Programming Project: Binomial-model option-valuation
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منابع مشابه
Using Binomial Decision Trees to Solve Real-Option Valuation Problems
T decision analysis methods can provide an intuitive approach to valuing projects with managerial flexibility or real options. The discrete-time approach to real-option valuation has typically been implemented in the finance literature using a binomial lattice framework. Instead, we use a binomial decision tree with risk-neutral probabilities to approximate the uncertainty associated with the c...
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This thesis aims to elucidate real option thinking and real option valuation techniques for innovative technology investment. Treating the fuel cell R&D investment as a real option for General Motor's light passenger vehicle fleet, the thesis presents a 3-step approach to value the R&D and its influence on the fleet value, in which the uncertainties and managerial flexibility are proactively ac...
متن کاملAlternative Approaches for Solving Real-Options Problems
B et al. (2005) describe an approach for using traditional decision analysis tools to solve real-option valuation problems. Their approach calls for a mix of discounted cash flow analysis and risk-neutral valuation methods and is implemented using Monte Carlo simulation and binomial decision trees. In this note, I critique their approach and discuss some alternative approaches for solving these...
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One of the key challenges of the information society is responsible handling of personal data. An often-cited reason why people fail to make rational decisions regarding their own informational privacy is the high uncertainty about future consequences of information disclosures today. This paper builds an analogy to financial options and draws on principles of option pricing to account for this...
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تاریخ انتشار 1998