Wind energy projects represent, currently, a valid opportunity to support United Nations Sustainable Development Goal 7. However, these can appear financially unattractive considering the unfavorable meteorological conditions, uncertain electricity market price, demand, unpredictable project performance, riskiness of investment stages, etc. This paper provides real options pricing model applied...

One of the developments in options market is formation various pricing models for an option to help buyer determine fairness price. Black-Scholes model uses assumption that log return price stocks normally distributed, while reality, real-world couldn’t fit into assumption. To be able obtain calculation considers skewness and kurtosis stock data, there are many alternative methods, namely with ...

In this paper, we study the $$M_n/M_n/c/(K_1+K_2)+M_n$$ system with two finite-size queues where underlying exponential random variables have state-dependent rates. When all servers are busy, upon arrival customers may join online or offline/callback queue simply balk. Customers waiting in impatient and if their patience expires, they choose to callback instead of abandoning for good. assumed b...

This paper investigates the characteristics of the higher moment risks of option returns, namely beta and coskewness. Under mild assumptions, the investors’ decreasing absolute risk aversion can result in a U-shaped pattern (a beta smile) for put option betas, though call option betas are always nondecreasing in the strike price. The coskewness for call options can be an inverted U-shape when t...

This is a short comment on Kung and Lee’s paper. In this note, we show that the formulae given in Kung and Lee(2009) for European call and put option under Merton’s model of the short rate are incorrect. We give the correct derivations making use of the ”change of numeraire” technique which is simpler and more standard. Key-words: Stochastic Interest rates, Change of Numeraire, Call option pric...

The interaction of bondholder's conversion and issuer's call in a convertible bond leads to a game option model between the two counterparties. Like typical pricing models for corporate debts, the fair value of a convertible bond is highly dependent on issuer's credit risk, tax benefits of coupons and other structural features. The convertible bond pricing models in the literature can be catego...

Option is derivative instrument that have investment benefit and provide return for the writer and the holder. Option price determination is affected by risk factor. However in Black-Scholes model option price is determined without arbitrage risk affection so it is impossible to take return. In this study, option price formula is constructed to be more represent the condition of financial marke...