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Exercise Strategies (exercise + strategy)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	80%

Selected Abstracts

Equilibrium Real Options Exercise Strategies with Multiple Players: The Case of Real Estate Markets

REAL ESTATE ECONOMICS, Issue 1 2006
Ko Wang
This article derives a closed-form solution for an equilibrium real options exercise model with stochastic revenues and costs for monopoly, duopoly, oligopoly and competitive markets. Our model also allows one option holder to have a greater production capacity than others. Under a monopolistic environment we find that the optimal option exercise strategy in real estate markets is dramatically opposite to that in a financial (warrant) market, indicating the importance of paying attention to the institutional details of the underlying market when analyzing option exercise strategies. Our model can be generalized to the pricing of convertible securities and capital investment decisions involving both stochastic revenues and costs under different types of market structures. [source]

Pricing American options by canonical least-squares Monte Carlo

THE JOURNAL OF FUTURES MARKETS, Issue 2 2010
Qiang Liu
Options pricing and hedging under canonical valuation have recently been demonstrated to be quite effective, but unfortunately are only applicable to European options. This study proposes an approach called canonical least-squares Monte Carlo (CLM) to price American options. CLM proceeds in three stages. First, given a set of historical gross returns (or price ratios) of the underlying asset for a chosen time interval, a discrete risk-neutral distribution is obtained via the canonical approach. Second, from this canonical distribution independent random samples of gross returns are taken to simulate future price paths for the underlying. Third, to those paths the least-squares Monte Carlo algorithm is then applied to obtain early exercise strategies for American options. Numerical results from simulation-generated gross returns under geometric Brownian motions show that the proposed method yields reasonably accurate prices for American puts. The CLM method turns out to be quite similar to the nonparametric approach of Alcock and Carmichael and simulations done with CLM provide additional support for their recent findings. CLM can therefore be viewed as an alternative for pricing American options, and perhaps could even be utilized in cases when the nature of the underlying process is not known. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:175,187, 2010 [source]

Effectiveness of a community-directed ,healthy lifestyle' program in a remote Australian Aboriginal community

AUSTRALIAN AND NEW ZEALAND JOURNAL OF PUBLIC HEALTH, Issue 2 2000
Kevin G. Rowley
Objective: To assess the sustainability and effectiveness of a community-directed program for primary and secondary prevention of obesity, diabetes and cardiovascular disease in an Aboriginal community in north-west Western Australia. Method: Evaluation of health outcomes (body mass index, glucose tolerance, and plasma insulin and triglyceride concentrations) in a cohort of high-risk individuals (n=49, followed over two years) and cross-sectional community samples (n=200 at baseline, 185 at two-year and 132 at four-year follow-ups), process (interventions and their implementation) and impact (diet and exercise behaviour). Results: For the high-risk cohort, involvement in diet and/or exercise strategies was associated with protection from increases in plasma glucose and triglycerides seen in a comparison group; however, sustained weight loss was not achieved. At the community level, significant reductions were observed in fasting insulin concentration but no change in prevalence of diabetes, overweight or obesity. Weight gain remained a problem among younger people. Sustainable improvements were observed for dietary intake and level of physical activity. These changes were related to supportive policies implemented by the community council and store management. Conclusions: Community control and ownership enabled embedding and sustainability of program, in association with social environmental policy changes and long-term improvements in important risk factors for chronic disease. Implications: Developmental initiatives facilitating planning, implementation and ownership of interventions by community members and organisations can be a feasible and effective way to achieve sustainable improvements in health behaviours and selected health outcomes among Aboriginal people. [source]