166
Views
0
CrossRef citations to date
0
Altmetric
Article

Experience with valuation methods for the creation of real options enabling diversity of nuclear fuel supply

, &
Pages 175-187 | Received 04 May 2020, Accepted 15 Jul 2021, Published online: 30 Aug 2021

References

  • U.S. Nuclear Regulatory Commission. Policy issue SECY-13-0132 Enclosure 3: defense-in-depth observations and detailed history. Washington (DC): US NRC; 2013.
  • NUCLEAR ENERGY AGENCY. Nuclear fuel behavior in loss-of-coolant accident (LOCA) conditions: NEA No. 6846. Paris: OECD; 2009.
  • Reaktor-Sicherheitskommission (RSK). German reactor safety commission statement 2015-03-18: deformation of fuel assemblies in German pressurized water reactors (PWRs). Bonn: 2015 [cited 2020 May 4]. Available from: http://www.rskonline.de/sites/default/files/reports/epanlagersk474hp.pdf.
  • Reaktor-Sicherheitskommission (RSK). German reactor safety commission statement 2016-05-18: damage to fuel assembly alignment pins and core components. Bonn: 2016 [cited 2020 May 4]. Avalaible from: http://www.rskonline.de/sites/default/files/reports/rskepanlagersk484homepageen.pdf.
  • Brokdorf nuclear power plant. Meldepflichtiges Ereignis [Reportable event] ME 2017/02. Kiel: 2017 [cited 2021 Aug 15]. Avalaible from: https://www.schleswig-holstein.de/DE/Landesregierung/V/Presse/PI/PDF/2017_neu/170730_PI_Wiederanfahren_Brokdorf.pdf
  • Hull J. Options, Futures and Other Derivatives. 3rd ed. New Jersey: Prentice Hall; 1996.
  • Le Gall J-F. Brownian Motion, Martingales and Stochastic Calculus. Berlin: Springer; 2016.
  • Black F, Scholes N. The pricing of options and corporate liabilities. J Political Econ. 1973;81:637–659.
  • Dixit AK, Pindyck RS. Investment under uncertainty. Princeton: Princeton University Press; 1994.
  • Trigeorgis L, Tsekrekos A. Real options in operations research: a review. Eur J Oper Res. 2018;270(1):1–24.
  • Peters L. Real Options Illustrated. Berlin: Springer; 2016.
  • Kuschel D, Zeitner W. Design procedure for the primary circuit of the Konvoi plants. Nucl Eng Des. 1991;130(3):451–457.
  • Wilson GE, Boyack BE. The role of the PIRT process in experiments, code development and code applications associated with reactor safety analysis. Nucl Eng Des. 1998;186(1–2):23–37.
  • INTERNATIONAL ATOMIC ENERGY AGENCY. Operation and licensing of mixed cores in water cooled reactors: TECDOC No 1720. Vienna: IAEA; 2013.
  • Ekberg K, Lundberg S. CASMO-3/SIMULATE-3 core follow calculations on oskarshamn 3. In: Heller MR, editor. Nuclear Simulation. Berlin: Springer; 1987. p. 235–261.
  • Bachelier L. Theorie de la speculation. Ann Sci Ec Norm Sup. 1900;3(17):21–86.
  • Samuelson PA. Rational Theory of Warrant Pricing. In: Cootner PH, editor. The Random Character of Stock Market Prices. Cambridge (MA): MIT Press; 1964. p. 506–525.
  • Marathe RR, Ryan SM. On the Validity of the Geometric Brownian Motion Assumption. Eng Econ. 2005;50:159–192.
  • Musiela M, Rutkowski M. Martingale Methods in Financial Modelling. 2nd ed. Berlin: Springer; 2005.
  • Merton RC. The theory of rational option pricing. Bell J Econ Manag Sci. 1973;4(1):141–183.
  • Cochrane JH. Asset Pricing. Princeton: Princeton University Press; 2005.
  • Cochrane JH, Saá-Requejo J. Beyond arbitrage: good-deal asset price bounds in incomplete markets. J Political Econ. 2000;108(1):79–119.
  • Cao M, Wei J. Weather derivatives valuation and market price of weather risk. J Fut Mark. 2004;24:1065–1089.
  • Lukas RE. Asset prices in an exchange economy. Econometrica. 1978;46:1429–1445.
  • Brenner M, Subrahmanyam MG. A simple approach to option valuation and hedging in the Black-Scholes model. Financial Anal J. 1994;50(2):25–28.
  • Zhu D, Galbraith JW. A generalized asymmetric Student’s-t distribution with applications to financial economics. J Econom. 2010;157(2):297–305.
  • Borland L. Option pricing formulas based on a non-Gaussian stock price model. Phys Rev Lett. 2002;89(9):098701.
  • Bouchaud J-P, Sornette D. The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes. J Phys I. 1994;4(6):863–881.
  • Basnarkov L, Stojkoski V, Utkovski Z, et al. Option pricing with heavy-tailed distributions of logarithmic returns. Int J Theor Appl Finance. 2019;22(7):1950041.
  • Cassidy DT, Hamp MJ, Ouyed R. Pricing European options with a Log Student’s-t distribution: a Gosset formula. Physica A Stat Mech Appl. 2010;389(24):5736–5748.
  • Borland L. A theory of non-Gaussian option pricing. Quant Finance. 2002;2(6):415–431.
  • Tsallis C. Possible generalization of Boltzmann-Gibbs statistics. J Stat Phys. 1988;52(1–2):479–487.
  • Sato A-H. q-Gaussian distributions and multiplicative stochastic processes for analysis of multiple financial time series. J Phys Conf Ser. 2010;201:012008.
  • Katz YA. q-Gaussian Model of Default: valuation of CDS Spreads. SSRN. 2018 Nov 2; 22. DOI:https://doi.org/10.2139/ssrn.3277655

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.