Blar i Discussion papers (FOR) på forfatter "Bjerksund, Petter"

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    • Closed form spread option valuation 

      Bjerksund, Petter; Stensland, Gunnar (Discussion paper, Working paper, 2006-10)
      This paper considers the valuation of a spread call when asset prices are lognormal. The implicit strategy of the Kirk formula is to exercise if the price of the long asset exceeds a given power function of the price of ...

    • Closed form valuation of American options 

      Bjerksund, Petter; Stensland, Gunnar (Discussion paper, Working paper, 2002)
      This paper presents a simple and intuitive approximation of the American call and put value. The approximation generalizes the Bjerksund-Stensland model by dividing time to maturity into two periods, each with a flat early ...

    • Contingent Claims Evaluation when the Convenience Yield is Stochastic: Analytical Results 

      Bjerksund, Petter (Discussion paper;1/91, Working paper, 1991-02)
      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 (1990) assumptions on the economy, we derive ...

    • Does a Wealth Tax Discriminate against Domestic Investors? 

      Bjerksund, Petter; Schjelderup, Guttorm (Discussion paper;16/19, Working paper, 2019-11-21)
      This paper studies the impact of a capital-income tax and a wealth tax on investor behavior in an efficient capital market under various assumptions regarding uncertainty and time horizons. We show that investors who face ...

    • Gas storage valuation : price modelling v. optimization methods 

      Bjerksund, Petter; Stensland, Gunnar; Vagstad, Frank (Discussion paper, Working paper, 2008-10)
      The existence of a financial gas market motivates the analysis of gas storage as a separate asset, using the market value context for utilization and valuation. In the recent literature, gas storage is typically analysed ...

    • How to extend the RiskMetrics market risk universe 

      Bjerksund, Petter; Stensland, Gunnar (Discussion paper, Working paper, 2002)
      RiskMetrics™ (RM) represents a framework for measuring market risk founded on the Value at Risk concept, and offer daily updated estimates of standard deviations and correlations of the assets within their market risk ...

    • Managing Flexible Load Contracts: Two simple strategies 

      Bjerksund, Petter; Myksvoll, Bjarte; Stensland, Gunnar (Discussion paper, Working paper, 2006-11)
      A flexible load contract is a type of swing option where the holder has the right to receive a given quantity of electricity within a specified period, at a fixed maximum effect (delivery rate). The contract is flexible, ...

    • The optimal spending rate versus the expected real return of a sovereign wealth fund 

      Aase, Knut K.; Bjerksund, Petter (Discussion paper;1/21, Working paper, 2021-02-04)
      We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the ...

    • Profitable Robot Strategies in Pari‐Mutuel Betting 

      Bjerksund, Petter; Stensland, Gunnar (Discussion paper;6/17, Working paper, 2017-04-07)
      We have collected odds and results from 7 474 horse races in Norway and Sweden for a period of approximately 1.5 years. Based on the odds from the win game, we construct a profitable betting strategy for the corresponding ...

    • The optimal extraction rate versus the expected real return of a sovereign wealth fund: Some simulations 

      Aase, Knut K.; Bjerksund, Petter (Discussion paper;7/19, Working paper, 2019-09-06)
      With reference to funds established for the benefits of the public at large, a university endowment, or other similar sovereign wealth fund, we demonstrate that the optimal extraction rate from the fund is significantly ...

    • Valuation and risk management in the Norwegian electricity market 

      Bjerksund, Petter; Rasmussen, Heine; Stensland, Gunnar (Discussion paper, Working paper, 2000)
      The purpose of this paper is two-fold: Firstly, we analyze option value approximation of traded options in the presence of a volatility term structure. The options are identified as: "European" (written on the forward price ...