Break-Even Volatility

A profit or loss (P&L) of a dynamically hedged option depends on the implied volatility used to price the option and implement the hedges. Break-even volatility is a method of solving for the volatility which yields no profit or loss based on replicating the hedging procedure of an option on a historical share price time series. This dissertation investigates the traditional break-even volatility method on simulated data, how the break-even formula is derived and details the implementation with reference to MATLAB. We extend the methodology to the Heston model by changing the reference model in the hedging process. Resultantly, the need to employ characteristic function pricing methods arises to calculate the Heston model sensitivities. The break-even volatility solution is then found by means of an optimisation of the continuously delta hedged P&L over the Heston model parameters

Analisis Break Even Point Sebagai Salah Satu Alat Perencanaan Penjualan Dan Laba (Studi Pada PT. Ultrajaya Milk Industry & Trading Company, Tbk)

Analisis break even point adalah suatu alat atau teknik yang digunakan oleh manajemen untuk mengetahui tingkat penjualan tertentu Perusahaan sehingga tidak mengalami laba dan tidak pula mengalami kerugian. Analisis break even point digunakan untuk mengetahui tingkat volume penjualan sebelum Perusahaan mengalami untung dan mengalami rugi sehingga hal tersebut dapat digunakan manajer untuk menentukan perencanaan penjualan. Perencanaan penjualan yang telah direncanakan oleh Perusahaan dapat digunakan untuk menentukkan laba yang diinginkan. PT. Ultrajaya Milk Industry & Trading Company, Tbk mempunyai produk lebih dari satu sehingga biaya yang dikeluarkan oleh Perusahaan tidak hanya untuk memproduksi satu produk saja. Selain itu, banyaknya Perusahan lain yang memproduksi produk sejenis dengan merek yang berbeda dan tingkat konsumsi masyarakat yang masih rendah yaitu sekitar 10-11 liter per kapita per tahun. Tujuan dari penelitian ini adalah untuk mendeskripsikan mengenai penerapan analisis break even point, mendeskripsikan gambaran perencanaan penjualan dan mendeskripsikan penjualan minimal yang harus dipertahankan. Berdasarkan hasil penelitian PT. Ultrajaya Milk Industry & Trading Company, Tbk pada tahun 2012 tingkat break even point yang diperoleh sebesar Rp 1.566.399.244.858. Perencanaan penjualan yang direncanakan pada tahun 2013, 2014 dan 2015 sebesar Rp 3.658.375.257.915, Rp 4.318.113.498.723 , Rp 6.169.524.838.854 dengan penjualan minum sebesar Rp 3.315.568.318.435

Analisis Break Even Point sebagai Dasar Pengambilan Keputusan Penetapan Harga Jual pada USAha Kecil dan Menengah (UKM) di Kota Banda Aceh

The purpose of this research is to analyse the break even point on selling price determination, to know the difference of selling price between the one which is stated by SMEs in trading sector in Banda Aceh and the one which is the result of break even point analysis, and also to know the correlation between the break even point and selling price. Type of this research is statistical descriptive analysis. Population in this research are SMEs listed in Dinas Perindustrian, Perdagangan, Koperasi, dan UKM in Banda Aceh. Based on certain criterias, there are 30 SMEs as the samples of the research. This research shows that there is a difference betweet the rate of selling price determined by the SMEs and break even point analysis result. Based on correlation test, there is positive significant correlation between selling price and break even point

Break-Even Points of Battery Energy Storage Systems for Peak Shaving Applications

abstract: In the last few years, several investigations have been carried out in the field of optimal sizing of energy storage systems (ESSs) at both the transmission and distribution levels. Nevertheless, most of these works make important assumptions about key factors affecting ESS profitability such as efficiency and life cycles and especially about the specific costs of the ESS, without considering the uncertainty involved. In this context, this work aims to answer the question: what should be the costs of different ESS technologies in order to make a profit when considering peak shaving applications? The paper presents a comprehensive sensitivity analysis of the interaction between the profitability of an ESS project and some key parameters influencing the project performance. The proposed approach determines the break-even points for different ESSs considering a wide range of life cycles, efficiencies, energy prices, and power prices. To do this, an optimization algorithm for the sizing of ESSs is proposed from a distribution company perspective. From the results, it is possible to conclude that, depending on the values of round trip efficiency, life cycles, and power price, there are four battery energy storage systems (BESS) technologies that are already profitable when only peak shaving applications are considered: lead acid, NaS, ZnBr, and vanadium redox

Analisis Break Even Point Sebagai Salah Satu Alat Perencanaan Penjualan Dan Laba (Studi Pada PT. Wismilak Inti Makmur, Tbk)

This research aims to describe the application of the break-even point analysis, as the representation of forecasted minimum sales that must be maintained by PT. Wismilak Inti Makmur Tbk. This is a quantitative research, using descriptive analysis method. This research used secondary data from Indonesia Capital Market Directory (ICMD), the summary of company performance, and financial reports obtained from BEI. The result of this research showed that the value of break even point of PT. Wismilak Inti Makmur Tbk, in total is Rp 886,588,290,219. That number is the accumulation of both clove and filtered units. Rp. 142,806,167,552from 326,041,478pieces of cloves and Rp. 743,782,122,667 from 1,349,876,810 pieces of filtered cigarettes. The forecasted sales of PT. Wismilak Inti Makmur Tbk, are 3,304,000,000 cigarettes in 2014, 3,561,000,000 cigarettes in 2015, and 3,818,000,000 cigarettes in 2016, by safety limit of 44%. Minimum sales that must be obtained by PT. Wismilak Inti Makmur Tbk, to achieve the expected profit of 25%,is Rp 2,278,373,066,646, Rp 366,986,265,768 from 837,868,186 piecesof clove cigarettes and Rp 1,911,386,800,878 from 3,468,941,562 pieces of filters cigarettes

Analisis Break Even Point dan Risiko Pendapatan USAha Kerupuk Ikan Gabus di Kecamatan Seruyan Hilir Kabupaten Seruyan Kalimantan Tengah

This study aims to analyze Break Even Point (BEP) and the risk of snakehead fish cracker business income in subdistrik seruyan hilir district seruyan, this research was conducted in March 2017 s / d June 2017 in sub district Seruyan Hilir Seruyan District. Sampling using census method or the entire population of snakehead fish cracker processing business owner in Seruyan Hilir Sub-district that actively producing snakehead fish cracker is sampled In this research, there are 14 people who are all sampled in research. The data analysis used was Break Even Point analysis and income risk from snakehead fish cracker business, based on the result of the average fixed cost analysis used Rp 7.095.803 per year and the average variable cost used was Rp 59.779.200 per year , And based on Break Even Point analysis of snakehead fish cracker business conducted for Break Even Point from production of fish snakehead crackers in one production process is 7.96 kg / production and Break Even Point based on sales obtained in one production is Rp 7.324. 303 and the result of risk analysis of snakehead fish cracker income based on business income risk for CV value of 0,17 (0,17 3,749,920,75 (> 0), it can be interpreted that income risk the minimum obtained by the business of fish snakehead crackers in the run of Rp 3,749,920.75 / kg