Replicating Portfolio Approach to Capital Calculation

2016 ◽  
Author(s):  
Mathieu Cambou
Keyword(s):  
Portfolio Approach ◽  
Replicating Portfolio

Replicating portfolio approach to capital calculation

2017 ◽  
Vol 22 (1) ◽  
pp. 181-203 ◽  
Author(s):  
Mathieu Cambou ◽  
Damir Filipović
Keyword(s):  
Portfolio Approach ◽  
Replicating Portfolio

The modified binomial options pricing model and the revised replicating portfolio approach with the concept of sustainability options

2020 ◽  
Vol 07 (02) ◽  
pp. 2050013
Author(s):  
Tyrone T. Lin ◽  
Hui-Tzu Yen ◽  
Shu-Yen Hsu
Keyword(s):  
Net Present Value ◽  
Evaluation Criteria ◽  
Options Pricing ◽  
Pricing Model ◽  
Objective Functions ◽  
Present Value ◽  
Project Investment ◽  
Decision Variables ◽  
Portfolio Approach ◽  
Replicating Portfolio

This paper discusses whether the project investment can develop the decision-making for the concept of sustainability options. The conventional net present value (NPV) approach assesses whether the project investment should be implemented, and develops the evaluation criteria of implementing sustainability costs from the modified binomial options pricing model (BOPM) and the revised replicating portfolio approach. It treats options premium value and the replicating portfolio approach (RPA) value as the objective functions, and the options premium of the BOPM and the initial values of the RPA as the decision variables.

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