Real options using a Continuous-state Markov Process Approximation
نویسندگان
چکیده
Real Options were firstly formulated using traditional financial option models, however in practice an investor can confront with exotic dynamics. Nowadays, approaches based on simulations have been proposed for solving complex options. This paper proposes an alternative appraisal based on a Continuous-state Markov Process Approximation (CMPA) for multivariate Real Option problems. We discuss the viability of the proposal through a study case of a control chart decision (CCD). The proposal is compared with widely used algorithms for CCD problems. The results show the proposal versatility in problems where traditional algorithms can not be used or are inefficient.
منابع مشابه
Applied Probability Trust (May 1, 2014) AMERICAN OPTION VALUATION UNDER CONTINUOUS TIME MARKOV CHAINS
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