This is a quantitative study of the valuation and hedging of dangerous options, options whose hedging strategies require unreasonable or risky short positions of the underlying instrument. We examine the valuation of many exotic options, when a shortselling constraint is imposed, as an example for Contingent Claims in Incomplete Markets. The valuation problem is known to be a stochastic control...

Electricity production using renewable energy instead of fossil-fuel-based sources has been expanding worldwide. Recently, the South Korean government set a transition from and power company-led system to public-participatory as basic policy direction in terms production. It actively providing budgetary institutional support. A comprehensive understanding consumer (public)-oriented preferences ...

We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that, besides default correlation, which was taken into account in earlier approaches, we also model credit spread volatility. Stochastic intensity models are adopted for the default events, and default...

A hybrid stated-preference model is developed that combines the referendum contingent valuation response format with an experimentally designed set of attributes. A sequence of valuation questions is asked to a random sample in a mail-out mail-back format. Econometric analysis shows that willingness to pay for policy attributes is formed dynamically.