scholarly journals Pricing of Power Exchange Option with Jumps under the Double Risk of Exchange and Default

2020 ◽  
Vol 2020 ◽  
pp. 1-12 ◽  
Author(s):  
Kaili Xiang ◽  
Peng Hu ◽  
Jie Shen
Keyword(s):  
Exchange Rate Volatility ◽  
Jump Process ◽  
Bankruptcy Risk ◽  
Volatility Risk ◽  
No Arbitrage ◽  
Power Exchange ◽  
Poisson Jump ◽  
Option Model ◽  
The Impact ◽  
Exchange Option

Power exchange option is an exotic option which combines power option and exchange option. In this paper, we consider the pricing of the power exchange option under exchange rate volatility risk and issuing company bankruptcy risk. Meanwhile, considering the major events between the two countries, we add the Poisson jump process to the option model in order to reflect the impact of sudden factors on the price of transnational derivatives in the international market. According to the no-arbitrage principle, a mathematical model for pricing such problems is established, and explicit solutions are obtained. The numerical examples show that the model established in this paper is effective.

scholarly journals The Impact of Energy Storage along with the Allocation of RES on the Reduction of Energy Costs Using MILP

Energies ◽  
2021 ◽  
Vol 14 (13) ◽  
pp. 3783
Author(s):  
Mateusz Andrychowicz
Keyword(s):  
Energy Storage ◽  
Mixed Integer Linear Programming ◽  
Distribution Systems ◽  
Operating Costs ◽  
Mixed Integer ◽  
Energy Costs ◽  
Power Exchange ◽  
Local Initiatives ◽  
One Year ◽  
The Impact

The paper shows a method of optimizing local initiatives in the energy sector, such as energy cooperatives and energy clusters. The aim of optimization is to determine the structure of generation sources and energy storage in order to minimize energy costs. The analysis is carried out for the time horizon of one year, with an hourly increment, taking into account various RES (wind turbines (WT), photovoltaic installations (PV), and biogas power plant (BG)) and loads (residential, commercial, and industrial). Generation sources and loads are characterized by generation/demand profiles in order to take into account their variability. The optimization was carried out taking into account the technical aspects of the operation of distribution systems, such as power flows and losses, voltage levels in nodes, and power exchange with the transmission system, and economic aspects, such as capital and fixed and variable operating costs. The method was calculated by sixteen simulation scenarios using Mixed-Integer Linear Programming (MILP).

scholarly journals Randomized Binomial Tree and Pricing of American-Style Options

2014 ◽  
Vol 2014 ◽  
pp. 1-6 ◽  
Author(s):  
Hu Xiaoping ◽  
Cao Jie
Keyword(s):  
American Option ◽  
Option Prices ◽  
Occurrence Probability ◽  
Binomial Tree ◽  
No Arbitrage ◽  
Complete Market ◽  
Cubic Polynomial ◽  
American Style ◽  
The Impact ◽  
And Storage

Randomized binomial tree and methods for pricing American options were studied. Firstly, both the completeness and the no-arbitrage conditions in the randomized binomial tree market were proved. Secondly, the description of the node was given, and the cubic polynomial relationship between the number of nodes and the time steps was also obtained. Then, the characteristics of paths and storage structure of the randomized binomial tree were depicted. Then, the procedure and method for pricing American-style options were given in a random binomial tree market. Finally, a numerical example pricing the American option was illustrated, and the sensitivity analysis of parameter was carried out. The results show that the impact of the occurrence probability of the random binomial tree environment on American option prices is very significant. With the traditional complete market characteristics of random binary and a stronger ability to describe, at the same time, maintaining a computational feasibility, randomized binomial tree is a kind of promising method for pricing financial derivatives.

scholarly journals Macroeconomic determinants of interest rate spreads in Ghana

2017 ◽  
Vol 8 (1) ◽  
pp. 76-88 ◽  
Author(s):  
Samuel Kwabena Obeng ◽  
Daniel Sakyi
Keyword(s):  
Interest Rate ◽  
Exchange Rate Volatility ◽  
Institutional Quality ◽  
Fiscal Discipline ◽  
Content Type ◽  
Distributed Lag ◽  
Short Run ◽  
Interest Rate Spreads ◽  
Macroeconomic Determinants ◽  
The Impact

Purpose The purpose of this paper is to examine macroeconomic determinants of interest rate spreads in Ghana for the period 1980-2013. Design/methodology/approach The autoregressive distributed lag bounds test approach to cointegration and the error correction model were used for the estimation. Findings The results indicate that exchange rate volatility, fiscal deficit, economic growth, and public sector borrowing from commercial banks, increase interest rate spreads in Ghana in both the long and short run. Institutional quality reduces interest rate spreads in the long run while lending interest rate volatility and monetary policy rate reduce interest rate spreads in the short run. Research limitations/implications The depreciation of the Ghana cedi must be controlled since its volatility increases spreads. There is a need for fiscal discipline since fiscal deficits increase interest rate spreads. Government must reduce its domestic borrowing because the associated crowding-out effect increases interest rate spreads. The central bank must improve its monitoring and regulation of the financial sector in order to reduce spreads. Originality/value The main novelty of the paper (compared to other studies on Ghana) lies on the one hand; analysing macroeconomic determinants of interest rate spreads and, on the other hand, controlling for the impact of institutional quality on interest rate spreads in Ghana.

scholarly journals Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch

2021 ◽  
Vol 9 (6) ◽  
pp. 1180-1185
Author(s):  
Turgut Orman ◽  
İlkay Dellal
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Cointegration Analysis ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
Producer Price ◽  
Agricultural Exports ◽  
Effective Exchange ◽  
Effective Exchange Rate ◽  
The Impact

This study aims to reveal the impact of exchange rate volatility on agricultural exports of Turkey by using the Autoregressive Distributed Lag Model. While quarterly time series data covering period of 2001: Q1 to 2018: Q4 were used to carry out analyses, Exponential Generalized Autoregressive Conditional Heteroscedasticity (1.1) is used to acquire exchange rate volatility series. The research findings showed that agricultural export is cointegrated with exchange rate volatility, producer price index and real effective exchange rate. Furthermore, our findings indicate that increases in real effective exchange rate have a statistically significant positive influence on the export volume whereas exchange rate volatility has negative impact on it.

scholarly journals EFEK KETERBUKAAN PERDAGANGAN PADA VOLATILITAS NILAI TUKAR

2019 ◽  
Vol 10 (1) ◽  
pp. 38-45
Author(s):  
Wayrohi Meilvidiri ◽  
Syahruddin Syahruddin ◽  
Romualdus Turu Putra Maro Djanggo
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Trade Openness ◽  
Exchange Rate Volatility ◽  
Normality Test ◽  
Lm Test ◽  
Exchange Rate Movements ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Impact

This study uses the q to q dataset for the period 2011-2018, to examine the effect of trade openness on the exchange rate, on the other hand variable money supply, inflation and GDP growth and high-low exchange rates (dummy) will smooth the impact of shocks to the exchange rate . Using the OLS econometric estimator to see the effect of variables and the ARCH method to measure the uncertainty of exchange rate movements. Estimation results show that trade openness (open trade index); the money supply (money supply) and the high-low peak value of the exchange rate have a significant positive effect while the growth variable has a significant negative effect on exchange rate volatility. The LM test simultaneously found ARCH in residual data in lag 1 and lag 2. The normality test found abnormal residuals, while the residual heteroscedasticity test showed no ARCH problems in the last residuals.

scholarly journals THE IMPACT OF EXCHANGE RATE VOLATILITY ON ECONOMIC GROWTH IN NIGERIA: A DYNAMIC ECONOMETRIC APPROACH

2021 ◽  
pp. 16-40
Author(s):  
Comfort Akinwolere Bukola ◽  
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Positive Impact ◽  
Exchange Rate Volatility ◽  
Series Data ◽  
Balance Of Trade ◽  
Econometric Approach ◽  
The Impact

This study examined the impact of exchange rate volatility on economic growth in Nigeria. The study covers the period of 1986 to 2019. Using time series data, the methodology adopted is the Vector Error Correction Mechanism to explore the impact of exchange rate volatility on the selected macroeconomic variables. The result indicated that exchange rate volatility has a significant impact on economic growth, specifically it has a positive impact on inflation, unemployment and balance of trade. On the other hand it has a negative impact on economic growth and investment. The recommendations made include; that relevant authorities should try to avoid systematic currency devaluations in order to maintain exchange rate volatility at a rate that allows adjustment of the balance of payments.

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