scholarly journals Forest of Stochastic Trees: A Method for Valuing Multiple Exercise Options

2020 ◽  
Vol 13 (5) ◽  
pp. 95 ◽  
Author(s):  
R. Mark Reesor ◽  
T. James Marshall
Keyword(s):  
Option Value ◽  
Swing Options ◽  
Multiple Risk Factors ◽  
Price Process ◽  
Valuation Method ◽  
Binomial Trees ◽  
Estimator Bias ◽  
Biased Estimators ◽  
Stochastic Tree ◽  
Tree Method

We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method to allow for a multi-dimensional underlying process. The FOST can also be viewed as extending the stochastic tree method for valuing (single exercise) American-style options to multiple exercise options. The proposed valuation method results in positively- and negatively-biased estimators for the true option value. We prove the sign of the estimator bias and show that these estimators are consistent for the true option value. This method is of particular use in cases where there is potentially a large number of assets underlying the contract and/or the underlying price process depends on multiple risk factors. Numerical results are presented to illustrate the method.

A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES

2016 ◽  
Vol 19 (02) ◽  
pp. 1650012 ◽  
Author(s):  
J. X. JIANG ◽  
R. H. LIU ◽  
D. NGUYEN
Keyword(s):  
Option Pricing ◽  
Regime Switching ◽  
Asset Price ◽  
Numerical Results ◽  
Price Process ◽  
State Dependent ◽  
Switching Models ◽  
Markovian Regime Switching ◽  
Tree Method ◽  
Markovian Regime

This paper develops simple and efficient tree approaches for option pricing in switching jump diffusion models where the rates of switching are assumed to depend on the underlying asset price process. The models generalize many existing models in the literature and in particular, the Markovian regime-switching models with jumps. The proposed trees grow linearly as the number of tree steps increases. Conditions on the choices of key parameters for the tree design are provided that guarantee the positivity of branch probabilities. Numerical results are provided and compared with results reported in the literature for the Markovian regime-switching cases. The reported numerical results for the state-dependent switching models are new and can be used for comparison in the future.

scholarly journals Analisis Kesediaan Membayar (Willingness to Pay) Masyarakat Terhadap Pertanian Organik Buah Naga

Agriekonomika ◽  
2019 ◽  
Vol 8 (2) ◽  
pp. 143-155
Author(s):  
Kustiawati Ningsih ◽  
Halimatus Sakdiyah ◽  
Herman Felani ◽  
Rini Dwiastuti ◽  
Rosihan Asmara
Keyword(s):  
Willingness To Pay ◽  
Contingent Valuation ◽  
Contingent Valuation Method ◽  
Option Value ◽  
Existence Value ◽  
Valuation Method

Pertanian organik merupakan jawaban atas revolusi hijau yang digalakkan pada tahun 1960-an yang menyebabkan (a) Berkurangnya kesuburan tanah dan (b) Kerusakan lingkungan akibat pemakaian pupuk dan pestisida kimia yang tidak terkendali. Gagalnya revolusi hijau menyebabkan masyarakat semakin sadar akan pentingnya mengembangkan sistem pertanian yang berwawasan lingkungan dan berkelanjutan. Program “Go Organik 2010” merupakan implementasi dukungan pemerintah terhadap sistem pertanian organik. Sehingga pertanian organik mulai berkembang di Indonesia umumnya dan di Kabupaten Pamekasan, khususnya. Pertanian organik buah naga merupakan pertanian organik yang sedang berkembang di Kabupaten Pamekasan. Sebagai implementasi untuk mewujudkan kelestarian pertanian organik buah naga, maka dibutuhkan analisis tentang kesediaan membayar masyarakat terhadap nilai keberadaan (Existence Value) dan nilai penggunaan alternatif (Option Value) pertanian Organik Buah Naga. Penelitian ini menggunakan metode CVM (Contingent Valuation Method) untuk mengestimasi biaya yang akan dikeluarkan masyarakat. Hasil penelitian menunjukkan bahwa besarnya estimasi WTP (Willingness To Pay) masyarakat terhadap nilai keberadaan pertanian organik buah naga adalah sebesar Rp. 42.060.403,89 / hektar per tahun. Sedangkan besarnya estimasi WTP (Willingness To Pay) masyarakat terhadap nilai penggunaan alternatif pertanian organik buah naga sebesar Rp. 41.633.017,67 / hektar per tahun.

scholarly journals Recreational and conservative valuation of Bien Ho landscape

2019 ◽  
Vol 41 (2) ◽  
pp. 156-172 ◽  
Author(s):  
Nguyen Thanh Tuan ◽  
Tran Thuy Chi ◽  
Tran Van Y ◽  
Vu Thi Mung
Keyword(s):  
Willingness To Pay ◽  
Contingent Valuation ◽  
Contingent Valuation Method ◽  
Travel Cost ◽  
Option Value ◽  
Valuation Method ◽  
Different Populations ◽  
Conservative Values

Bien Ho is one of the volcanic landscapes showing lava eruptions that occurred millions of years ago. It is a symbol of the volcanic landscapes in the Tay Nguyen, Vietnam, which keeps a lot of values. This article aimed to quantify recreational and conservative values. The travel cost and contingent valuation method were used to estimate the recreational and conservative value (existence, bequest, and option value) of Bien Ho, respectively. The results indicated that the recreational and conservative value of Bien Ho volcanic landscape was 1,436.9 billion VND and 38.6 billion VND, respectively. The average willingness to pay in the contingent valuation method was 39,388 VND and depended only on ethnicity and age. The study used different populations to define survey samples according to each estimating method to improve the confident accuracy of the results.

Valuing Historical Claims of Loss of Use of Land with Sparse Data

2017 ◽  
Vol 13 (1) ◽  
Author(s):  
Fred Lazar ◽  
Eliezer Z Prisman
Keyword(s):  
First Nations ◽  
Asset Price ◽  
Small Sample ◽  
Provincial Government ◽  
Fiduciary Duty ◽  
Land Prices ◽  
Price Process ◽  
The Past ◽  
Valuation Method ◽  
Significant Bias

AbstractThere have been numerous historical claims by First Nations across Canada for damages resulting from the taking of land and the resulting loss of use of such land. Many of these cases have come before the courts. Generally in such cases, there is agreement that either the Federal Government and/or a provincial government has not fulfilled its fiduciary duty. Hence, the disputes before the courts usually pertain to valuing the losses of the First Nation(s) who is (are) the Plaintiff(s) in these cases. Since the original taking of the lands occurred many decades in the past, the court is challenged with difficult valuation issues, which are complicated by a lack of historical data and transaction records. Hence, even if the parties agree on the methodology for valuing the losses and on an annual lease rate, they still need to determine the annual price of the land. A common practice for generating a price trajectory for the land is to use a very small sample of land prices, and interpolate between these prices to estimate the intervening land prices. This practice does not generate the expected trajectory given the known observations. It implicitly assumes a deterministic price process with an annual fixed appreciation of the asset throughout the period. These assumptions are inconsistent both with realistic price movements and the literature modeling asset price processes. Consequently this practice can, and mostly does, generate a very significant bias in the value of the loss. This paper suggests a loss of use valuation method that is based on a land price process consistent with the literature modeling asset price processes.

scholarly journals Indirect and Non-use Values of Halda River- A Unique Natural Breeding Ground of Indian Carps in Bangladesh

2015 ◽  
Vol 6 (2) ◽  
pp. 31-36 ◽  
Author(s):  
MH Kabir ◽  
MM Kibria ◽  
MM Hossain
Keyword(s):  
Contingent Valuation Method ◽  
Decision Makers ◽  
Use Value ◽  
Option Value ◽  
Valuation Method ◽  
Use Values ◽  
Natural Breeding ◽  
Economic Worth ◽  
Source Of Information ◽  
Freshwater River

Bangladesh is a Riverine country; however, Halda River is of special interest among them in recent time for being the only tidal freshwater River in the world that serves as a natural spawning ground for major Indian carps. Besides, this River serves some indirect and non-use values. This study aims at estimating the economic worth of the indirect and non-use value of Halda River. Both indirect and non-use values of this River were calculated by using contingent valuation method. The study found that total indirect use value per year from this River was Tk. 29.50 million. We also estimated that total non-use value was Tk. 31.46 million which comprised of bequest value of Tk. 14.85 million and option value of Tk. 16.61 million. The study suggests that this valid source of information should take into consideration for the decision makers in taking projects and programmes aimed at managing this River more wisely in the future.DOI: http://dx.doi.org/10.3329/jesnr.v6i2.22092 J. Environ. Sci. & Natural Resources, 6(2): 31-36 2013

scholarly journals Economic Valuation of Mangrove Forest at Taman Ayu Village, West Lombok Regency

2018 ◽  
Vol 68 ◽  
pp. 02009 ◽  
Author(s):  
Siti Dian Rosadi ◽  
Mufti Petala Patria ◽  
Nisyawati
Keyword(s):  
Mangrove Forest ◽  
Contingent Valuation Method ◽  
Economic Valuation ◽  
Economic Value ◽  
Option Value ◽  
Direct Benefit ◽  
Existence Value ◽  
Valuation Method ◽  
A Value ◽  
Total Economic Value

Research regarding economicvaluation of mangrove forest in Taman Ayu Village, West Lombok Regency has been conducted. The purposes of this research were to calculate and analyze economic value of benefit from mangrove foresteco system. Collecting data was conducted through observations and interviews. Results of direct benefit economic value wereobtained fromdirect exploitation by local comunity. Direct value benefit of mangrove forest were Rp. 227.040.000/year. Indirect value benefit obtained frome cosystem service of mangrove forest with a value Rp.1.405.041.200/year. Existence value benefit was obtained by using method of CVM (Contingent Valuation Method)with a value Rp. 1.520.000/year. Option value benefit was obtained from biodiversity value with a valuewere Rp.1.200.000/year. Total Economic Value (TEV) of forest mangrove in Taman Ayu Village were Rp. 1.634.801.200/year.

scholarly journals Economic Valuation of Mangrove Ecosystem at Gerung District, West Lombok Regency

2021 ◽  
Vol 28 (2) ◽  
pp. 118
Author(s):  
Mufti Petala Patria ◽  
Siti Dian Rosadi ◽  
Nisyawati Nisyawati
Keyword(s):  
Contingent Valuation Method ◽  
Economic Valuation ◽  
Economic Value ◽  
Mangrove Ecosystem ◽  
Option Value ◽  
Existence Value ◽  
Valuation Method ◽  
A Value ◽  
Total Economic Value ◽  
Direct Use

Research regarding economic valuation of mangrove in Gerung District, West Lombok Regency has been conducted. The purposes of this research were to calculate and analyze economic value from mangrove ecosystem at Gerung District. Research methods used observation and interviews. Direct Economic Value (DEV) were obtained from direct use of mangrove with a value IDR. 227,040,000/year. Indirect Economic Value (IEV)were calculated from mangrove ecosystem services with a value IDR. 1,405,041,200/year, Existence Value (EV) was obtained by Contingent Valuation Method (CVM) with a value IDR. 1,520,000/year. Option Value (OV) were calculated from biodiversity value with a value were IDR. 1,200,000/year. Total Economic Value (TEV) of mangrove in Gerung District were IDR. 1,634,801,200/year.

OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS

2006 ◽  
Vol 09 (08) ◽  
pp. 1267-1297 ◽  
Author(s):  
AMINA BOUZGUENDA ZEGHAL ◽  
MOHAMED MNIF
Keyword(s):  
Monte Carlo ◽  
Approximation Method ◽  
Additional Condition ◽  
Finite Horizon ◽  
Swing Options ◽  
Price Process ◽  
Monte Carlo Approximation ◽  
Multiple Stopping ◽  
Theoretical Results ◽  
Horizon Case

In this paper, we extend the results of Carmona and Touzi [6] for an optimal multiple stopping problem to a market where the price process is allowed to jump. We also generalize the problem of valuation swing options to the context of a Lévy market. We prove the existence of multiple exercise policies under an additional condition on Snell envelops. This condition emerges naturally in the case of Lévy processes. Then, we give a constructive solution for perpetual put swing options when the price process has no negative jumps. We use the Monte Carlo approximation method based on Malliavin calculus in order to solve the finite horizon case. Numerical results are given in the last two sections. We illustrate the theoretical results of the perpetual case and give the numerical solution for the finite horizon case.

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