Optimising adaptation decisions in macadamia production using contingent claim valuation

2018 ◽  
Vol 62 (4) ◽  
pp. 527-547
Author(s):  
Jason West
Keyword(s):  
Contingent Claim ◽  
Contingent Claim Valuation

Contingent-claim Valuation of a Closed-end Fund: Models and Implications

2009 ◽  
Vol 17 (4) ◽  
pp. 43-74
Author(s):  
Chaehwan Won ◽  
Sangho Yi
Keyword(s):  
Stochastic Processes ◽  
Mutual Funds ◽  
Optimal Stopping ◽  
Stopping Time ◽  
Optimal Timing ◽  
Contingent Claim ◽  
Investment Strategies ◽  
Valuation Model ◽  
Contingent Claim Valuation ◽  
Closed End Funds

In this paper, we develop various valuation models for closed-end mutual funds under different sets of stochastic processes for the underlying assets. Since we used different stochastic processes from previous literature, it was possible to derive more interesting implications regarding investment strategies, discount puzzles of the funds, and valuation models. In particular, by utilizing Brownian motions and optimal stopping time framework, we succeeded in developing more realistic valuation model, which indicates that we can understand more easily about decision makings regarding optimal timing of reorganization from the closed-end funds to open-ended funds, optimal timing of trading of closed-end funds to realize maximum profits, and optimal design of closed-end fund structure.

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