Pricing Tradable Capacity Options
A single buyer continuously procuring capacity from a single long-term supplier via options contracts for use on a later contract maturation date, when both parties also have access to an alternative spot market to buy and sell capacity. The contract takes the form of European call option that specifies a premium price and a strike price. We develop a continuous-time model to study the pricing of tradable capacity options contracts, integrating the contract and the spot market.We show that the real options pricing formula is a modified Black-Scholes-Merton (BSM) pricing formula and is equivalent to the premium difference of two call options w.r.t strike prices. The optimal option price is lower than the classical BSM pricing in financial options, but converges to BSM if the underlying commodity can be freely traded at the spot market price on the contract maturation date.
国际会议
2007 International Conference on Manufacturing & Service Operations Management(2007制造与服务运作管理国际学术会议)
北京
英文
2007-06-18（万方平台首次上网日期，不代表论文的发表时间）