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Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-Or-Pay
12 references·14 citing·39 second hop
Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-Or-Pay (1995)Valuation of Path-Dependent Contingent Cl…Valuing Derivative Securities Using the Explicit Finite Difference Method (1990)Valuing Derivative Securities…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases (1988)Option Valuation of Claims on…Mitigating Contractual Hazards: Unilateral Options and Contract Length (1988)Mitigating Contractual Hazard…Time to build, option value, and investment decisions (1987)Time to build, option value, …Quantity and Price Adjustment in Long-Term Contracts: A Case Study of Petroleum Coke (1987)Quantity and Price Adjustment…Vertical Integration and Long-term Contracts: The Case of Coal-burning Electric Generating Plants (1985)Vertical Integration and Long…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…Option Pricing when the Underlying Asset Earns a Below-Equilibrium Rate of Return: A Note (1984)Option Pricing when the Under…Option pricing: A simplified approach (1979)Option pricing: A simplified …The Supply of Storage (1976)The Supply of StorageEfficient Adaptation in Long-term Contracts: Take-or-Pay Provisions for Natural Gas.Efficient Adaptation in Long-…Using the binomial model for the valuation of real options in computing optimal subsidies for Chinese renewable energy investments (2020)Using the binomial model for …Optimal quantization for the pricing of swing options (2012)Optimal quantization for the …WHEN ARE SWING OPTIONS BANG-BANG? (2010)WHEN ARE SWING OPTIONS BANG-B…Pricing swing options with regime switching (2009)Pricing swing options with re…Optimal Quantization for the Pricing of Swing Options (2009)Optimal Quantization for the …Pricing of Swing Options in a Mean Reverting Model with Jumps (2008)Pricing of Swing Options in a…Real R&D options with time-to-learn and learning-by-doing (2006)Real R&D options with time-to…OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS (2006)OPTIMAL MULTIPLE STOPPING AND…A Continuous Time Model to Price Commodity-Based Swing Options (2005)A Continuous Time Model to Pr…Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities (2004)Valuation by Simulation of Co…Pricing of Electricity Swing Options (2004)Pricing of Electricity Swing …12 Modeling Electricity Forward Curve Dynamics in the Nordic Market (2004)12 Modeling Electricity Forwa…Stock index futures markets: stochastic volatility models and smiles (2000)Stock index futures markets: …Modeling Take‐or‐Pay Contract Decisions (1997)Modeling Take‐or‐Pay Contract…Vertical Integration, Appropriable Rents, and the Competitive Contracting Process (1978)Transaction-Cost Economics: The Governance of Contractual Relations (1979)Limited-dependent and qualitative variables in econometrics (1983)Price Adjustment in Long-Term Contracts: The Case of Coal (1988)Regulation and administered contracts revisited: Lessons from transaction-cost economics for public utility regulation (1996)Contractual Allocation of Decision Rights and Incentives: The Case of Automobile Distribution (2001)The Pricing of Options and Corporate Liabilities (1973)A Theory of Auctions and Competitive Bidding (1982)Investor valuation of the abandonment option (1996)The Long-Run Evolution of Energy Prices (1999)Theory of rational option pricing (2005)Markets and Hierarchies (1975)Vertical integration in the U.S. auto industry (1989)Pretia ex Machina? Prices and Process in Long-Term Contracts (1991)A Theory of the Term Structure of Interest Rates (1985)Oil Price Uncertainty (2010)What do we learn from the price of crude oil futures? (2010)Financialization of Commodity Markets (2013)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)An equilibrium characterization of the term structure (1977)The impact of default risk on the prices of options and other derivative securities (1995)Valuing Options in Regime-Switching Models (1998)Valuing American Options in a Path Simulation Model (2002)Determinants of corporate borrowing (1977)Entry and Exit Decisions under Uncertainty (1989)Irreversibility, Uncertainty, and Investment (1990)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Speculation and Economic Stability (1939)Business Cycles and the Behavior of Metals Prices (1988)Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Pricing Carbon: The European Union Emissions Trading Scheme (2010)Time to Build and Aggregate Fluctuations (1982)Real Options and Interactions with Financial Flexibility (1993)Strategy through the Option Lens: An Integrated View of Resource Investments and the Incremental-Choice Process (1993)Four formal(izable) theories of the firm? (2005)Vertical Integration and Firm Boundaries: The Evidence (2007)The Handbook of Organizational Economics (2013)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 1987Time to build, option value, and investment decisions912 cited
  • 1988Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases814 cited
  • 1985Vertical Integration and Long-term Contracts: The Case of Coal-burning Electric Generating Plants708 cited
  • 1976The Supply of Storage533 cited
  • 1990Valuing Derivative Securities Using the Explicit Finite Difference Method335 cited
  • 1988Mitigating Contractual Hazards: Unilateral Options and Contract Length329 cited
  • n.d.Efficient Adaptation in Long-term Contracts: Take-or-Pay Provisions for Natural Gas.314 cited
  • 1987Quantity and Price Adjustment in Long-Term Contracts: A Case Study of Petroleum Coke257 cited
  • 1984Option Pricing when the Underlying Asset Earns a Below-Equilibrium Rate of Return: A Note147 cited

Cited by

  • 2004Pricing of Electricity Swing Options67 cited
  • 2012Optimal quantization for the pricing of swing options54 cited
  • 2009Optimal Quantization for the Pricing of Swing Options

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51 cited
  • 2004Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities51 cited
  • 2020Using the binomial model for the valuation of real options in computing optimal subsidies for Chinese renewable energy investments49 cited
  • 200412 Modeling Electricity Forward Curve Dynamics in the Nordic Market43 cited
  • 2000Stock index futures markets: stochastic volatility models and smiles43 cited
  • 2010WHEN ARE SWING OPTIONS BANG-BANG?42 cited
  • 2006Real R&D options with time-to-learn and learning-by-doing37 cited
  • 2009Pricing swing options with regime switching34 cited
  • 2008Pricing of Swing Options in a Mean Reverting Model with Jumps34 cited
  • 2005A Continuous Time Model to Price Commodity-Based Swing Options30 cited
  • 2006OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS25 cited
  • 1997Modeling Take‐or‐Pay Contract Decisions16 cited