… Bjerksund [2] allows a fixed time lag between the irrevocable investment decision and the
first … The results for the operating flexibility case are developed in detail in Bjerksund [2]. The …

This paper presents a closed-form approximation of the value of the finite-lived American
option where the underlying asset provides a constant pay-out rate. It is derived by imposing a …

This chapter applies contingent claims analysis to evaluation problems involving mean-reverting
cashflows in shipping. The basic underlying premise is that the stochastic component of …

This paper considers the valuation of a spread call when asset prices are log-normal. The
implicit strategy of the Kirk formula is to exercise if the price of the long asset exceeds a given …

The purpose of this paper is twofold: Firstly, we analyse the option value approximation of
traded options in the presence of a volatility term structure. The options are identified as: (a) “…

This paper considers contingent claims on a commodity when both the spot price and the
convenience yield are generated by diffusion processes. By adopting the Gibson and Schwartz …

… The approximation generalizes the BjerksundStensland model by dividing time to maturity
into two periods, each with a flat early exercise boundary. By imposing a feasible but non-…

This note presents the following two results. First, the finite‐lived American option to exchange
one asset for another is transformed into a finite‐lived American call, for which a large set …

In the literature, one approach is to analyse gas storage within a simple one-factor price
dynamics framework that is solved to optimality. We follow an alternative approach, where the …

We study how a capital income tax and a wealth tax affect an investor's valuation of a company's
stock in an efficient international capital market. Using a one-period model, a model of …