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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

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

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

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

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

-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

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Abstract not found