1,721,018 research outputs found
Bond immunization and arbitrage in the semi-deterministic setting
No full textImmunization is a widely used tool in bond portfolio management,
capable of hedging interest rate risk. Its goal, the construction
of a portfolio whose value is not negatively affected by a change in the term structure, can contradict no-arbitrage condition. This paper investigates the existence and functional form of shocks that do not lead to arbitrage opportunities
Il modello di Merton e la valutazione del rischio di insolvenza e del leasing
No full textIl contributo mostra come implementare in Excel il modello di valutazione delle opzioni di Black e Scholes ed alcune sue applicazioni come il modello strutturale di Merton (1974) e la valutazione del 'rischio bene' nei contratti di leasing
Calcolo del valore dell'usufrutto vitalizio; l'infondatezza dei coefficienti "ministeriali"
No full textL'articolo ha l'obiettivo di dimostrare come la determinazione dei coefficienti per calcolare il valore dell'usufrutto, finora effettuata dall'amministrazione finanziaria, non abbia tenuto conto dell'aspetto attuariale. Pertanto si contesta la correttezza e la coerenza dei coefficienti di calcolo del valore dell'usufrutto presenti nella tabella ministeriale rispetto a quelli che invece si ottengono seguendo una valutazione che sia non solo di carattere finanziario ma anche di natura attuariale
Pricing and net profit of operating lease
No full textAbstract
Purpose – The purpose of this paper is to investigate how asset risk (i.e. the risk that the value of the leased asset loses unexpectedly most of its value at the end of the contract) is measured and hedged.
Design/methodology/approach – The evaluation of the lease contract is achieved by applying the theory of option pricing as the lessor is the writer of a call option on the leased asset. A sensitivity analysis on some parameters is performed.
Findings – The paper disentangles the components of the profit of a lease contract and allows to choose the optimal final purchase price.
This lets the lessor hedge against asset risk.
Research limitations/implications – The paper’s result can be extended by considering more complex options (such as American or exotic ones) into the lease contract.
Practical implications – Results in the paper allow for a more flexible and efficient management of lease contracts where both parties benefit under an economic and a financial point of view.
Originality/value – This is believed to be the first paper that applies derivative evaluation to the analysis of lease contracts.
Keywords Assets management, Leasing, Pricing, Profit, Hedgin
Option pricing under deformed Gaussian distributions
No full textIn financial literature many have been the attempts to overcome the option pricing drawbacks that affect the Black and Scholes model. Starting from the Tsallis deformation of the usual exponential function, this paper presents, in a complete market setup, a class of deformed geometric Brownian motions flexible enough to reproduce fat tails and to capture the volatility behavior observed in models that consider both stochastic volatility and jumps
An alternative model for evaluating exchange rates derivatives with stochastic volatility
No full textExchange Ratio Determination in a Market Equilibrium
No full textThe paper aims to present an exchange ratio for merging companies that incorporates the change in the level of riskiness
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