2011 Fiscal Year Final Research Report
Studies on the Valuation of Financial Assets and its applications
| Project/Area Number |
20330068
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (B)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Public finance/Monetary economics
|
|---|
| Research Institution | Nanzan University |
|---|
Principal Investigator |
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
OSAKI Syunji 南山大学, 情報理工学部, 教授 (10034399)
TABATA Yoshio 南山大学, 大学院・ビジネス研究科, 教授 (30028047)
TAKEZAWA Naoya 南山大学, 大学院・ビジネス研究科, 教授 (70329332)
|
|---|
| Co-Investigator(Renkei-kenkyūsha) |
YAGI Kyoko 秋田県立大学, システム科学技術学部, 助教 (80451847)
SATO Kimitoshi 早稲田大学, 大学院・ファイナンス研究科, 助教 (60609527)
|
|---|
| Project Period (FY) |
2008 – 2011
|
| Keywords | ファイナンス / 金融工学 / 経営財務 / 最適停止 / 最適償還政策 |
|---|
| Research Abstract |
This research survey can be summarized as follows;
(1) We consider contingent claims which enable both their buyer(investor) and seller(issuer) to exercise their rights at any time, that is, the buyer can exercise the right to buy or to sell a specific security for certain price. Analytical properties are investigated. This model can be applied to the valuation of the investment project and capital structures.
(2) A continuous-time inventory model incorporated with the spot market is considered. This model is to dedicate the development of the bridge between inventory control and finance theory. The firm can purchase the product based on not only the long-term contract but also from the spot market We show that there exists an optimal procurement policy.
(3) This research argues that foreign direct investment effectively writes a real option for the host government. A rational host government will exercise its option by expropriating when the value of holding/controlling the investment's assets and cash flow is greater than the value of keeping the option alive. We model a gas/oil production sharing agreement as a an American call option on an asset. The model has empirical implications for the strategic behavior of foreign investors.
(4) We consider a model of valuing callable securities when the underlying asset price dynamic is modeled by regime switching process. We show that such model can be formulated an optimal stopping game with two boundaries. We provide analytical results of optimal stopping rules of the issuer and the investor under general payoff functions defined on the underlying asset price and the state of the economy.
|
