment of the metal waste for volume reduction by physical cutting or melting. A multi-criteria decision analysis was performed using the Analytic Hierarchy Process (AHP) to rank the options. Melting radioactive metallic waste to produce metal ingots with controlled reuse or free release is found to be the most effective option.

Evaluation and modelling of haul road dust palliatives

Energy Technology Data Exchange (ETDEWEB)

Thompson, R.J.; Visser, A.T.

2000-07-01

Excessive dust generation from mine haul roads is a problem common to most surface coal mining operations. Optimal warning course material selection parameters reduce, but do not totally eliminate the potential to produce dust. For existing operations, which may not have optimally designed and maintained roads, the problem of identifying existing deficiencies, quantifying their impact and assigning priorities within the constraints of limited capital and manpower is problematic. This is reflected in the fact that most surface mine operators agree dust-free roads are desirable, but find it difficult to translate this into cost-effective betterment activities. This paper describes a dust palliative evaluation, management and costing strategy. Models are described which enable mines to assess the likely dustiness of their chosen wearing course materials as a function of surface loading of fines, traffic types and volume, together with various material parameters. These models are then combined with palliative suppression performance models to enable predictions to be made concerning the suppression- and cost-efficiency of various dust palliation options. 13 refs., 5 figs., 4 tabs.

IT Project Evaluation and Investment Decision

Institute of Scientific and Technical Information of China (English)

黄东兵; 张世英

2004-01-01

There are many kinds of real options,which are valuable,in each phase of the lifetime of an information technology(IT)project.However,in the current IT investment decision theory,real options that embedded in IT projects are not considered. In this paper, the process of IT project decision and implementation is fully analyzed, the real options that may be embedded in an IT project are identified, and a real option analysis (ROA) method is proposed for evaluation of an IT project under uncertain business environment. ROA employs Black-Scholes expansion model and cancels the assumption that the cost of project is certain. The numerical example manifests that the ROA can better evaluate IT project and select the IT investment alternative. Finally, a road map is provided to help selecting the suitable evaluation method to make IT investment decision.

Financial options methodology for analyzing investments in new technology

Science.gov (United States)

Wenning, B. D.

1995-01-01

The evaluation of investments in longer term research and development in emerging technologies, because of the nature of such subjects, must address inherent uncertainties. Most notably, future cash flow forecasts include substantial uncertainties. Conventional present value methodology, when applied to emerging technologies severely penalizes cash flow forecasts, and strategic investment opportunities are at risk of being neglected. Use of options evaluation methodology adapted from the financial arena has been introduced as having applicability in such technology evaluations. Indeed, characteristics of superconducting magnetic energy storage technology suggest that it is a candidate for the use of options methodology when investment decisions are being contemplated.

Estimation and prediction under local volatility jump-diffusion model

Science.gov (United States)

Kim, Namhyoung; Lee, Younhee

2018-02-01

Volatility is an important factor in operating a company and managing risk. In the portfolio optimization and risk hedging using the option, the value of the option is evaluated using the volatility model. Various attempts have been made to predict option value. Recent studies have shown that stochastic volatility models and jump-diffusion models reflect stock price movements accurately. However, these models have practical limitations. Combining them with the local volatility model, which is widely used among practitioners, may lead to better performance. In this study, we propose a more effective and efficient method of estimating option prices by combining the local volatility model with the jump-diffusion model and apply it using both artificial and actual market data to evaluate its performance. The calibration process for estimating the jump parameters and local volatility surfaces is divided into three stages. We apply the local volatility model, stochastic volatility model, and local volatility jump-diffusion model estimated by the proposed method to KOSPI 200 index option pricing. The proposed method displays good estimation and prediction performance.

The Early Exercise Premium Representation for American Options on Multiply Assets

International Nuclear Information System (INIS)

Klimsiak, Tomasz; Rozkosz, Andrzej

2016-01-01

In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium representation formula for options with payoff functions which are convex or satisfy mild regularity assumptions. Examples include index options, spread options, call on max options, put on min options, multiply strike options and power-product options. In the proof of the formula we exploit close connections between the optimal stopping problems associated with valuation of American options, obstacle problems and reflected backward stochastic differential equations

INVESTMENT IN ANTIVIRAL DRUGS : A REAL OPTIONS APPROACH

NARCIS (Netherlands)

Attema, Arthur E.; Lugner, Anna K.; Feenstra, Talitha L.

2010-01-01

Real options analysis is a promising approach to model investment under uncertainty. We employ this approach to value stockpiling of antiviral drugs as a precautionary measure against a possible influenza pandemic. Modifications of the real options approach to include risk attitude and deviations

TMI abnormal wastes disposal options

International Nuclear Information System (INIS)

Ayers, A.L. Jr.

1984-03-01

A substantial quantity of high beta-gamma/high-TRU contaminated wastes are expected from cleanup activities of Unit 2 of the Three Mile Island Nuclear Power Station. Those wastes are not disposable because of present regulatory constraints. Therefore, they must be stored temporarily. This paper discusses three options for storage of those wastes at the Idaho National Engineering Laboratory: (1) storage in temporary storage casks; (2) underground storage in vaults; and (3) storage in silos at a hot shop. Each option is analyzed and evaluated. Also included is a discussion of future disposal strategies, which might be pursued when a suitable federal or commercial repository is built

Pricing the Option to Surrender in Incomplete Markets

DEFF Research Database (Denmark)

Consiglio, Andrea; De Giovanni, Domenico

New international accounting standards require insurers to reflect the value of embedded options and guarantees in their products. Pricing techniques based on the Black & Scholes paradigm are often used, however, the hypotheses underneath this model are rarely met. We propose a framework that enc......New international accounting standards require insurers to reflect the value of embedded options and guarantees in their products. Pricing techniques based on the Black & Scholes paradigm are often used, however, the hypotheses underneath this model are rarely met. We propose a framework...... that encompasses the most known sources of incompleteness. We show that the surrender option, joined with a wide range of claims embedded in insurance contracts, can be priced through our tool, and deliver hedging portfolios to mitigate the risk arising from their positions. We provide extensive empirical analysis...... to highlight the effect of incompleteness on the fair value of the option....

A multi-criteria decision analysis assessment of waste paper management options

Energy Technology Data Exchange (ETDEWEB)

Hanan, Deirdre [Department of Design, Development, Environment and Materials, The Open University, Walton Hall, Milton Keynes, MK7 6AA (United Kingdom); Burnley, Stephen, E-mail: s.j.burnley@open.ac.uk [Department of Design, Development, Environment and Materials, The Open University, Walton Hall, Milton Keynes, MK7 6AA (United Kingdom); Cooke, David [Department of Design, Development, Environment and Materials, The Open University, Walton Hall, Milton Keynes, MK7 6AA (United Kingdom)

2013-03-15

Highlights: ► Isolated communities have particular problems in terms of waste management. ► An MCDA tool allowed a group of non-experts to evaluate waste management options. ► The group preferred local waste management solutions to export to the mainland. ► Gasification of paper was the preferred option followed by recycling. ► The group concluded that they could be involved in the decision making process. - Abstract: The use of Multi-criteria Decision Analysis (MCDA) was investigated in an exercise using a panel of local residents and stakeholders to assess the options for managing waste paper on the Isle of Wight. Seven recycling, recovery and disposal options were considered by the panel who evaluated each option against seven environmental, financial and social criteria. The panel preferred options where the waste was managed on the island with gasification and recycling achieving the highest scores. Exporting the waste to the English mainland for incineration or landfill proved to be the least preferred options. This research has demonstrated that MCDA is an effective way of involving community groups in waste management decision making.

A multi-criteria decision analysis assessment of waste paper management options

International Nuclear Information System (INIS)

Hanan, Deirdre; Burnley, Stephen; Cooke, David

2013-01-01

Highlights: ► Isolated communities have particular problems in terms of waste management. ► An MCDA tool allowed a group of non-experts to evaluate waste management options. ► The group preferred local waste management solutions to export to the mainland. ► Gasification of paper was the preferred option followed by recycling. ► The group concluded that they could be involved in the decision making process. - Abstract: The use of Multi-criteria Decision Analysis (MCDA) was investigated in an exercise using a panel of local residents and stakeholders to assess the options for managing waste paper on the Isle of Wight. Seven recycling, recovery and disposal options were considered by the panel who evaluated each option against seven environmental, financial and social criteria. The panel preferred options where the waste was managed on the island with gasification and recycling achieving the highest scores. Exporting the waste to the English mainland for incineration or landfill proved to be the least preferred options. This research has demonstrated that MCDA is an effective way of involving community groups in waste management decision making

A real-life example of choosing an inherently safer process option

International Nuclear Information System (INIS)

Study, Karen

2007-01-01

While choosing an inherently safer alternative may seem straightforward, sometimes what seems to be the most obvious alternative may not provide the best risk reduction. The process designer must maintain a broad perspective to be able to recognize all potential hazards when evaluating design options. All aspects of operation such as start-up, shut-down, utility failure, as well as normal operation should be considered. Choosing the inherently safer option is best accomplished early in the option selection phase of a project; however, recycle back to the option selection phase may be needed if an option is not thoroughly evaluated early in the process. In this paper, a project to supply ammonia to a catalytic reactor will be reviewed. During the course of the project, an 'inherently safer' alternative was selected and later discarded due to issues uncovered during the detail design phase. The final option chosen will be compared to (1) the original design and (2) the initial 'inherently safer' alternative. The final option was inherently safer than both the original design and the initial 'inherently safer' alternative even though the design team initially believed that it would not be

Evaluation models and evaluation use

Science.gov (United States)

Contandriopoulos, Damien; Brousselle, Astrid

2012-01-01

The use of evaluation results is at the core of evaluation theory and practice. Major debates in the field have emphasized the importance of both the evaluator’s role and the evaluation process itself in fostering evaluation use. A recent systematic review of interventions aimed at influencing policy-making or organizational behavior through knowledge exchange offers a new perspective on evaluation use. We propose here a framework for better understanding the embedded relations between evaluation context, choice of an evaluation model and use of results. The article argues that the evaluation context presents conditions that affect both the appropriateness of the evaluation model implemented and the use of results. PMID:23526460

Effects of SO2 emission regulations and fuel prices on levellized energy costs for industrial steam generation options

International Nuclear Information System (INIS)

Ozdogan, Sibel; Arikol, Mahir

1992-01-01

We discuss the impacts of SO 2 emission regulations and fuel prices on levellized energy costs of industrial steam generation options. A computer model called INDUSTEAM has been utilized. The steam-supply options comprise conventional grate-firing, bubbling and circulating fluidized beds, fuel-oil, and natural-gas-fired systems. Fuels of different SO 2 pollution potential have been evaluated assuming six environmental scenarios and varying fuel prices. A capacity range of 10-90 MW th is covered. (author)

Asset allocation using option-implied moments

Science.gov (United States)

Bahaludin, H.; Abdullah, M. H.; Tolos, S. M.

2017-09-01

This study uses an option-implied distribution as the input in asset allocation. The computation of risk-neutral densities (RND) are based on the Dow Jones Industrial Average (DJIA) index option and its constituents. Since the RNDs estimation does not incorporate risk premium, the conversion of RND into risk-world density (RWD) is required. The RWD is obtained through parametric calibration using the beta distributions. The mean, volatility, and covariance are then calculated to construct the portfolio. The performance of the portfolio is evaluated by using portfolio volatility and Sharpe ratio.

A novel method to value real options in health care: the case of a multicohort human papillomavirus vaccination strategy.

Science.gov (United States)

Favato, Giampiero; Baio, Gianluca; Capone, Alessandro; Marcellusi, Andrea; Saverio Mennini, Francesco

2013-07-01

A large number of economic evaluations have already confirmed the cost-effectiveness of different human papillomavirus (HPV) vaccination strategies. Standard analyses might not capture the full economic value of novel vaccination programs because the cost-effectiveness paradigm fails to take into account the value of active management. Management decisions can be seen as real options, a term used to refer to the application of option pricing theory to the valuation of investments in nonfinancial assets in which much of the value is attributable to flexibility and learning over time. The aim of this article was to discuss the potential advantages shown by using the payoff method in the valuation of the cost-effectiveness of competing HPV immunization programs. This was the first study, to the best of our knowledge, to use the payoff method to determine the real option values of 4 different HPV vaccination strategies targeting female subjects aged 12, 15, 18, and 25 years. The payoff method derives the real option value from the triangular payoff distribution of the project's net present value, which is treated as a triangular fuzzy number. To inform the real option model, cost-effectiveness data were derived from an empirically calibrated Bayesian model designed to assess the cost-effectiveness of a multicohort HPV vaccination strategy in the context of the current cervical cancer screening program in Italy. A net health benefit approach was used to calculate the expected fuzzy net present value for each of the 4 vaccination strategies evaluated. Costs per quality-adjusted life-year gained seemed to be related to the number of cohorts targeted: a single cohort of girls aged 12 years (€10,955 [95% CI, -1,021 to 28,212]) revealed the lowest cost among the 4 alternative strategies evaluated. The real option valuation challenged the cost-effectiveness dominance of a single cohort of 12-year-old girls. The simultaneous vaccination of 2 cohorts of girls aged 12 and 15

Waste heat recovery options in a large gas-turbine combined power plant

Science.gov (United States)

Upathumchard, Ularee

This study focuses on power plant heat loss and how to utilize the waste heat in energy recovery systems in order to increase the overall power plant efficiency. The case study of this research is a 700-MW natural gas combined cycle power plant, located in a suburban area of Thailand. An analysis of the heat loss of the combustion process, power generation process, lubrication system, and cooling system has been conducted to evaluate waste heat recovery options. The design of the waste heat recovery options depends to the amount of heat loss from each system and its temperature. Feasible waste heat sources are combustion turbine (CT) room ventilation air and lubrication oil return from the power plant. The following options are being considered in this research: absorption chillers for cooling with working fluids Ammonia-Water and Water-Lithium Bromide (in comparison) and Organic Rankine Cycle (ORC) with working fluids R134a and R245fa. The absorption cycles are modeled in three different stages; single-effect, double-effect and half-effect. ORC models used are simple ORC as a baseline, ORC with internal regenerator, ORC two-phase flash expansion ORC and ORC with multiple heat sources. Thermodynamic models are generated and each system is simulated using Engineering Equation Solver (EES) to define the most suitable waste heat recovery options for the power plant. The result will be synthesized and evaluated with respect to exergy utilization efficiency referred as the Second Law effectiveness and net output capacity. Results of the models give recommendation to install a baseline ORC of R134a and a double-effect water-lithium bromide absorption chiller, driven by ventilation air from combustion turbine compartment. The two technologies yield reasonable economic payback periods of 4.6 years and 0.7 years, respectively. The fact that this selected power plant is in its early stage of operation allows both models to economically and effectively perform waste heat

Pricing the option adjust spread of Brazilian Eurobonds

OpenAIRE

Gonçalves, Franklin de O.

1997-01-01

This paper presents results of a pricing system to compute the option adjusted spread ("DAS") of Eurobonds issued by Brazilian firms. The system computes the "DAS" over US treasury rates taktng imo account the embedded options present on these bonds. These options can be calls ("callable bond"), puts ("putable bond") or combinations ("callable and putable bond"). The pricing model takes into account the evolution of the term structure along time, is compatible with the observab...

Free-roaming dog populations: a cost-benefit model for different management options, applied to Abruzzo, Italy.

Science.gov (United States)

Høgåsen, H R; Er, C; Di Nardo, A; Dalla Villa, P

2013-11-01

Since 1991, Italian free-roaming dogs have been under government protection and euthanasia is restricted by law. Management measures are regulated at the regional level and include: kennelling, adoptions, conversion of stray dogs into block dogs, and population control of owned dogs. "Block dogs" are free-roaming dogs that have been collected by the veterinary services, microchipped, sterilised, vaccinated, and released under the responsibility of the local municipalities. The present paper describes a cost-benefit model for different management options and applies it to two provinces in Abruzzo, central Italy. The model considers welfare, nuisance and direct costs to the municipality. Welfare is quantified based on the expert opinions of 60 local veterinarians, who were asked to assign a score for each dog category according to the five freedoms: freedom from pain, physical discomfort, disease, fear, and freedom to express normal behaviour. Nuisance was assessed only for comparisons between management options, using the number of free-roaming dogs per inhabitant as a proxy indicator. A community dog population model was constructed to predict the effect of management on the different subpopulations of dogs during a ten-year period. It is a user-friendly deterministic model in Excel, easily adaptable to different communities to assess the impact of their dog management policy on welfare, nuisance and direct monetary cost. We present results for Teramo and Pescara provinces. Today's management system is compared to alternative models, which evaluate the effect of specific interventions. These include either a 10% yearly increase in kennel capacity, an increase in adoptions from kennels, a doubling of the capture of stray dogs, or a stabilisation of the owned dog population. Results indicate that optimal management decisions are complex because welfare, nuisance and monetary costs may imply conflicting interventions. Nevertheless, they clearly indicate that

Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion

Directory of Open Access Journals (Sweden)

Di Pan

2013-01-01

Full Text Available Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian option value were obtained. The numerical experiments show that Hurst exponent of the fractional Brownian motion and transaction cost rate have a significant impact on the option value.

Sustainability likelihood of remediation options for metal-contaminated soil/sediment.

Science.gov (United States)

Chen, Season S; Taylor, Jessica S; Baek, Kitae; Khan, Eakalak; Tsang, Daniel C W; Ok, Yong Sik

2017-05-01

Multi-criteria analysis and detailed impact analysis were carried out to assess the sustainability of four remedial alternatives for metal-contaminated soil/sediment at former timber treatment sites and harbour sediment with different scales. The sustainability was evaluated in the aspects of human health and safety, environment, stakeholder concern, and land use, under four different scenarios with varying weighting factors. The Monte Carlo simulation was performed to reveal the likelihood of accomplishing sustainable remediation with different treatment options at different sites. The results showed that in-situ remedial technologies were more sustainable than ex-situ ones, where in-situ containment demonstrated both the most sustainable result and the highest probability to achieve sustainability amongst the four remedial alternatives in this study, reflecting the lesser extent of off-site and on-site impacts. Concerns associated with ex-situ options were adverse impacts tied to all four aspects and caused by excavation, extraction, and off-site disposal. The results of this study suggested the importance of considering the uncertainties resulting from the remedial options (i.e., stochastic analysis) in addition to the overall sustainability scores (i.e., deterministic analysis). The developed framework and model simulation could serve as an assessment for the sustainability likelihood of remedial options to ensure sustainable remediation of contaminated sites. Copyright © 2017 Elsevier Ltd. All rights reserved.

Estimating option values of solar radiation management assuming that climate sensitivity is uncertain.

Science.gov (United States)

Arino, Yosuke; Akimoto, Keigo; Sano, Fuminori; Homma, Takashi; Oda, Junichiro; Tomoda, Toshimasa

2016-05-24

Although solar radiation management (SRM) might play a role as an emergency geoengineering measure, its potential risks remain uncertain, and hence there are ethical and governance issues in the face of SRM's actual deployment. By using an integrated assessment model, we first present one possible methodology for evaluating the value arising from retaining an SRM option given the uncertainty of climate sensitivity, and also examine sensitivities of the option value to SRM's side effects (damages). Reflecting the governance challenges on immediate SRM deployment, we assume scenarios in which SRM could only be deployed with a limited degree of cooling (0.5 °C) only after 2050, when climate sensitivity uncertainty is assumed to be resolved and only when the sensitivity is found to be high (T2x = 4 °C). We conduct a cost-effectiveness analysis with constraining temperature rise as the objective. The SRM option value is originated from its rapid cooling capability that would alleviate the mitigation requirement under climate sensitivity uncertainty and thereby reduce mitigation costs. According to our estimates, the option value during 1990-2049 for a +2.4 °C target (the lowest temperature target level for which there were feasible solutions in this model study) relative to preindustrial levels were in the range between $2.5 and $5.9 trillion, taking into account the maximum level of side effects shown in the existing literature. The result indicates that lower limits of the option values for temperature targets below +2.4 °C would be greater than $2.5 trillion.

Basket call option pricing for CCVG using sparse grids

KAUST Repository

Crocce, Fabian

2016-01-06

The use of processes with jumps to overcome the shortcomings of the classical Black and Scholes when modelling stock prices has became very popular. One of the best-known models is the Common Clock Variance Gamma model (CCVG), introduced by Madan and Seneta in the 1990 [3]. We propose a method to price European basket call options modelled by the CCVG. The method could be extended to other model obtained by the subordination of a multidimensional Brownian motion and to more general options. To simplify the expositions we consider calls under the CCVG.

Basket call option pricing for CCVG using sparse grids

KAUST Repository

Crocce, Fabian; Hä ppö lä , Juho; Iania, Alessandro; Tempone, Raul

2016-01-01

The use of processes with jumps to overcome the shortcomings of the classical Black and Scholes when modelling stock prices has became very popular. One of the best-known models is the Common Clock Variance Gamma model (CCVG), introduced by Madan and Seneta in the 1990 [3]. We propose a method to price European basket call options modelled by the CCVG. The method could be extended to other model obtained by the subordination of a multidimensional Brownian motion and to more general options. To simplify the expositions we consider calls under the CCVG.

Underground storage tank integrated demonstration: Evaluation of pretreatment options for Hanford tank wastes

International Nuclear Information System (INIS)

Lumetta, G.J.; Wagner, M.J.; Colton, N.G.; Jones, E.O.

1993-06-01

Separation science plays a central role inn the pretreatment and disposal of nuclear wastes. The potential benefits of applying chemical separations in the pretreatment of the radioactive wastes stored at the various US Department of Energy sites cover both economic and environmental incentives. This is especially true at the Hanford Site, where the huge volume (>60 Mgal) of radioactive wastes stored in underground tanks could be partitioned into a very small volume of high-level waste (HLW) and a relatively large volume of low-level waste (LLW). The cost associated with vitrifying and disposing of just the HLW fraction in a geologic repository would be much less than those associated with vitrifying and disposing of all the wastes directly. Futhermore, the quality of the LLW form (e.g., grout) would be improved due to the lower inventory of radionuclides present in the LLW stream. In this report, we present the results of an evaluation of the pretreatment options for sludge taken from two different single-shell tanks at the Hanford Site-Tanks 241-B-110 and 241-U-110 (referred to as B-110 and U-110, respectively). The pretreatment options examined for these wastes included (1) leaching of transuranic (TRU) elements from the sludge, and (2) dissolution of the sludge followed by extraction of TRUs and 90 Sr. In addition, the TRU leaching approach was examined for a third tank waste type, neutralized cladding removal waste

Public health economic evaluation of different European Union–level policy options aimed at reducing population dietary trans fat intake12

Science.gov (United States)

Mouratidou, Theodora; Livaniou, Anastasia

2016-01-01

Background: The adverse relation between dietary trans fatty acid (TFA) intake and coronary artery disease risk is well established. Many countries in the European Union (EU) and worldwide have implemented different policies to reduce the TFA intake of their populations. Objective: The aim of this study was to assess the added value of EU-level action by estimating the cost-effectiveness of 3 possible EU-level policy measures to reduce population dietary TFA intake. This was calculated against a reference situation of not implementing any EU-level policy (i.e., by assuming only national or self-regulatory measures). Design: We developed a mathematical model to compare different policy options at the EU level: 1) to do nothing beyond the current state (reference situation), 2) to impose mandatory TFA labeling of prepackaged foods, 3) to seek voluntary agreements toward further reducing industrially produced TFA (iTFA) content in foods, and 4) to impose a legislative limit for iTFA content in foods. Results: The model indicated that to impose an EU-level legal limit or to make voluntary agreements may, over the course of a lifetime (85 y), avoid the loss of 3.73 and 2.19 million disability-adjusted life-years (DALYs), respectively, and save >51 and 23 billion euros when compared with the reference situation. Implementing mandatory TFA labeling can also avoid the loss of 0.98 million DALYs, but this option incurs more costs than it saves compared with the reference option. Conclusions: The model indicates that there is added value of an EU-level action, either via a legal limit or through voluntary agreements, with the legal limit option producing the highest additional health benefits. Introducing mandatory TFA labeling for the EU common market may provide some additional health benefits; however, this would likely not be a cost-effective strategy. PMID:27680991

How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?

Directory of Open Access Journals (Sweden)

H. Raouf Sheybani

2016-09-01

Full Text Available In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncertainty in fuel price, day-ahead market pricing, and elasticity of consumers to strike price, premium price, and day-ahead price are taken into account in these models. By applying the presented models to a test system impact of day-ahead market pricing on equilibrium of joint put option and day-ahead markets are studied.

Real options valuation of fusion energy R and D programme

International Nuclear Information System (INIS)

Bednyagin, Denis; Gnansounou, Edgard

2011-01-01

This paper aims to perform a real options valuation of fusion energy R and 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 options value arising due to managerial flexibility and the underlying uncertainty. First, a basic investment option model of Black-Scholes type is being considered. Then, a fuzzy compound real R and D option model is elaborated, which reflects in a better way the multi-stage nature of the programme and takes into account the imprecision of information as one of the components of the overall programme uncertainty. Two different strategies are compared: 'Baseline' corresponding to a relatively moderate pace of fusion research, development, demonstration and deployment activities vs. 'Accelerated' strategy, which assumes a rapid demonstration and massive deployment of fusion. The conclusions are drawn from the model calculations regarding the strategic value of fusion energy R and D and the advantages of accelerated development path. - Research highlights: → Real options analysis of fusion R and D, demonstration and deployment (RDDD) programme. → ENPV of fusion RDDD programme is calculated using stochastic probabilistic simulation. → Fusion RDDD programme exhibits substantial positive real options value: Euro 245 billion. → Fuzzy compound real option valuation method provides more robust results.

Franchise ownership redirection: real options perspective

OpenAIRE

Nugroho, Lukito Adi

2016-01-01

Background: For over 40 years, the franchise ownership redirection hypothesis has attracted the attention of many scholars. This study, differing from previous ones, proposes an alternative approach for this hypothesis using a real options framework with the extension of agency theory. Method: The real options model is built using the least square Monte Carlo method, where the franchisor's decision to franchise is perceived as a deferred investment while maintaining the right of future acquis...

Deliberating emission reduction options

Energy Technology Data Exchange (ETDEWEB)

Dowd, A.M.; Rodriguez, M.; Jeanneret, T. [Commonwealth Scientific and Industrial Research Organisation CSIRO, 37 Graham Rd, Highett VIC 3190 (Australia); De Best-Waldhober, M.; Straver, K.; Mastop, J.; Paukovic, M. [Energy research Centre of the Netherlands ECN, Policy Studies, Amsterdam (Netherlands)

2012-06-15

participants to evaluate and choose between several options tend to lead to pseudo-opinions, incorrect assumptions and isolated responses. In order to address these methodological issues, researchers in the Netherlands created an Information Choice Questionnaire (ICQ). The ICQ provides the respondent with: (1) the entire (complex) policy problem, (2) expert information that is independent and balanced, (3) in a way that is understandable for the general public, (4) is a comparative process, and (5) asks for an evaluation. The aim of this research was to develop an online decision guide to aid public awareness, knowledge, deliberation and choice around carbon dioxide capture and storage (CCS) compared with other greenhouse gas mitigation options. More specifically, the objectives were to: (a) compare the Australian survey results to Dutch respondents; and (b) examine the most effective way to make online information and opinion formation more interactive and engaging. The following research questions are addressed: (1) How do Australian opinions on energy options differ from the Dutch when measured using the ICQ? ; (2) Is it possible to enhance the quality of the original ICQ by making the questionnaire an interactive application?.

Deliberating emission reduction options

Energy Technology Data Exchange (ETDEWEB)

Dowd, A. M.; Rodriguez, M.; Jeanneret, T. [Commonwealth Scientific and Industrial Research Organisation CSIRO, 37 Graham Rd, Highett VIC 3190 (Australia); De Best-Waldhober, M.; Straver, K.; Mastop, J.; Paukovic, M. [Energy research Centre of the Netherlands ECN, Policy Studies, Amsterdam (Netherlands)

2012-06-15

evaluate and choose between several options tend to lead to pseudo-opinions, incorrect assumptions and isolated responses. In order to address these methodological issues, researchers in the Netherlands created an Information Choice Questionnaire (ICQ). The ICQ provides the respondent with: (1) the entire (complex) policy problem, (2) expert information that is independent and balanced, (3) in a way that is understandable for the general public, (4) is a comparative process, and (5) asks for an evaluation. The aim of this research was to develop an online decision guide to aid public awareness, knowledge, deliberation and choice around carbon dioxide capture and storage (CCS) compared with other greenhouse gas mitigation options. More specifically, the objectives were to: (a) compare the Australian survey results to Dutch respondents; and (b) examine the most effective way to make online information and opinion formation more interactive and engaging. The following research questions are addressed: (1) How do Australian opinions on energy options differ from the Dutch when measured using the ICQ? ; (2) Is it possible to enhance the quality of the original ICQ by making the questionnaire an interactive application?.

Energy options for residential buildings assessment

International Nuclear Information System (INIS)

Rezaie, Behnaz; Dincer, Ibrahim; Esmailzadeh, Ebrahim

2013-01-01

Highlights: ► Studying various building energy options. ► Assessing these options from various points. ► Comparing these options for better environment and sustainability. ► Proposing renewable energy options as potential solutions. - Abstract: The building sector, as one of the major energy consumers, demands most of the energy research to assess different energy options from various aspects. In this paper, two similar residential buildings, with either low or high energy consumption patterns, are chosen as case studies. For these case studies, three different renewable energy technology and three different hybrid systems are designed for a specified size. Then, the environmental impact indices, renewable energy indices, and the renewable exergy indices have been estimated for every energy options. Results obtained show that the hybrid systems (without considering the economics factors) are superior and having top indices. The importance of the energy consumption patterns in buildings are proven by the indices. By cutting the energy consumption to about 40% the environment index would increase by more than twice (2.1). Utilization of the non-fossil fuels is one part of the solution to environmental problems while energy conservation being the other. It has been shown that the re-design of the energy consumption model is less complex but more achievable for buildings.

Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black-Scholes model with transaction costs

Science.gov (United States)

Wang, Xiao-Tian

2011-05-01

This paper deals with the problem of discrete time option pricing using the fractional Black-Scholes model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price of an option under transaction costs is obtained. In addition, the relation between scaling and implied volatility smiles is discussed.

Age Differences in Consumer Decision Making under Option Framing: From the Motivation Perspective

OpenAIRE

Peng, Huamao; Xia, Shiyong; Ruan, Fanglin; Pu, Bingyan

2016-01-01

Option framing effect is the phenomena that participants often accept more options when they are asked to delete undesired options from a full model (subtractive framing) than they do when they are instructed to add desired options to a base model (additive framing). Whether the same effect exists in different age groups is less well known. To explore the roles of age and purchase motivations on the option framing effect for automobiles purchases, this study adopted a 3 (age group: younger, m...

Supply Chain Bilateral Coordination with Option Contracts under Inflation Scenarios

Directory of Open Access Journals (Sweden)

Nana Wan

2015-01-01

Full Text Available There exist obvious changes in price and demand during the inflationary period, both of which are regarded as the key factors leading to supply chain uncertainty. In this paper, we focus our discussion on price increase and demand contraction caused by inflation, integrate the effect of inflation and option contracts within the model framework, and analyze how to use option contracts to achieve supply chain coordination under inflation scenarios. We consider a one-period two-stage supply chain consisting of one supplier and one retailer and explore the effect of inflation on the optimal ordering and production decisions under three different types of contracts: wholesale price contracts, option contracts, and portfolio contracts. Moreover, we explore the impact of option contracts on the supply chain through using wholesale price contracts model as the benchmark. We find that the retailer prefers adopting portfolio contracts, but the supplier prefers providing option contracts under inflation scenarios. Ultimately, option contracts will be implemented owing to the supplier’s market dominant position. In addition, we discuss the supply chain bilateral coordination mechanism with option contracts from the perspectives of two members and derive that option contracts can coordinate the supply chain and achieve Pareto improvement under inflation scenarios.

Pricing and hedging of a general kind of multiasset option

Directory of Open Access Journals (Sweden)

Silvia Romagnoli

2007-10-01

Full Text Available Our aims is to propose an evaluation and a replicating strategy for a general kind of multiasset option in an international multicurrencies no-arbitrage world with Gaussian interest rates. Johnson's formula for the option on the maximum of several assets is derived as a particular case of ours, and two examples of application, namely the MAP strategy and the option on the arithmetic mean of several assets, are presented.

Real Options Analysis of Mining Projects

OpenAIRE

Rudolf Zdravlje

2011-01-01

When long life assets are being evaluated based on constant predictions of future variables and the assumptions of zero management flexibility, is value being missed? In project evaluation today, the most common evaluation methods that calculate a net present value are discounted cash flow (DCF) analysis, decision tree analysis and Monte Carlo simulation. A fourth method, which is beginning to gain ground in terms of its use in the mining industry, is real option analysis (ROA). ROA utilizes ...

Life cycle assessment of bagasse waste management options

International Nuclear Information System (INIS)

Kiatkittipong, Worapon; Wongsuchoto, Porntip; Pavasant, Prasert

2009-01-01

Bagasse is mostly utilized for steam and power production for domestic sugar mills. There have been a number of alternatives that could well be applied to manage bagasse, such as pulp production, conversion to biogas and electricity production. The selection of proper alternatives depends significantly on the appropriateness of the technology both from the technical and the environmental points of view. This work proposes a simple model based on the application of life cycle assessment (LCA) to evaluate the environmental impacts of various alternatives for dealing with bagasse waste. The environmental aspects of concern included global warming potential, acidification potential, eutrophication potential and photochemical oxidant creation. Four waste management scenarios for bagasse were evaluated: landfilling with utilization of landfill gas, anaerobic digestion with biogas production, incineration for power generation, and pulp production. In landfills, environmental impacts depended significantly on the biogas collection efficiency, whereas incineration of bagasse to electricity in the power plant showed better environmental performance than that of conventional low biogas collection efficiency landfills. Anaerobic digestion of bagasse in a control biogas reactor was superior to the other two energy generation options in all environmental aspects. Although the use of bagasse in pulp mills created relatively high environmental burdens, the results from the LCA revealed that other stages of the life cycle produced relatively small impacts and that this option might be the most environmentally benign alternative

A decision model for E and P petroleum projects using real options and preference theory

Energy Technology Data Exchange (ETDEWEB)

Lima, Gabriel A.C. [Universidade Estadual de Campinas, SP (Brazil). Inst. de Geociencias. Lab. de Analise Geoconomica (LAGE); Suslick, Saul B. [Universidade Estadual de Campinas, SP (Brazil). Inst. de Geociencias. Centro de Estudo do Petroleo; Nepomuceno Filho, Francisco [PETROBRAS, Rio de Janeiro, RJ (Brazil)

2004-07-01

The results from Discounted Cash Flow (DCF) are limited as a tool for decision-making in the petroleum industry because they do not properly take into account three important features of the modern investments: uncertainty, irreversibility, timing and corporation's risk-aversion. Recent developments in real options and preference theories have allowed decision-makers to employ these two approaches separately in the process of valuation and decision-making of risky projects. This paper presents a model for valuation and decision-making integrating discounted cash flow, real options and reference theory. This model seems to be suitable to answer to the following questions: what is the current value of an oil project? what is the optimal working interest in this project venture?; what is criteria to select projects considering investment irreversibility, uncertainty and timing to implement decisions? This model is applied to valuation and decision-making of a project to produce oil from a deep-water reservoir and its results are compared to those of the traditional approach. NPV model suggest that, as the project value is above its investment cost, the corporation should invest immediately and take 100% working interest in the project. Contrarily, the integrated model suggest the corporation should invest as long as project current value is as large as 1.85 times investment cost and should take only 44.38% working interest, whereas partners fund and acquire the remaining 55,62% of the project. In general, results indicate that NPV tend to pay more attention on return and does not account properly for risk. Then, as the uncertainty or volatile of strategic variables increases, the two models give more divergent results. (author)

Probability weighting and employee stock options

NARCIS (Netherlands)

Spalt, O.G.

2013-01-01

This paper documents that riskier firms with higher idiosyncratic volatility grant more stock options to nonexecutive employees. Standard models in the literature cannot easily explain this pattern; a model in which a risk-neutral firm and an employee with prospect theory preferences bargain over

The Fundamental Uncertainty of Business: Real Options

Science.gov (United States)

Dyer, James S.

The purpose of this paper is to discuss the manner in which uncertainty is currently evaluated in business, with an emphasis on economic measures. In recent years, the accepted approach for the valuation of capital investment decisions has become one based on the theory of real options. From the standpoint of this workshop, the interesting aspect of real options is its focus on the flexibility of management to respond to changes in the environment as a feature of an alternative that has unique value, known as "option value." While this may not be surprising to most participants in this workshop, it does represent a radical change in traditional thinking about risk in business, where efforts have primarily been focused on the elimination of risk when possible.

Using expanded real options analysis to evaluate capacity expansion decisions under uncertainty in the construction material industry

Directory of Open Access Journals (Sweden)

Momani, Amer Mohammad

2016-08-01

Full Text Available Capacity expansion generally requires large capital expenditure on illiquid assets. Therefore, decisions to enlarge capacity must support the organisation’s strategic objectives and provide valuable input for the budgeting process. This paper applies an expanded form of Real Options Analysis (ROA to generate and evaluate capacity expansion strategies under uncertainty in the construction material industry. ROA is applied to different expansion strategies associated with different demand scenarios. Evaluating a wider variety of strategies can reduce risk and sponsor decisions that maximise the firm’s value. The case study shows that the execution of a lead expansion strategy with 10-year intervals under a 50 per cent demand satisfaction scenario produces superior results.

EVALUATION OF RATIONAL FUNCTION MODEL FOR GEOMETRIC MODELING OF CHANG'E-1 CCD IMAGES

Directory of Open Access Journals (Sweden)

Y. Liu

2012-08-01

Full Text Available Rational Function Model (RFM is a generic geometric model that has been widely used in geometric processing of high-resolution earth-observation satellite images, due to its generality and excellent capability of fitting complex rigorous sensor models. In this paper, the feasibility and precision of RFM for geometric modeling of China's Chang'E-1 (CE-1 lunar orbiter images is presented. The RFM parameters of forward-, nadir- and backward-looking CE-1 images are generated though least squares solution using virtual control points derived from the rigorous sensor model. The precision of the RFM is evaluated by comparing with the rigorous sensor model in both image space and object space. Experimental results using nine images from three orbits show that RFM can precisely fit the rigorous sensor model of CE-1 CCD images with a RMS residual error of 1/100 pixel level in image space and less than 5 meters in object space. This indicates that it is feasible to use RFM to describe the imaging geometry of CE-1 CCD images and spacecraft position and orientation. RFM will enable planetary data centers to have an option to supply RFM parameters of orbital images while keeping the original orbit trajectory data confidential.

The radiative forcing potential of different climate geoengineering options

Directory of Open Access Journals (Sweden)

T. M. Lenton

2009-08-01

Full Text Available Climate geoengineering proposals seek to rectify the Earth's current and potential future radiative imbalance, either by reducing the absorption of incoming solar (shortwave radiation, or by removing CO₂ from the atmosphere and transferring it to long-lived reservoirs, thus increasing outgoing longwave radiation. A fundamental criterion for evaluating geoengineering options is their climate cooling effectiveness, which we quantify here in terms of radiative forcing potential. We use a simple analytical approach, based on energy balance considerations and pulse response functions for the decay of CO₂ perturbations. This aids transparency compared to calculations with complex numerical models, but is not intended to be definitive. It allows us to compare the relative effectiveness of a range of proposals. We consider geoengineering options as additional to large reductions in CO₂ emissions. By 2050, some land carbon cycle geoengineering options could be of comparable magnitude to mitigation "wedges", but only stratospheric aerosol injections, albedo enhancement of marine stratocumulus clouds, or sunshades in space have the potential to cool the climate back toward its pre-industrial state. Strong mitigation, combined with global-scale air capture and storage, afforestation, and bio-char production, i.e. enhanced CO₂ sinks, might be able to bring CO₂ back to its pre-industrial level by 2100, thus removing the need for other geoengineering. Alternatively, strong mitigation stabilising CO₂ at 500 ppm, combined with geoengineered increases in the albedo of marine stratiform clouds, grasslands, croplands and human settlements might achieve a patchy cancellation of radiative forcing. Ocean fertilisation options are only worthwhile if sustained on a millennial timescale and phosphorus addition may have greater long-term potential than iron or nitrogen fertilisation. Enhancing ocean

Report on farm scale eco-efficiency of mitigation and adaption options. D10.3

DEFF Research Database (Denmark)

Kristensen, Ib Sillebak; Olesen, Jørgen Eivind; Hutchings, Nicholas John

2015-01-01

This deliverable collates the information on simulated effects of mitigation and adaptation options at the farm scale in Europe, primarily using the FarmAC model for the mitigation options, and applying semi quantitative modelling for the adaptation options....

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets

DEFF Research Database (Denmark)

Christoffersen, Peter; Jacobs, Kris; Li, Bingxin

2016-01-01

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data to investigate the economic importance of jumps...... and dynamic jump intensities in these markets. Allowing for jumps is crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities. During crisis periods, jumps occur more frequently. The properties of the jump processes implied by the option data...... differ from those implied by the futures data, which may be due to improved parameter identification....

Option contracts in fresh produce supply chain with circulation loss

Directory of Open Access Journals (Sweden)

Chong Wang

2013-03-01

Full Text Available Purpose: The purpose of this paper is to investigate management decisions via option contracts in a two-stage supply chain in which a fresh produce supplier sells to a retailer, considering the circulation loss of the fresh produce. Design/methodology/approach: Authors propose a Stackelberg model to analyze the supply chain members’ decisions in the decentralized supply chain compared with the integrated one under the newsvendor framework. Findings: The results illustrate that there exists a unique optimal option order quantity for the retailer and a unique optimal option order price for the supplier giving certain conditions; furthermore, option contracts cannot coordinate the fresh produce supply chain when the retailer only orders options. Originality/value: Agricultural products especially fresh produce’s characteristics such as circulation loss and high risk are considered. Option contracts and game theory are combined to manage the fresh produce supply chain’s risk. The proposed tool and models are hoped to shed light to the future works in the field of supply chain risk management.

NEURAL NETWORKS FOR STOCK MARKET OPTION PRICING

Directory of Open Access Journals (Sweden)

Sergey A. Sannikov

2017-03-01

Full Text Available Introduction: The use of neural networks for non-linear models helps to understand where linear model drawbacks, coused by their specification, reveal themselves. This paper attempts to find this out. The objective of research is to determine the meaning of “option prices calculation using neural networks”. Materials and Methods: We use two kinds of variables: endogenous (variables included in the model of neural network and variables affecting on the model (permanent disturbance. Results: All data are divided into 3 sets: learning, affirming and testing. All selected variables are normalised from 0 to 1. Extreme values of income were shortcut. Discussion and Conclusions: Using the 33-14-1 neural network with direct links we obtained two sets of forecasts. Optimal criteria of strategies in stock markets’ option pricing were developed.

Optional inferior vena caval filters: where are we now?

LENUS (Irish Health Repository)

Keeling, A N

2008-08-01

With the advent of newer optional\\/retrievable inferior vena caval filters, there has been a rise in the number of filters inserted globally. This review article examines the currently available approved optional filter models, outlines the clinical indications for filter insertion and examines the expanding indications. Additionally, the available evidence behind the use of optional filters is reviewed, the issue of anticoagulation is discussed and possible future filter developments are considered.

REAL OPTIONS ANALYSIS – ASSESSMENT METHOD OF INVESTMENT PROJECTS IN GREEN ENERGY

Directory of Open Access Journals (Sweden)

MAFTEI DANIEL

2014-10-01

Full Text Available This article highlights the importance of real options as a evaluation method of investment in green energy. Article consider several theoretical and practical approaches, the analysis based on real options by many authors who have theorized and used this method. Each approach provides a operationalisation through a steps series of specific evaluation. This paper highlights the different views: academics, financiers, managers and facilitates the access to an accurate evaluation decisions of projects.

STRATEGIC EXERCISE OF REAL OPTIONS:INVESTMENT DECISIONS IN TECHNOLOGICAL SYSTEMS

Institute of Scientific and Technical Information of China (English)

Kevin ZHU; John WEYANT

2003-01-01

Viewing investment projects in new technologies as real options, this paper studies the effects of endogenous competition and asymmetric information on the strategic exercise of real options. We first develop a multi-period, game-theoretic model and show how competition leads to early exercise and aggressive investment behaviors and how competition erodes option values. We then relax the typical full-information assumption found in the literature and allow information asymmetry to exist across firms. Our model shows, in contrast to the literature that payoff is independent of the ordering of exercise, that the sequential exercise of real options may generate both informational and payoff externalities. We also find some surprising but interesting results such as having more information is not necessarily better.

Guidance on a harmonised framework for pest risk assessment and the identification and evaluation of pest risk management options by EFSA

DEFF Research Database (Denmark)

Baker, R.; Candresse, T.; Dormannsné Simon, E.

2010-01-01

The Scientific Panel on Plant Health was requested by EFSA to develop a guidance document on a harmonised framework for risk assessment of organisms harmful to plants and plant products and the identification and evaluation of risk management options. The document provides guiding principles on a...

Valuing of research project in energy field with real options

International Nuclear Information System (INIS)

De Blasio, N.; Marzo, G.; Turatto, R.

2008-01-01

This article presents an application of real options theory for valuing a research project in the field of stranded gas valorisation. After a presentation of the theory, the analysis addresses the use of real options evaluation for generating alternative pathways in order to add new value to the R D projects. It also shows how real option approach may be important for selecting among competitive projects, but also for providing a system for valorisation of decision-maker flexibility [it

The Conquest of Outer Space--Optional Curriculum Model

Science.gov (United States)

Florian, Gabriel; Florian, Aurelia-Daniela; Pufu, Nicolae

2015-01-01

This paper proposes an optional syllabus for the students in the XIIth grade. The proposed theme analyzes the concept of "variable mass" both in terms of classical mechanics and relativistic mechanics. In terms of classical mechanics we refer to the slow motion of a body, whose mass ranges in ascending way (by annealing a mass particle…

Options to improve energy efficiency for educational building

Science.gov (United States)

Jahan, Mafruha

The cost of energy is a major factor that must be considered for educational facility budget planning purpose. The analysis of energy related issues and options can be complex and requires significant time and detailed effort. One way to facilitate the inclusion of energy option planning in facility planning efforts is to utilize a tool that allows for quick appraisal of the facility energy profile. Once such an appraisal is accomplished, it is then possible to rank energy improvement options consistently with other facility needs and requirements. After an energy efficiency option has been determined to have meaningful value in comparison with other facility planning options, it is then possible to utilize the initial appraisal as the basis for an expanded consideration of additional facility and energy use detail using the same analytic system used for the initial appraisal. This thesis has developed a methodology and an associated analytic model to assist in these tasks and thereby improve the energy efficiency of educational facilities. A detailed energy efficiency and analysis tool is described that utilizes specific university building characteristics such as size, architecture, envelop, lighting, occupancy, thermal design which allows reducing the annual energy consumption. Improving the energy efficiency of various aspects of an educational building's energy performance can be complex and can require significant time and experience to make decisions. The approach developed in this thesis initially assesses the energy design for a university building. This initial appraisal is intended to assist administrators in assessing the potential value of energy efficiency options for their particular facility. Subsequently this scoping design can then be extended as another stage of the model by local facility or planning personnel to add more details and engineering aspects to the initial screening model. This approach can assist university planning efforts to

Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels

DEFF Research Database (Denmark)

Babaoglu, Kadir Gokhan; Christoffersen, Peter; Heston, Steven

We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns and option data. All three features lead to statistically significant model improvements. A second volatility factor is economically most i...

Hazardous landfill management, control options

International Nuclear Information System (INIS)

Corbin, M.H.; Lederman, P.B.

1982-01-01

The land disposal of hazardous wastes has been a common practice over the last half century. The industrial and environmental communities, as well as the public, have an immediate challenge to control the contaminants that may be released from waste land disposal facilities. At the same time, land disposal continues to be, in many cases, the only available disposal technique that can be utilized in the next five years. Thus, it is extremely important that environmentally sound landfill management and control techniques be utilized, both for inactive and active sites. There are a number of key steps in developing a sound management and control plan. These include problem definition, personnel safety, characterization, evaluation of control options, cost-effectiveness analysis and development of an integrated control plan. A number of control options, including diversion, regrading, sealing, and leachate treatment are available and more cost effective in most cases than waste removal. These and other options, as well as the methodology to develop an integrated control plan, are discussed, together with examples. (Auth.)

An initial evaluation of potential options for managing riparian reserves of the Aquatic Conservation Strategy of the Northwest Forest Plan

Science.gov (United States)

Gordon H. Reeves; Brian R. Pickard; K. Norman. Johnson

2016-01-01

The Aquatic Conservation Strategy (ACS) of the Northwest Forest Plan guides management of riparian and aquatic ecosystems on federal lands in western Oregon, western Washington, and northern California. We applied new scientific findings and tools to evaluate two potential options, A and B, for refining interim riparian reserves to meet ACS goals and likely challenges...

An integrated TSP-GA with EOL cost model for selecting the best EOL option

OpenAIRE

Zakri Ghazalli; Atsuo Murata

2011-01-01

This paper presents our research works on integrating design for disassembly with cost model for end-of-life (EOL) product. This paper has two objectives. The first objective is to optimize disassembly sequence of the EOL product. We integrate a traveling salesman problem approach with genetic algorithm in finding the optimal disassembly sequence for disassembling the EOL product. Based on this optimal sequence, the second objective is to identify the best EOL option. We employ EOL profits an...

Australian Asian Options

OpenAIRE

Manuel Moreno; Javier F. Navas

2003-01-01

We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian Asian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use different approximations that produce very similar results.

Mercury contaminated sediment sites—An evaluation of remedial options

Energy Technology Data Exchange (ETDEWEB)

Randall, Paul M., E-mail: randall.paul@epa.gov [U.S. Environmental Protection Agency, Office of Research and Development, National Risk Management Research Laboratory, 26 West Martin Luther King Drive, Cincinnati, OH 45268 (United States); Chattopadhyay, Sandip, E-mail: Sandip.Chattopadhyay@tetratech.com [Tetra Tech, Inc., 250 West Court Street, Suite 200W, Cincinnati, OH 45202 (United States)

2013-08-15

Mercury (Hg) is a naturally-occurring element that is ubiquitous in the aquatic environment. Though efforts have been made in recent years to decrease Hg emissions, historically-emitted Hg can be retained in the sediments of aquatic bodies where they may be slowly converted to methylmercury (MeHg). Consequently, Hg in historically-contaminated sediments can result in high levels of significant exposure for aquatic species, wildlife and human populations consuming fish. Even if source control of contaminated wastewater is achievable, it may take a very long time, perhaps decades, for Hg-contaminated aquatic systems to reach relatively safe Hg levels in both water and surface sediment naturally. It may take even longer if Hg is present at higher concentration levels in deep sediment. Hg contaminated sediment results from previous releases or ongoing contributions from sources that are difficult to identify. Due to human activities or physical, chemical, or biological processes (e.g. hydrodynamic flows, bioturbation, molecular diffusion, and chemical transformation), the buried Hg can be remobilized into the overlying water. Hg speciation in the water column and sediments critically affect the reactivity (i.e. conversion of inorganic Hg(II) to MeHg), transport, and its exposure to living organisms. Also, geochemical conditions affect the activity of methylating bacteria and its availability for methylation. This review paper discusses remedial considerations (e.g. key chemical factors in fate and transport of Hg, source characterization and control, environmental management procedures, remediation options, modeling tools) and includes practical case studies for cleaning up Hg-contaminated sediment sites. -- Highlights: ► Managing mercury-contaminated sediment sites are challenging to remediate. ► Remediation technologies are making a difference in managing these sites. ► Partitioning plays a dominant role in the distribution of mercury species. ► Mathematical

An approach for assessing development and deployment risks in the DOE fuel cycle options evaluation and screening study - 5267

International Nuclear Information System (INIS)

Gehin, J.C.; Worrall, A.; Oakley, B.; Jenni, K.; Taiwo, T.; Wigeland, R.

2015-01-01

One of the key objectives of the U.S. Department of Energy (DOE) Nuclear Energy Research/development road-map is the development of sustainable nuclear fuel cycles that can improve natural resource utilization and provide solutions to the management of nuclear wastes. Recently, an evaluation and screening (ES) of fuel cycle systems has been conducted to identify those options that provide the best opportunities for obtaining such improvements and also to identify the required research and development activities that can support the development of advanced fuel cycle options. In order to evaluate and screen fuel cycle systems in the ES study, nine criteria were used including Development and Deployment Risk (DDR). More specifically, this criterion was represented by the following metrics: Development time, development cost, deployment cost from prototypic validation to first-of-a-kind commercial, compatibility with the existing nuclear fuel cycle infrastructure, existence of regulations for the fuel cycle and familiarity with licensing, and existence of market incentives and/or barriers to commercial implementation of fuel cycle processes. Given the comprehensive nature of the study, a systematic approach was needed to determine metric data for the DDR criterion. As would be expected, the Evaluation Group representing the once-through use of uranium in thermal reactors is always the highest ranked fuel cycle Evaluation Group for this DDR criterion. Evaluation Groups that consist of once-through fuel cycles that use existing reactor types are consistently ranked very high. The highest ranked limited and continuous recycle fuel cycle Evaluation Groups are those that recycle Pu in thermal reactors. The lowest ranked fuel cycles are predominately continuous recycle single stage and multi-stage fuel cycles that involve TRU and/or U 233 recycle. (authors)

A Simulation-Based Evaluation of Premovement Active Surveillance Protocol Options for the Managed Movement of Turkeys to Slaughter During an Outbreak of Highly Pathogenic Avian Influenza in the United States.

Science.gov (United States)

Todd Weaver, J; Malladi, Sasidhar; Bonney, Peter J; Patyk, Kelly A; Bergeron, Justin G; Middleton, Jamie L; Alexander, Catherine Y; Goldsmith, Timothy J; Halvorson, David A

2016-05-01

Risk management decisions associated with live poultry movement during a highly pathogenic avian influenza (HPAI) outbreak should be carefully considered. Live turkey movements may pose a risk for disease spread. On the other hand, interruptions in scheduled movements can disrupt business continuity. The Secure Turkey Supply (STS) Plan was developed through an industry-government-academic collaboration to address business continuity concerns that might arise during a HPAI outbreak. STS stakeholders proposed outbreak response measure options that were evaluated through risk assessment. The developed approach relies on 1) diagnostic testing of two pooled samples of swabs taken from dead turkeys immediately before movement via the influenza A matrix gene real-time reverse transcriptase polymerase chain reaction (rRT-PCR) test; 2) enhanced biosecurity measures in combination with a premovement isolation period (PMIP), restricting movement onto the premises for a few days before movement to slaughter; and 3) incorporation of a distance factor from known infected flocks such that exposure via local area spread is unlikely. Daily exposure likelihood estimates from spatial kernels from past HPAI outbreaks were coupled with simulation models of disease spread and active surveillance to evaluate active surveillance protocol options that differ with respect to the number of swabs per pooled sample and the timing of the tests in relation to movement. Simulation model results indicate that active surveillance testing, in combination with strict biosecurity, substantially increased HPAI virus detection probability. When distance from a known infected flock was considered, the overall combined likelihood of moving an infected, undetected turkey flock to slaughter was predicted to be lower at 3 and 5 km. The analysis of different active surveillance protocol options is designed to incorporate flexibility into HPAI emergency response plans.

Stock price dynamics and option valuations under volatility feedback effect

Science.gov (United States)

Kanniainen, Juho; Piché, Robert

2013-02-01

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.

Influence of Modelling Options in RELAP5/SCDAPSIM and MAAP4 Computer Codes on Core Melt Progression and Reactor Pressure Vessel Integrity

Directory of Open Access Journals (Sweden)

Siniša Šadek

2010-01-01

Full Text Available RELAP5/SCDAPSIM and MAAP4 are two widely used severe accident computer codes for the integral analysis of the core and the reactor pressure vessel behaviour following the core degradation. The objective of the paper is the comparison of code results obtained by application of different modelling options and the evaluation of influence of thermal hydraulic behaviour of the plant on core damage progression. The analysed transient was postulated station blackout in NPP Krško with a leakage from reactor coolant pump seals. Two groups of calculations were performed where each group had a different break area and, thus, a different leakage rate. Analyses have shown that MAAP4 results were more sensitive to varying thermal hydraulic conditions in the primary system. User-defined parameters had to be carefully selected when the MAAP4 model was developed, in contrast to the RELAP5/SCDAPSIM model where those parameters did not have any significant impact on final results.

Systems engineering study: tank 241-C-103 organic skimming,storage, treatment and disposal options

Energy Technology Data Exchange (ETDEWEB)

Klem, M.J.

1996-10-23

This report evaluates alternatives for pumping, storing, treating and disposing of the separable phase organic layer in Hanford Site Tank 241-C-103. The report provides safety and technology based preferences and recommendations. Two major options and several varations of these options were identified. The major options were: 1) transfer both the organic and pumpable aqueous layers to a double-shell tank as part of interim stabilization using existing salt well pumping equipment or 2) skim the organic to an above ground before interim stabilization of Tank 241-C-103. Other options to remove the organic were considered but rejected following preliminary evaluation.

Financial options methodology for analyzing investments in new technology

Energy Technology Data Exchange (ETDEWEB)

Wenning, B.D. [Texas Utilities Services, Inc., Dallas, TX (United States)

1994-12-31

The evaluation of investments in longer term research and development in emerging technologies, because of the nature of such subjects, must address inherent uncertainties. Most notably, future cash flow forecasts include substantial uncertainties. Conventional present value methodology, when applied to emerging technologies severely penalizes cash flow forecasts, and strategic investment opportunities are at risk of being neglected. Use of options valuation methodology adapted from the financial arena has been introduced as having applicability in such technology evaluations. Indeed, characteristics of superconducting magnetic energy storage technology suggest that it is a candidate for the use of options methodology when investment decisions are being contemplated.

Financial options methodology for analyzing investments in new technology

International Nuclear Information System (INIS)

Wenning, B.D.

1994-01-01

The evaluation of investments in longer term research and development in emerging technologies, because of the nature of such subjects, must address inherent uncertainties. Most notably, future cash flow forecasts include substantial uncertainties. Conventional present value methodology, when applied to emerging technologies severely penalizes cash flow forecasts, and strategic investment opportunities are at risk of being neglected. Use of options valuation methodology adapted from the financial arena has been introduced as having applicability in such technology evaluations. Indeed, characteristics of superconducting magnetic energy storage technology suggest that it is a candidate for the use of options methodology when investment decisions are being contemplated

Option volatility and the acceleration Lagrangian

Science.gov (United States)

Baaquie, Belal E.; Cao, Yang

2014-01-01

This paper develops a volatility formula for option on an asset from an acceleration Lagrangian model and the formula is calibrated with market data. The Black-Scholes model is a simpler case that has a velocity dependent Lagrangian. The acceleration Lagrangian is defined, and the classical solution of the system in Euclidean time is solved by choosing proper boundary conditions. The conditional probability distribution of final position given the initial position is obtained from the transition amplitude. The volatility is the standard deviation of the conditional probability distribution. Using the conditional probability and the path integral method, the martingale condition is applied, and one of the parameters in the Lagrangian is fixed. The call option price is obtained using the conditional probability and the path integral method.

The EMEFS model evaluation

International Nuclear Information System (INIS)

Barchet, W.R.; Dennis, R.L.; Seilkop, S.K.; Banic, C.M.; Davies, D.; Hoff, R.M.; Macdonald, A.M.; Mickle, R.E.; Padro, J.; Puckett, K.; Byun, D.; McHenry, J.N.; Karamchandani, P.; Venkatram, A.; Fung, C.; Misra, P.K.; Hansen, D.A.; Chang, J.S.

1991-12-01

The binational Eulerian Model Evaluation Field Study (EMEFS) consisted of several coordinated data gathering and model evaluation activities. In the EMEFS, data were collected by five air and precipitation monitoring networks between June 1988 and June 1990. Model evaluation is continuing. This interim report summarizes the progress made in the evaluation of the Regional Acid Deposition Model (RADM) and the Acid Deposition and Oxidant Model (ADOM) through the December 1990 completion of a State of Science and Technology report on model evaluation for the National Acid Precipitation Assessment Program (NAPAP). Because various assessment applications of RADM had to be evaluated for NAPAP, the report emphasizes the RADM component of the evaluation. A protocol for the evaluation was developed by the model evaluation team and defined the observed and predicted values to be used and the methods by which the observed and predicted values were to be compared. Scatter plots and time series of predicted and observed values were used to present the comparisons graphically. Difference statistics and correlations were used to quantify model performance. 64 refs., 34 figs., 6 tabs

The EMEFS model evaluation

Energy Technology Data Exchange (ETDEWEB)

Barchet, W.R. (Pacific Northwest Lab., Richland, WA (United States)); Dennis, R.L. (Environmental Protection Agency, Research Triangle Park, NC (United States)); Seilkop, S.K. (Analytical Sciences, Inc., Durham, NC (United States)); Banic, C.M.; Davies, D.; Hoff, R.M.; Macdonald, A.M.; Mickle, R.E.; Padro, J.; Puckett, K. (Atmospheric Environment Service, Downsview, ON (Canada)); Byun, D.; McHenry, J.N.

1991-12-01

The binational Eulerian Model Evaluation Field Study (EMEFS) consisted of several coordinated data gathering and model evaluation activities. In the EMEFS, data were collected by five air and precipitation monitoring networks between June 1988 and June 1990. Model evaluation is continuing. This interim report summarizes the progress made in the evaluation of the Regional Acid Deposition Model (RADM) and the Acid Deposition and Oxidant Model (ADOM) through the December 1990 completion of a State of Science and Technology report on model evaluation for the National Acid Precipitation Assessment Program (NAPAP). Because various assessment applications of RADM had to be evaluated for NAPAP, the report emphasizes the RADM component of the evaluation. A protocol for the evaluation was developed by the model evaluation team and defined the observed and predicted values to be used and the methods by which the observed and predicted values were to be compared. Scatter plots and time series of predicted and observed values were used to present the comparisons graphically. Difference statistics and correlations were used to quantify model performance. 64 refs., 34 figs., 6 tabs.

Evaluation and optimization of feed-in tariffs

International Nuclear Information System (INIS)

Kim, Kyoung-Kuk; Lee, Chi-Guhn

2012-01-01

Feed-in tariff program is an incentive plan that provides investors with a set payment for electricity generated from renewable energy sources that is fed into the power grid. As of today, FIT is being used by over 75 jurisdictions around the world and offers a number of design options to achieve policy goals. The objective of this paper is to propose a quantitative model, by which a specific FIT program can be evaluated and hence optimized. We focus on payoff structure, which has a direct impact on the net present value of the investment, and other parameters relevant to investor reaction and electricity prices. We combine cost modeling, option valuation, and consumer choice so as to simulate the performance of a FIT program of interest in various scenarios. The model is used to define an optimization problem from a policy maker's perspective, who wants to increase the contribution of renewable energy to the overall energy supply, while keeping the total burden on ratepayers under control. Numerical studies shed light on the interactions among design options, program parameters, and the performance of a FIT program. - Highlights: ► A quantitative model to evaluate and optimize feed-in tariff policies. ► Net present value of investment on renewable energy under a given feed-in tariff policy. ► Analysis of the interactions of policy options and relevant parameters. ► Recommendations for how to set policy options for feed-in tariff program.

Real Options in Capital Budgeting. Pricing the Option to Delay and the Option to Abandon a Project

Directory of Open Access Journals (Sweden)

Nicoleta Vintila

2007-07-01

Full Text Available Traditional discounted cash-flows method for assessing projects assumes that investment decision is an irreversible one, which is not correct. Managers can and must reconsider their initial decision as the new information arises during the project life. This is managerial flexibility and it creates strategic value for a project, only if management takes advantage of the opportunities associated with an analyzed project. Real options represent a new approach in capital budgeting, using the theory of pricing financial options for investments in real assets. In this paper, we emphasize the characteristics and valuation methodologies of real options. The objective in the last section is pricing the option to delay and the option to abandon a project in construction materials field.

Stata 8 Graphics: Options, sub-options and sub-sub-options

OpenAIRE

Tim Collier

2005-01-01

Stata 8 graphics have changed out of all recognition from that available in earlier versions. It was not just that a whole new array of options and sub-options were introduced, but the graph syntax itself completely changed. Just trying to produce a simple plot of x against y using Stata 7 syntax (graph x y) produced bewildering error messages e.g. xgraph_g.new y: class member function not found r(4023) and the like. If you did succeed in working out the new syntax (graph twoway scatter x y) ...

Using real options to evaluate the flexibility in the deployment of SMR

Energy Technology Data Exchange (ETDEWEB)

Locatelli, G. [Univ. of Lincoln, Lincoln School of Engineering, Brayford Pool, Lincoln LN6 7TS (United Kingdom); Mancini, M. [Politecnico di Milano, Dept. of Management, Economics and Industrial Engineering, Via Lambruschini 4/B, Milano (Italy); Ruiz, F.; Solana, P. [Universidad Politecnica de Madrid, Dep. de Ingenieria de Organizacion, Administracion de Empresas y Estadistica, C/ Jose Gutierrez Abascal, 2, 28006-Madrid (Spain)

2012-07-01

According to recent estimations the financial gap between Large Reactors (LR) and Small Medium Reactors (SMRs) seems not as huge as the economy of scale would suggest, so the SMRs are going to be important players of the worldwide nuclear renaissance. POLIMIs INCAS model has been developed to compare the investment in SMR with respect to LR. It provides the value of IRR (Internal Rate of Return), NPV (Net Present Value), LUEC (Levelized Unitary Electricity Cost), up-front investment, etc. The aim of this research is to integrate the actual INCAS model, based on discounted cash flows, with the real option theory to measure flexibility of the investor to expand, defer or abandon a nuclear project, under future uncertainties. The work compares the investment in a large nuclear power plant with a series of smaller, modular nuclear power plants on the same site. As a consequence it compares the benefits of the large power plant, coming from the economy of scale, to the benefit of the modular project (flexibility) concluding that managerial flexibility can be measured and used by an investor to face the investment risks. (authors)

Using real options to evaluate the flexibility in the deployment of SMR

International Nuclear Information System (INIS)

Locatelli, G.; Mancini, M.; Ruiz, F.; Solana, P.

2012-01-01

According to recent estimations the financial gap between Large Reactors (LR) and Small Medium Reactors (SMRs) seems not as huge as the economy of scale would suggest, so the SMRs are going to be important players of the worldwide nuclear renaissance. POLIMIs INCAS model has been developed to compare the investment in SMR with respect to LR. It provides the value of IRR (Internal Rate of Return), NPV (Net Present Value), LUEC (Levelized Unitary Electricity Cost), up-front investment, etc. The aim of this research is to integrate the actual INCAS model, based on discounted cash flows, with the real option theory to measure flexibility of the investor to expand, defer or abandon a nuclear project, under future uncertainties. The work compares the investment in a large nuclear power plant with a series of smaller, modular nuclear power plants on the same site. As a consequence it compares the benefits of the large power plant, coming from the economy of scale, to the benefit of the modular project (flexibility) concluding that managerial flexibility can be measured and used by an investor to face the investment risks. (authors)

American options under stochastic volatility

NARCIS (Netherlands)

Chockalingam, A.; Muthuraman, K.

2011-01-01

The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility

Real Option Cost Vulnerability Analysis of Electrical Infrastructure

Science.gov (United States)

Prime, Thomas; Knight, Phil

2015-04-01

Critical infrastructure such as electricity substations are vulnerable to various geo-hazards that arise from climate change. These geo-hazards range from increased vegetation growth to increased temperatures and flood inundation. Of all the identified geo-hazards, coastal flooding has the greatest impact, but to date has had a low probability of occurring. However, in the face of climate change, coastal flooding is likely to occur more often due to extreme water levels being experienced more frequently due to sea-level rise (SLR). Knowing what impact coastal flooding will have now and in the future on critical infrastructure such as electrical substations is important for long-term management. Using a flood inundation model, present day and future flood events have been simulated, from 1 in 1 year events up to 1 in 10,000 year events. The modelling makes an integrated assessment of impact by using sea-level and surge to simulate a storm tide. The geographical area the model covers is part of the Northwest UK coastline with a range of urban and rural areas. The ensemble of flood maps generated allows the identification of critical infrastructure exposed to coastal flooding. Vulnerability has be assessed using an Estimated Annual Damage (EAD) value. Sampling SLR annual probability distributions produces a projected "pathway" for SLR up to 2100. EAD is then calculated using a relationship derived from the flood model. Repeating the sampling process allows a distribution of EAD up to 2100 to be produced. These values are discounted to present day values using an appropriate discount rate. If the cost of building and maintain defences is also removed from this a Net Present Value (NPV) of building the defences can be calculated. This distribution of NPV can be used as part of a cost modelling process involving Real Options, A real option is the right but not obligation to undertake investment decisions. In terms of investment in critical infrastructure resilience this

Flexibility and Project Value: Interactions and Multiple Real Options

Science.gov (United States)

Čulík, Miroslav

2010-06-01

This paper is focused on a project valuation with embedded portfolio of real options including their interactions. Valuation is based on the criterion of Net Present Value on the simulation basis. Portfolio includes selected types of European-type real options: option to expand, contract, abandon and temporarily shut down and restart a project. Due to the fact, that in reality most of the managerial flexibility takes the form of portfolio of real options, selected types of options are valued not only individually, but also in combination. The paper is structured as follows: first, diffusion models for forecasting of output prices and variable costs are derived. Second, project value is estimated on the assumption, that no real options are present. Next, project value is calculated with the presence of selected European-type options; these options and their impact on project value are valued first in isolation and consequently in different combinations. Moreover, intrinsic value evolution of given real options with respect to the time of exercising is analysed. In the end, results are presented graphically; selected statistics and risk measures (Value at Risk, Expected Shortfall) of the NPV's distributions are calculated and commented.

Decisions on Energy Demand Response Option Contracts in Smart Grids Based on Activity-Based Costing and Stochastic Programming

Directory of Open Access Journals (Sweden)

Alfred J. Hildreth

2013-01-01

Full Text Available Smart grids enable a two-way energy demand response capability through which a utility company offers its industrial customers various call options for energy load curtailment. If a customer has the capability to accurately determine whether to accept an offer or not, then in the case of accepting an offer, the customer can earn both an option premium to participate, and a strike price for load curtailments if requested. However, today most manufacturing companies lack the capability to make the correct contract decisions for given offers. This paper proposes a novel decision model based on activity-based costing (ABC and stochastic programming, developed to accurately evaluate the impact of load curtailments and determine as to whether or not to accept an energy load curtailment offer. The proposed model specifically targets state-transition flexible and Quality-of-Service (QoS flexible energy use activities to reduce the peak energy demand rate. An illustrative example with the proposed decision model under a call-option based energy demand response scenario is presented. As shown from the example results, the proposed decision model can be used with emerging smart grid opportunities to provide a competitive advantage to the manufacturing industry.

Mellin Transform Method for European Option Pricing with Hull-White Stochastic Interest Rate

Directory of Open Access Journals (Sweden)

Ji-Hun Yoon

2014-01-01

Full Text Available Even though interest rates fluctuate randomly in the marketplace, many option-pricing models do not fully consider their stochastic nature owing to their generally limited impact on option prices. However, stochastic dynamics in stochastic interest rates may have a significant impact on option prices as we take account of issues of maturity, hedging, or stochastic volatility. In this paper, we derive a closed form solution for European options in Black-Scholes model with stochastic interest rate using Mellin transform techniques.

Optimal scheduling in call centers with a callback option

OpenAIRE

Legros , Benjamin; Jouini , Oualid; Koole , Ger

2016-01-01

International audience; We consider a call center model with a callback option, which allows to transform an inbound call into an outbound one. A delayed call, with a long anticipated waiting time, receives the option to be called back. We assume a probabilistic customer reaction to the callback offer (option). The objective of the system manager is to characterize the optimal call scheduling that minimizes the expected waiting and abandonment costs. For the single-server case, we prove that ...

Evaluation of forward sales and options created through natural gas storage

International Nuclear Information System (INIS)

Salahor, G.S.; Laughton, D.G.

1994-01-01

The deregulation of natural gas markets in North America has resulted in greater quantities of gas being sold under indexed price agreements. As this is occurring, natural gas storage facilities are being developed and opened up for the use of natural gas producers and marketers. While natural gas spot prices continue to exhibit some strong seasonality reflecting higher demand peak in winter, traded futures contract prices tend to discount the expected market price. The elements which contribute to this differential are examined and some of the possible opportunities for the use of gas storage in tandem with other risk management instruments are demonstrated. The specific scenario to be evaluated takes the viewpoint of a natural gas producer considering the storage and later withdrawal of gas to take some advantage of an anticipated seasonal and/or secular price increase, with the objective of locking in future prices for current production. Gas would be stored in a low season and later withdrawn and sold, with the price covered by a futures contract or by a dynamic hedging strategy. The expected returns from a natural gas storage/withdrawal scheme are analyzed and the implications of market volatility, price of risk, the local cost of storage, and observations regarding the convenience yield (a difference between the current spot market price and futures market price for future periods) are presented. Analysis of gas storage proposals of specific duration is included as well as evaluation of potential put options created when the storage duration is not fixed. 6 refs., 4 figs., 4 tabs

Engineered Option Treatment of Remediated Nitrate Salts: Surrogate Batch-Blending Testing

Energy Technology Data Exchange (ETDEWEB)

Anast, Kurt Roy [Los Alamos National Lab. (LANL), Los Alamos, NM (United States)

2016-03-11

This report provides results from batch-blending test work for remediated nitrate salt (RNS) treatment. Batch blending was identified as a preferred option for blending RNS and unremediated nitrate salt (UNS) material with zeolite to effectively safe the salt/Swheat material identified as ignitable (U.S. Environmental Protection Agency code D001). Blending with zeolite was the preferred remediation option identified in the Options Assessment Report and was originally proposed as the best option for remediation by Clark and Funk in their report, Chemical Reactivity and Recommended Remediation Strategy for Los Alamos Remediated Nitrate Salt (RNS) Wastes, and also found to be a preferred option in the Engineering Options Assessment Report: Nitrate Salt Waste Stream Processing. This test work evaluated equipment and recipe alternatives to achieve effective blending of surrogate waste with zeolite.

A Case Study on Hydrodynamic Modeling and Design Improvement Evaluation to Manage Debris and Sediment Interference at a Water Intake Structure

Science.gov (United States)

Crissman, B. J.; Cunderlik, J. M.; Wong, R. P. L.; Pinero, A.

2017-12-01

Waterford 3 nuclear plant, located in Killona, Louisiana, provides approximately 10% of the state's electricity need. Located along the south bank of the Mississippi River, two miles upstream of the Bonnet Carre Spillway, the plant's single pass through cooling system continuously draws up to 1,000,000 gpm water from the river. On behalf of Entergy Louisiana, the project team evaluated options to improve the aging water intake structure with chronic debris and sediment entrainment issues. The highly complex and dynamic environment in the river coupled with regulatory constraints limited available improvement options: varying river stages allow debris to overflow the intake structure, but the maximum new wall height is restricted to minimize aesthetic intrusion and alteration to levee tie-back; bow waves push debris into the downstream intake wall, but the wall needs to maintain an opening to flush debris out from the intake structure; the river delivers significant sediment load, but any proposed intake structure cannot significantly alter existing bathymetry; EPA Clean Water Act Section 316(b) limited maximum velocity at the intake structure to 0.5 fps for entrainment prevention. To expedite alternative evaluation while providing sufficient data to inform management decision, instead of developing physical models, the project team developed a two-tier approach utilizing the TELEMAC hydrodynamic program to prepare screening analysis in 2D modeling and final evaluation in 3D modeling. The model was built upon the USACE ERDC ADH model, calibrated with river gauge data and peer reviewed by ERDC. TELEMAC, developed by EDF, provides novel features for modeling improvement options, including the recommended design concept, which is a hydraulically optimized intake geometry configured to maintain uniform intake flow while streamlining river flowline for debris and sediment deflection. The design includes submerged inlets with upstream and downstream walls to block

Life-cycle assessment of selected management options for air pollution control residues from waste incineration.

Science.gov (United States)

Fruergaard, Thilde; Hyks, Jiri; Astrup, Thomas

2010-09-15

Based on available technology and emission data seven selected management options for air-pollution-control (APC) residues from waste incineration were evaluated by life-cycle assessment (LCA) using the EASEWASTE model. Scenarios were evaluated with respect to both non-toxicity impact categories (e.g. global warming) and toxicity related impact categories (e.g. ecotoxicity and human toxicity). The assessment addressed treatment and final placement of 1 tonne of APC residue in seven scenarios: 1) direct landfilling without treatment (baseline), 2) backfilling in salt mines, 3) neutralization of waste acid, 4) filler material in asphalt, 5) Ferrox stabilization, 6) vitrification, and 7) melting with automobile shredder residues (ASR). The management scenarios were selected as examples of the wide range of different technologies available worldwide while at the same time using realistic technology data. Results from the LCA were discussed with respect to importance of: energy consumption/substitution, material substitution, leaching, air emissions, time horizon aspects for the assessment, and transportation distances. The LCA modeling showed that thermal processes were associated with the highest loads in the non-toxicity categories (energy consumption), while differences between the remaining alternatives were small and generally considered insignificant. In the toxicity categories, all treatment/utilization options were significantly better than direct landfilling without treatment (lower leaching), although the thermal processes had somewhat higher impacts than the others options (air emissions). Transportation distances did not affect the overall ranking of the management alternatives. Copyright 2010 Elsevier B.V. All rights reserved.

Identifying and Evaluating Options for Improving Sediment Management and Fish Passage at Hydropower Dams in the Lower Mekong River Basin

Science.gov (United States)

Wild, T. B.; Reed, P. M.; Loucks, D. P.

2015-12-01

The Mekong River basin in Southeast Asia is undergoing intensive and pervasive hydropower development to satisfy demand for increased energy and income to support its growing population of 60 million people. Just 20 years ago this river flowed freely. Today some 30 large dams exist in the basin, and over 100 more are being planned for construction. These dams will alter the river's natural water, sediment and nutrient flows, thereby impacting river morphology and ecosystems, and will fragment fish migration pathways. In doing so, they will degrade one of the world's most valuable and productive freshwater fish habitats. For those dams that have not yet been constructed, there still exist opportunities to modify their siting, design and operation (SDO) to potentially achieve a more balanced set of tradeoffs among hydropower production, sediment/nutrient passage and fish passage. We introduce examples of such alternative SDO opportunities for Sambor Dam in Cambodia, planned to be constructed on the main stem of the Mekong River. To evaluate the performance of such alternatives, we developed a Python-based simulation tool called PySedSim. PySedSim is a daily time step mass balance model that identifies the relative tradeoffs among hydropower production, and flow and sediment regime alteration, associated with reservoir sediment management techniques such as flushing, sluicing, bypassing, density current venting and dredging. To date, there has been a very limited acknowledgement or evaluation of the significant uncertainties that impact the evaluation of SDO alternatives. This research is formalizing a model diagnostic assessment of the key assumptions and parametric uncertainties that strongly influence PySedSim SDO evaluations. Using stochastic hydrology and sediment load data, our diagnostic assessment evaluates and compares several Sambor Dam alternatives using several performance measures related to energy production, sediment trapping and regime alteration, and

Modelled female sale options demonstrate improved profitability in northern beef herds.

Science.gov (United States)

Niethe, G E; Holmes, W E

2008-12-01

To examine the impact of improving the average value of cows sold, the risk of decreasing the number weaned, and total sales on the profitability of northern Australian cattle breeding properties. Gather, model and interpret breeder herd performances and production parameters on properties from six beef-producing regions in northern Australia. Production parameters, prices, costs and herd structure were entered into a herd simulation model for six northern Australian breeding properties that spay females to enhance their marketing options. After the data were validated by management, alternative management strategies were modelled using current market prices and most likely herd outcomes. The model predicted a close relationship between the average sale value of cows, the total herd sales and the gross margin/adult equivalent. Keeping breeders out of the herd to fatten generally improves their sale value, and this can be cost-effective, despite the lower number of progeny produced and the subsequent reduction in total herd sales. Furthermore, if the price of culled cows exceeds the price of culled heifers, provided there are sufficient replacement pregnant heifers available to maintain the breeder herd nucleus, substantial gains in profitability can be obtained by decreasing the age at which cows are culled from the herd. Generalised recommendations on improving reproductive performance are not necessarily the most cost-effective strategy to improve breeder herd profitability. Judicious use of simulation models is essential to help develop the best turnoff strategies for females and to improve station profitability.

Option generation in decision making: ideation beyond memory retrieval.

Science.gov (United States)

Del Missier, Fabio; Visentini, Mimì; Mäntylä, Timo

2014-01-01

According to prescriptive decision theories, the generation of options for choice is a central aspect of decision making. A too narrow representation of the problem may indeed limit the opportunity to evaluate promising options. However, despite the theoretical and applied significance of this topic, the cognitive processes underlying option generation are still unclear. In particular, while a cued recall account of option generation emphasizes the role of memory and executive control, other theoretical proposals stress the importance of ideation processes based on various search and thinking processes. Unfortunately, relevant behavioral evidence on the cognitive processes underlying option generation is scattered and inconclusive. In order to reach a better understanding, we carried out an individual-differences study employing a wide array of cognitive predictors, including measures of episodic memory, semantic memory, cognitive control, and ideation fluency. The criterion tasks consisted of three different poorly-structured decision-making scenarios, and the participants were asked to generate options to solve these problems. The main criterion variable of the study was the number of valid options generated, but also the diversity and the quality of generated options were examined. The results showed that option generation fluency and diversity in the context of ill-structured decision making are supported by ideation ability even after taking into account the effects of individual differences in several other aspects of cognitive functioning. Thus, ideation processes, possibly supported by search and thinking processes, seem to contribute to option generation beyond basic associative memory retrieval. The findings of the study also indicate that generating more options may have multifaceted consequences for choice, increasing the quality of the best option generated but decreasing the mean quality of the options in the generated set.

Option generation in decision making: Ideation beyond memory retrieval

Directory of Open Access Journals (Sweden)

Fabio eDel Missier

2015-01-01

Full Text Available According to prescriptive decision theories, the generation of options for choice is a central aspect of decision making. A too narrow representation of the problem may indeed limit the opportunity to evaluate promising options. However, despite the theoretical and applied significance of this topic, the cognitive processes underlying option generation are still unclear. In particular, while a cued recall account of option generation emphasizes the role of memory and executive control, other theoretical proposals stress the importance of ideation processes based on various search and thinking processes. Unfortunately, relevant behavioral evidence on the cognitive processes underlying option generation is scattered and inconclusive. In order to reach a better understanding, we carried out an individual-differences study employing a wide array of cognitive predictors, including measures of episodic memory, semantic memory, cognitive control, and ideation fluency. The criterion tasks consisted of three different poorly-structured decision-making scenarios, and the participants were asked to generate options to solve these problems. The main criterion variable of the study was the number of valid options generated, but also the diversity and the quality of generated options were examined. The results showed that option generation fluency and diversity in the context of ill-structured decision making are supported by ideation ability even after taking into account the effects of individual differences in several other aspects of cognitive functioning. Thus, ideation processes, possibly supported by search and thinking processes, seem to contribute to option generation beyond basic associative memory retrieval. The findings of the study also indicate that generating more options may have multifaceted consequences for choice, increasing the quality of the best option generated but decreasing the mean quality of the options in the generated set.

Smoothing the payoff for efficient computation of Basket option prices

KAUST Repository

Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul

2017-01-01

We consider the problem of pricing basket options in a multivariate Black–Scholes or Variance-Gamma model. From a numerical point of view, pricing such options corresponds to moderate and high-dimensional numerical integration problems with non

ACCOUNTING FOR OPTIONS AND ANALYSIS OF USE OF OPTION COMBINATION STRATEGIES

Directory of Open Access Journals (Sweden)

I. Derun

2016-08-01

Full Text Available The article deals with problems of accounting for options in Ukraine, namely: value expression of initial cost of options, their revaluation, accounting of premiums, financial assets and financial liabilities and variation margin. The paper offers ways of solution of these problems which based on harmonization with IAS 32, IAS 39, IFRS 7 and IFRS 9. The study considers option combination strategies (straddle, strangle, strap, strip and approaches of identification of possible financial results for investors which use these strategies. Examples of possible financial results are provided for buyers and sellers of options which use option combination strategies.

Analysing pseudoephedrine/methamphetamine policy options in Australia using multi-criteria decision modelling.

Science.gov (United States)

Manning, Matthew; Wong, Gabriel T W; Ransley, Janet; Smith, Christine

2016-06-01

In this paper we capture and synthesize the unique knowledge of experts so that choices regarding policy measures to address methamphetamine consumption and dependency in Australia can be strengthened. We examine perceptions of the: (1) influence of underlying factors that impact on the methamphetamine problem; (2) importance of various models of intervention that have the potential to affect the success of policies; and (3) efficacy of alternative pseudoephedrine policy options. We adopt a multi-criteria decision model to unpack factors that affect decisions made by experts and examine potential variations on weight/preference among groups. Seventy experts from five groups (i.e. academia (18.6%), government and policy (27.1%), health (18.6%), pharmaceutical (17.1%) and police (18.6%)) in Australia participated in the survey. Social characteristics are considered the most important underlying factor, prevention the most effective strategy and Project STOP the most preferred policy option with respect to reducing methamphetamine consumption and dependency in Australia. One-way repeated ANOVAs indicate a statistically significant difference with regards to the influence of underlying factors (F(2.3, 144.5)=11.256, pmethamphetamine consumption and dependency. Most experts support the use of preventative mechanisms to inhibit drug initiation and delayed drug uptake. Compared to other policies, Project STOP (which aims to disrupt the initial diversion of pseudoephedrine) appears to be a more preferable preventative mechanism to control the production and subsequent sale and use of methamphetamine. This regulatory civil law lever engages third parties in controlling drug-related crime. The literature supports third-party partnerships as it engages experts who have knowledge and expertise with respect to prevention and harm minimization. Copyright © 2016 Elsevier B.V. All rights reserved.

Option pricing: Stock price, stock velocity and the acceleration Lagrangian

Science.gov (United States)

Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra

2014-12-01

The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries part of the information that is provided by implied volatility, and with a few (time-independent) parameters required for a complete pricing formula. An option pricing formula is developed that is based on knowing the value of both the current price and rate of return of the underlying security which in physics is called velocity. Using an acceleration Lagrangian model based on the formalism of quantum mathematics, we derive the pricing formula for European call options. The implied volatility of the market can be generated by our pricing formula. Our option price is applied to foreign exchange rates and equities and the accuracy is compared with Black-Scholes pricing formula and with the market price.

Identifying lubricant options for compressor bearing designs

Science.gov (United States)

Karnaz, J.; Seeton, C.; Dixon, L.

2017-08-01

Today’s refrigeration and air conditioning market is not only driven by the environmental aspects of the refrigerants, but also by the energy efficiency and reliability of system operation. Numerous types of compressor designs are used in refrigeration and air conditioning applications which means that different bearings are used; and in some cases, multiple bearing types within a single compressor. Since only one lubricant is used, it is important to try to optimize the lubricant to meet the various demands and requirements for operation. This optimization entails investigating different types of lubricant chemistries, viscosities, and various formulation options. What makes evaluating these options more challenging is the refrigerant which changes the properties of the lubricant delivered to the bearing. Once the lubricant and refrigerant interaction are understood, through various test methods, then work can start on collaborating with compressor engineers on identifying the lubricant chemistry and formulation options. These interaction properties are important to the design engineer to make decisions on the adequacy of the lubricant before compressor tests are started. This paper will discuss the process to evaluate lubricants for various types of compressors and bearing design with focus on what’s needed for current refrigerant trends. In addition, the paper will show how the lubricant chemistry choice can be manipulated through understanding of the bearing design and knowledge of interaction with the refrigerant to maximize performance. Emphasis will be placed on evaluation of synthetic lubricants for both natural and synthetic low GWP refrigerants.