Valuing Multifactor Real Options Using an Implied Binomial Tree
نویسندگان
چکیده
منابع مشابه
Valuing Real Options using Implied Binomial Trees
A real option on a commodity is valued using an implied binomial tree (IBT) calibrated using commodity futures options prices. Estimating an IBT in the absence of spot options (the norm for commodities) allows real option models to be calibrated for the first time to market-implied probability distributions for commodity prices. Also, the existence of long-dated futures options means that good ...
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We show how to value a real option on a commodity using an implied binomial tree (IBT) that is calibrated using commodity futures options prices. Until now it has been assumed that spot options are required to be traded on the underlying asset in order to use an IBT; this requirement is, however, typically not met with commodities. We make two major contributions: First, by showing how to imple...
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ژورنال
عنوان ژورنال: Decision Analysis
سال: 2010
ISSN: 1545-8490,1545-8504
DOI: 10.1287/deca.1100.0174