Trinomial tree based option pricing model in supply chain financing

2021 ◽  
Author(s):  
Huo Yunhang ◽  
Carman K. M. Lee ◽  
Zhang Shuzhu
Keyword(s):  
Supply Chain ◽  
Option Pricing ◽  
Pricing Model ◽  
Supply Chain Financing ◽  
Option Pricing Model ◽  
Trinomial Tree

scholarly journals Study on the Valuation Method for Overseas Oil and Gas Extraction Based on the Modified Trinomial Tree Option Pricing Model

2020 ◽  
Vol 2020 ◽  
pp. 1-15
Author(s):  
Jianye Liu ◽  
Zuxin Li ◽  
Dongkun Luo ◽  
Ruolei Liu
Keyword(s):  
Probability Distribution ◽  
Option Pricing ◽  
Cash Flow ◽  
Oil And Gas ◽  
Gas Extraction ◽  
Pricing Model ◽  
Valuation Method ◽  
Decision Points ◽  
Option Pricing Model ◽  
Trinomial Tree

Wandering of oil prices at lower values and the bitter reality have forced people to look for a more accurate valuation method for overseas oil and gas extraction of China. However, the currently available resource classification method, discount cash flow (DCF) method, and real option method all suffer from their own disadvantages. This paper identifies multiple uncertainty factors such as oil prices and reserves. It then investigates the transmission mechanism of how each uncertainty factor impacts the oil and gas extraction value and quantifies the transmission efficiency. The probability distribution patterns of each uncertainty factor have been determined; the trinomial tree option pricing model is modified, with consideration upon the nonstandardness of the probability distribution. Decision points and strategies space are designed in accordance with the practical oil and gas production; and the Bermuda option is adopted to replace the conventional decision-based tree model with the probability-based tree. Finally, a backward algorithm is developed to calculate the probability at each decision point, which avoids difficulties in determining the asset volatility ratio; and a case study is presented to demonstrate application of the proposed method. Results show that decision rights for overseas investment are valuable. The value of extraction does not yet necessarily grow with higher uncertainty, and instead, it is under joint effects of the cash flow and strategy space. So, valuation should incorporate the composite value of future cash flow and decision rights. Volatility of the value of extraction is not solely dependent on the oil price, but affected by multiple factors. Similar to the Bermuda option, the decision-making behavior for oil and gas extraction occurs only at finite decision points, to which the trinomial tree option pricing model is applicable. The adoption of probability distribution can to a great extent exploit the uncertain information. Replacement of the decision-based tree with the probability-based tree provides more accurate probability distribution of the calculated value of extraction, and moreover the disperse degree of the probability can reflect how high risks are, which is conducive to decision-making for investment.

An analytical approximation for the GARCH option pricing model

1999 ◽  
Vol 2 (4) ◽  
pp. 75-116 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Geneviève Gauthier ◽  
Jean-Guy Simonato
Keyword(s):  
Option Pricing ◽  
Analytical Approximation ◽  
Pricing Model ◽  
Option Pricing Model

Option Pricing Model Estimates: Some Empirical Results

1982 ◽  
Vol 11 (1) ◽  
pp. 58 ◽  
Author(s):  
N. Bulent Gultekin ◽  
Richard J. Rogalski ◽  
Seha M. Tinic
Keyword(s):  
Option Pricing ◽  
Pricing Model ◽  
Empirical Results ◽  
Option Pricing Model

scholarly journals An Option Pricing Model Using High Frequency Data

2016 ◽  
Vol 91 ◽  
pp. 175-179
Author(s):  
Saebom Jeon ◽  
Won Chang ◽  
Yousung Park
Keyword(s):  
Option Pricing ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Pricing Model ◽  
Option Pricing Model

A new simple square root option pricing model

2010 ◽  
Vol 30 (11) ◽  
pp. 1007-1025 ◽  
Author(s):  
António Câmara ◽  
Yaw-huei Wang
Keyword(s):  
Option Pricing ◽  
Square Root ◽  
Pricing Model ◽  
Option Pricing Model
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