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Valuation When Cash Flow Forecasts Are Biased
Forecasting and Prediction Cash Flow Cost of Capital Performance Expectations Prejudice and Bias Valuation
2015/4/23
This paper focuses adaptations to the discount cash flow (DCF) method when valuing forecasted cash flows that are biased measures of expected cash flows. I imagine a simple setting where the expected ...
Collateralized CVA Valuation with Rating Triggers and Credit Migrations
counterparty risk credit valuation adjustment CVA OTC contracts break clauses additional termination events
2012/6/5
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consid...
Valuation and hedging of the ruin-contingent life annuity (RCLA)
Valuation hedging of the ruin-contingent life annuity RCLA Pricing of Securities
2012/6/5
This paper analyzes a novel type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product fuses together a path-dependent equity put option with a "personal longevity" ...
The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
Valuation of Clean Spread Options Linking Electricity Emissions Fuels Pricing of Securities
2012/6/4
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The nove...
Electricity price modeling and asset valuation: a multi-fuel structural approach
Electricity price modeling asset valuation multi-fuel structural approach Pricing of Securities
2012/6/4
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the pri...
Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
Counterparty risk Credit Valuation Adjustment Unilateral CVA Bilateral CVA Debit Valuation Adjustment Closeout ISDA
2012/6/4
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In cas...