Instantaneous return rate of the portfolio hedging the cash flow ()
15%
Volatility rate of the portfolio hedging the cash flow ()
20%
Instantaneous return rate of the redevelopment cost ()
7%
Volatility rate of the redevelopment cost ()
20%
Instantaneous return rate of the portfolio hedging the redevelopment cost ()
15%
Volatility rate of the portfolio hedging the redevelopment cost ()
16%
Ratio of the contaminated cash flow to the clean one ()
0.4
Ratio of the restored cash flow to the clean one ()
1
Ratio of the redeveloped cash flow to the clean one ()
2
Ratio of the clean-up cost to the redevelopment cost ()
0.3
Ratio of the restoration cost to the redevelopment cost ()
0.2
Correlation between the hedging portfolio and underlying cash flow ()
1
Correlation between the hedging portfolio and underlying cash flow ()
1
Correlation between the cash flow and the redevelopment cost ()
0
Note: Parameters, , are predefined in the DSS to simplify inputs. And since they are mainly coefficient parameters, there is no need to change them frequently.