The Oil Futures and Options Markets in 2020: The “Message from Markets”

This paper considers the response of the equity and oil markets to the onset of crisis conditions after February 15, 2020. Based on derivative markets for equities and WTI (West Texas Intermediate) crude-oil futures contracts, implied equity and oil volatilities quantify the depth of the crisis and contrast it with the previous ones. The estimated Black [(1976) Journal of Financial Economics, 3, 167–179] vol skew and Merton [(1976) Journal of Financial Economics, 3, 125–144] option model parameters are able to discern between demand- and supply-side facets. The time when the futures curve is in contango identifies the beginning and, to date, conclusion of the crisis. Using the CAPM, co-movement of oil and equity prices permits computing forecasts of spot oil prices. In considering these events, we recognize the essential role of prices in financial markets: They are conveyors of information, the “Message from Markets,” in which financial theory proves useful, practical and applicable.

Optimization of Tourism Real Estate Development Project Based on Option Premium Model

Compared with that of traditional housing real estate, the development of tourism real estate is time-consuming, complex, and irreversible. It is hard to guide investment decision-making on tourism real estate with the conventional discount cash flow (DCF) method. This paper aims to demonstrate that the real option method can improve and optimize the investment decision-making on tourism real estate. Through case analysis, the real option model, i.e., the classic American real option model, and binary tree value distribution model were adopted to analyze the factors affecting the real option of tourism real estate, optimize the development sequence of tourism real estate project, and demonstrate the phased development value of tourism real state, thereby enhancing the development value of tourism real estate projects. The case analysis proves that tourism real estate investment is fully consistent with real option in the uncertain spatiotemporal attributes: uncertainty, irreversibility, and timeliness. Therefore, tourism real estate project carries obvious features of real option. The decision-making by the real option model is much more scientific and superior than that by the conventional DCF method. Since the application of real option theory has been emphasizing housing real estate over tourism real estate, the research results enrich the theory on real option-based investment decision-making for real estate and expand the application scope of real option.

Research on ordering strategy of company D under supply disruption of COVID-19

With deepening of economic globalization and prevalence of lean production, market competition has intensified and uncertain risk factors in the cross-supply-demand relationship have increased, thus the supply chain has become much more fragile. Force majeure risks such as natural disasters, epidemics, and traffic accidents further expand the scope and losses of supply disruption. In 2019 the outbreak of COVID-19 pandemic has devastated global supply chains and lead to many companies facing the risk of supply disruptions. Based on the comprehensive analysis of relevant research status, this paper investigates the current situation and existing procurement problems of company D under the risk of supply interruption in the COVID-19 pandemic, and analyzes the procurement strategy response in combination with the actual situation of company D. It combines newsvendor model and the capability option model to analyze the ordering decision of company D and enrich the research on the ordering strategy under supply disruption. The purpose of this paper is to provide company D with scientific procurement advice under supply disruption, and provide a reasonable reference for enterprises in the same industry.

Can The IDX Be Hegded ? : Comparison of Black Scholes Option Model And Garch Option Model Using Long Strangle Strategy

The purpose of this research was to compare the accuracy of the Black Scholes option model and the GARCH option model on index options using IDX Composite (IHSG) data from 2009-2018 with the long strangle strategy. The Black Scholes volatility constructed by using historical volatility, while GARCH volatility constructed by using the ARIMA model and the best lag. The accuracy of options analyzed using the average percentage mean square error (AMSE) to find the best model. The results of this study showed that for the one month option, the GARCH model is more accurate for a call option with 0.26%, while the Black Scholes model is more accurate for a put option with 0.18%. For the two month option, the GARCH model is more accurate for a call option with 0.92%, while the Black Scholes model is more accurate for a put option with 0.26%. For the three month option, the Black Scholes model is more accurate for a call option and put option with 2.00% and 0.31%, respectively. The results of this study further sharpen the research conducted by Bhat and Arekar (2016)and Hendrawan(2010) Keywords : Black Scholes Options Model; GARCH Option Model; Long Strangle; ,Index Option.,

Barrier Options Model for Agricultural Commodity Price Protection

Application of barrier options for determining insurance premiums for agricultural commodity prices due to lower selling prices by applying certain barrier levels. In determining the price of insurance premiums for agricultural commodity prices such as rice, the price is assumed to follow the Brown Geometric Motion and for the determination of the barrier level line the researcher uses the Brown Bridge Motion so that there is a relationship between Bridge and Barrier. In conclusion, we obtain a model to determine the number of insurance premiums. The barrier option model approach is used to construct a fairer formula for insurance premiums on agricultural commodity prices.