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英文文献：Valuing Multiple-Exercise Option Contracts: Methodology And Application To Water Markets-多重行使期权合同的价值评估:方法和在水市场中的应用
英文文献作者：Villinski, Michele T.
英文文献摘要：
Option contracts for water are emerging in some U.S. states as institutional and legal modifications allow water users to devise new mechanisms to increase reliability of water supply in dry years. Option contracts for water, though, are structurally distinct from financial derivatives and often entail a lengthy lifespan and the opportunity for multiple exercise. In this paper I present the framework and results of a finite-horizon, discrete-time, stochastic dynamic programming methodology for valuing multiple-exercise option contracts. I use data from short-term water markets in the Texas Lower Rio Grande to estimate parameters for two different price processes: mean reversion and geometric Brownian motion. Key findings of the analysis include non-zero contract values for both price processes and higher contract values under geometric Brownian motion than under mean reversion.
美国一些州开始出现水资源选择合同，因为制度和法律的修改允许用水户设计新的机制，以提高干旱年份供水的可靠性。但是，水的期权合同在结构上不同于金融衍生品，而且往往寿命很长，而且有机会进行多次操作。在本文中，我提出了一个有限视界，离散时间，随机动态规划方法来评估多重行使期权合约的框架和结果。我使用来自德克萨斯州下城里约热内卢Grande的短期水市场的数据来估计两种不同价格过程的参数:均值回归和几何布朗运动。分析的主要发现包括价格过程的非零合约值和几何布朗运动下的合约值高于均值回归下的合约值。
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