• Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 1
  • Tagged with
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • 1
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Valuation and hedging of long-term asset-linked contracts

Andersson, Henrik January 2003 (has links)
The five essays in this dissertation are all concerned with how commodity price uncertainty affects the valuation of real and financial assets.  Focusing on the stochastic process approximating the price process of the commodity, a time-inhomogeneous mean reverting process is suggested and used in the valuation of a pulp mill.  Also an analytic approximation and a parameter estimation procedure to a stochastic volatility option-pricing model are developed.  Generally, the large valuation differences and hedging errors that occur for different assumptions about the price process indicate the importance of an appropriately specified price process.  The dissertation provides examples of this. The question of whether commodity prices are mean reverting or follow a random walk is also studied.  Using a large database with close to 300 different commodities, econometric tests favour a random walk.  There are very few exceptions.  However, when applied to an option pricing model, the time-inhomogeneous mean reverting process gives smaller hedging errors than the traditional Black-Scholes model based on a random walk.  The results are therefore inconclusive, although mean reversion seems more predominant than econometric tests reveal. / Diss. Stockholm : Handelshögskolan, 2003

Page generated in 0.0841 seconds