1203. Fear-Driven Pricing of Nuclear Stocks
Invited abstract in session WA-9: Optimization methods and models for finance, stream OR in Finance and Insurance .
Wednesday, 8:30-10:00Room: Clarendon SR 2.01
Authors (first author is the speaker)
| 1. | Kevyn Stefanelli
|
| Economic and Social Sciences, Sapienza | |
| 2. | Roy Cerqueti
|
| Department of Social and Economic Sciences, Sapienza University of Rome |
Abstract
Recent breakthroughs in nuclear energy technology have introduced a strong contender in the race to dominate the energy landscape of the coming century. However, public fear of nuclear power remains deeply ingrained, posing a significant barrier to its widespread adoption. In this paper, we price nuclear energy stocks by accounting for their vulnerability to nuclear-
related fear, alongside conventional demand and supply fluctuations in energy markets. Unlike standard stock price processes, energy prices exhibit stochastic jumps, requiring specialized modeling techniques. Nuclear energy adds further complexity due to catastrophic risk and widespread regulatory and public apprehension regarding its adoption. To capture these dynamics, we propose a pricing model that incorporates a Doubly Stochastic Poisson Process
(DSPP) to account for stochastic jumps, where the intensity itself follows a random process. The stochastic parameter is estimated using sentiment analysis, which tracks the evolution of nuclear fear over time. Our findings provide insights into how geographical and regulatory differences among companies drive variations in the impact of nuclear fear on asset prices,
offering a novel perspective on the valuation of nuclear energy investments.
Keywords
- Energy Policy and Planning
- OR in Energy
- Financial Modelling
Status: accepted
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