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Options for Short-Term Price Determination in the Brazilian Wholesale Electricity Market: Report Prepared for Camara de Comercialização de Energia Elétrica (CCEE)
Price Determination Brazilian Wholesale Electricity
2015/7/31
This report was commissioned by the Camara de Comercialização de Energia Elétrica
(CCEE), the market operator for the Brazilian electricity supply industry, to study the options for
shor...
Informing Students about Their College Options: A Proposal for Broadening the Expanding College Opportunities Project
Strategy document economic policy and economic growth
2015/7/20
This discussion paper is a proposal from the authors. As emphasized in The Hamilton Project’s original strategy paper, the Project was designed in part to provide a forum for leading thinkers across ...
What High-Achieving Low-Income Students Know About College Options
Application financial education curriculum income wealth
2015/7/20
The decisions that young people make about college – where to apply, where to attend, how to finance their education, and what course of study to pursue – can greatly affect whether they achieve their...
The Real Options Effect of Uncertainty on Investment and Labor Demand
Investment labor demand uncertainty real options
2015/7/15
This paper shows that, contrary to common beliefs, the real options effect of uncertainty plays no role in the longrun rate of investment. This is proven for both the standard investment model with Co...
Analysing the new IFS-Leverhulme database on over 200 major British ®rms since 1968 we show that patents have an economically and statistically signi®cant impact on ®rm-level productivi...
The Impact of Shareholder Activism on Financial Reporting and Compensation:The Case of Employee Stock Options Expensing
Shareholder Activism Shareholder Votes Stock Option Expensing Executive Compensation
2015/5/13
We examine the economic consequences of more than 150 shareholder proposals to expense employee stock options (ESO) submitted during the proxy seasons of 2003 and 2004, the first case in which the SEC...
Do Executive Stock Options Encourage Risk-Taking?
Risk and Uncertainty Motivation and Incentives Stock Options Executive Compensation
2015/5/13
Executive stock options create incentives for executives to manage firms in ways that maximize firm market value. Since options increase in value with the volatility of the underlying stock, executive...
Policy Options for China's Bio-ethanol Development and the Implications for Its Agricultural Economy
Policy Options China's Bio-ethanol Development Implications Agricultural Economy
2014/3/12
The present paper analyzes the potential impacts of bio-ethanol expansion on agricultural production, food prices and farmers’ incomes in different regions of China. The results show that increase i...
Nutrient shortages and agricultural recycling options worldwide, with special reference to China
Nutrient shortages agricultural recycling options worldwide special reference to China
2014/3/12
Mineral nutrients such as Phosphorus and Zinc are getting scarcer worldwide. Unlike fossil fuels, for which over time substitutes can be developed, these nutrients cannot be substituted as they are es...
Hedging of game options in discrete markets with transaction costs
game options discrete markets transaction costs
2012/9/14
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete time markets with transaction costs both from seller’s (upper arbitrage free price) a...
Valuation and parity formulas for exchange options
Valuation and parity formulas exchange options
2012/9/14
Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and bubbles in asset pri...
Digital double barrier options: Several barrier periods and structure floors
Double barrier option tructure floor occupation time corridor option.
2012/9/14
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but...
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Pricing options illiquid assets liquid proxies utility indifference dynamic-static hedging
2012/6/4
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
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...
Using high performance computing and Monte Carlo simulation for pricing american options
High performance computing NVidia CUDA GPGPU finance Monte Carlo American options
2012/6/5
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options...