Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 8 of 8 for “"Embedded Options"”.
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The analysis of real estate in a finance and actuarial framework
… evaluation of real estate investments that have options embedded within their lease terms are then developed and applied to the valuation of upward only rent review properties under the assumptions of a variety of financial conditions. Techniques for pricing embedded options are developed that do …
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Calibrating the LIBOR market model to swaptions with an extension for illiquidity in South Africa
… many of the long dated maturity products with embedded options. Before calibrating the model we extend the calibration process to address the issue of illiquidity in the South African swaption market. The swaption surface used in calibrating the model is generated with market implied quotes for …
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Optimal Bond Refunding: Evidence From the Municipal Bond Market
… of tax-exempt bonds. Callable bonds contain embedded call options by virtue of provisions in bond indentures that permit the issuing firm to buy back the bond at a predetermined strike price. Such an embedded American call option has two components to its value, the intrinsic value and the …
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Real options and strategic interactions in imperfectly competitive markets
… and Ankum (1993), and others have observed, an options-based approach to strategic investment needs to be considered from the perspective of competitive market structures. The models in this thesis show the synergies obtainable when real options ideas are embedded in industrial organisation-type …
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Technology strategy : real options in research, development and engineering
… and engineering (R,D&E) environments using real options valuation (ROV) concepts. It proves that the often-used discounted cash flow (DCF) techniques do not properly capture the uncertainty and flexibility of platform projects in technology-intensive industries. First the thesis presents the …
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Apply option-thinking in long term infrastructure investment : the case of commercial real estate
Over the last two decades the application of real options theory has dramatically altered the way researches model infrastructure investment decisions. Real options are the right, but not obligation to do something for a certain cost within or at a specific period of time. Compared to the rich …
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Market Valuation of Convertible Securities of U.S. Airlines
… interest rate derivatives and instruments with embedded options, such as callable convertible bonds and preferred stocks, is typically performed utilizing models of the term structure of interest rates. Ramanlal, Mann, and Moore (1998) test several contingent claims valuation models adapted to …
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The effect of corporate bonds spread variability on non-financial firms’ financing structure: further evidence from emerging markets
… price accustomed to risk, transaction costs and embedded options (Angbazo, Mei and Saunders 1998). In accordance to this, current interest rate should reflect the risk undertaken by lenders of risky projects, regardless of the loans seeker country of origin and their economic model. Based on the …