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Pricing Real Options Contracts in Capacity Exchanges

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Uploaded on Jul 23, 2007

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...

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All Comments (11)

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  • 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)

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  • 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)

    ·

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  • cosmosgato

    Is this guy a nerd?

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  • netdude1984

    wtf is wrong with this fing guy? omfg

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  • 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

    · 2

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  • F. Yo. Couch

    this guys laugh is hilarious

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  • bourrico2410

    hey look like a french guy!!

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