Tools
Sorted by:
Try your query at:
 |
 |
 |
 |
 |
 |
Results 1 - 10
of
1,647
FINANZIA: An Option Valuation Library
, 1996
"... Option valuation Is an important problem in the financial derivative prod-ucts or options market. A variety of computational techniques have been pro-posed to approximate its solution based on various models of the financial derivatives process. In this paper we present a software library together w ..."
Abstract
- Add to MetaCart
Option valuation Is an important problem in the financial derivative prod-ucts or options market. A variety of computational techniques have been pro-posed to approximate its solution based on various models of the financial derivatives process. In this paper we present a software library together
American Option Valuation: Implied . . .
, 2009
"... This article analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein’s Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous sudies. The EBT-based valuation approach ..."
Abstract
- Add to MetaCart
This article analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein’s Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous sudies. The EBT-based valuation approach
The Valuation of Options for Alternative Stochastic Processes
- Journal of Financial Economics
, 1976
"... This paper examines the structure of option valuation problems and develops a new technique for their solution. It also introduces several jump and diffusion processes which have nol been used in previous models. The technique is applied lo these processes to find explicit option valuation formulas, ..."
Abstract
-
Cited by 679 (5 self)
- Add to MetaCart
This paper examines the structure of option valuation problems and develops a new technique for their solution. It also introduces several jump and diffusion processes which have nol been used in previous models. The technique is applied lo these processes to find explicit option valuation formulas
On Fuzzy Real Option Valuation
"... Financial options are known from the financial world where they represent the right to buy or sell a financial value (mostly a stock) for a predetermined price (the exercise price), without having the obligation to do so. Real options in option thinking are based on the same principals as financial ..."
Abstract
-
Cited by 6 (4 self)
- Add to MetaCart
Financial options are known from the financial world where they represent the right to buy or sell a financial value (mostly a stock) for a predetermined price (the exercise price), without having the obligation to do so. Real options in option thinking are based on the same principals as financial
REAL OPTIONS VALUATION
"... Managerial flexibility has value. The ability of their managers to make smart decisions in the face of volatile market and technological conditions is essential for firms in any competitive industry. This advanced tutorial describes the use of Monte Carlo simulation and stochastic optimization for t ..."
Abstract
- Add to MetaCart
for the valuation of real options that arise from the abilities of managers to influence the cash flows of the projects under their control. Option pricing theory supplements discounted cash flow methods of valuation by considering managerial flexibility. Managers ’ options to take actions that affect real
Option Valuation and the Price of Risk
"... Avaluation model is presented for options on stocks for which Black-Scholes arbitrage does not entirely eliminate risk. The price dynamics of a portfolio of options and the underlying security is quanti ed by requiring that the excess reward-to-risk ratio of the portfolio be identical to that of the ..."
Abstract
- Add to MetaCart
-Scholes values, but naked and covered calls have di erent valuations. For in nitesimal time steps and a lognormal stock-price distribution, the evolution equation reduces to the Black-Scholes form. An analytically tractable non-lognormal distribution is analyzed near option expiration, and a formula expressing
OPTION VALUATION MODELS
, 2002
"... Please comment. Do not quote without permission. * The author gratefully acknowledges the helpful comments of … CONTACT ..."
Abstract
- Add to MetaCart
Please comment. Do not quote without permission. * The author gratefully acknowledges the helpful comments of … CONTACT
Real Options Valuation
, 2008
"... ePubWU, the institutional repository of the WU Vienna University of Economics and Business, is provided by the University Library and the IT-Services. The aim is to enable open access to the scholarly output of the WU. ..."
Abstract
- Add to MetaCart
ePubWU, the institutional repository of the WU Vienna University of Economics and Business, is provided by the University Library and the IT-Services. The aim is to enable open access to the scholarly output of the WU.
Results 1 - 10
of
1,647
