Pricing Real Options Contracts in Capacity Exchanges

Google Tech Talks
October 20, 2006

ABSTRACT
First talk (joint work with Dr. Shijie Deng of GT) is a theory piece where we propose to create industrial exchanges for capacity trading via options contracts. In a continuous-time setting, we study the pricing of tradable capacity options contracts in business-to-business (B2B) exchanges in a variety of industries such as contract manufacturing, semiconductor (e.g. memory chips), oil and gas, electric power or commodity chemicals. The contract takes the form of European call option that specifies a premium price and a strike price. We show that the real options pricing formula is a modified Black-Merton-Scholes pricing formula and is equivalent to the...

Category:

Howto & Style

Tags:

• google
• howto
• pricing
• real
• options
• contracts

[daBigDen]

if you think this is a new and a profitable idea, go with it to any exchange - it's their daily business. (I work in one, we discard such ideas on a daily business)

[daBigDen]

if you think this is a new and a profitable idea, go with it to any exchange - it's their daily business. (I work in one, we discard such ideas on a daily business)

[cosmosgato]

Is this guy a nerd?

[netdude1984]

wtf is wrong with this fing guy? omfg

[jjalmood]

his laugh is quite funny,

my professor never laughs, he's more like a robot, it would be nice to have this guy as a lecturer

[dankbot420]

this guys laugh is hilarious

[bourrico2410]

hey look like a french guy!!

[robotactionstar]

Im sure he is nice and really smart, but what a hyper spaz!