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The number of multi-currency exotic options is large and growing. They naturally appeal to large international corporations who need to hedge their exposures in different currencies. Multi-currency op...
Valuing Corporate Growth Using Real Options
real growth option corporate valuation organic growth
2010/12/7
The corporate DCF model is often criticized for its limitations in valuing investments with significant multi-period growth opportunities. The current paper offers a practical methodology that employs...
Binomial Lattices for Barrier Options
Barrier option binomial tree convergence rate transition probability
2010/9/7
In the existing literature on barrier options, much effort has been exerted to ensure convergence through placing the barrier in close proximity to, or directly onto, the nodes of the tree lattice. In...
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model ...
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
Hedging strategies minimal variance portfolios European Levy market
2010/12/13
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, ...
Getting real about biz options: Iowa State University prof’s study earns international research award（图）
managers biz options
2007/5/21
14th May 2007，AMES, Iowa -- Some managers throw money at a high-priced project in an effort to save it from failure. And while it may seem like they’re just throwing money away, they may ultimately pr...
On the Value–Volatility Relationship in a Real Options Model
investment analysis option-pricing theory finance
2010/12/7
In the analytical real options approach, the most important proposition that the value of the investment opportunity increases as the volatility increases has been proved by assuming the convexity of ...
Consistent Pricing and Hedging of an FX Options Book
foreign exchange options market uncertain Black-Scholes parameters
2010/12/7
In the foreign exchange (FX) options market away-from-the-money options are quite actively traded, and quotes for the same type of instruments are available everyday with very narrow spreads (at least...
Real Options in an Oligopoly Market
investment decision strategic substitution NPV criterion sequential
2010/12/7
This paper considers strategic entry decisions in an oligopoly market when the underlying state variable follows a geometric Brownian motion. It is shown that, even in the oligopoly case, three types ...
Real Options in an Oligopoly Market
investment decision strategic substitution NPV criterion
2010/12/7
This paper considers strategic entry decisions in an oligopoly market when the underlying state variable follows a geometric Brownian motion. It is shown that, even in the oligopoly case, three types ...
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
Monte Carlo simulation extreme values Brownian Bridge multi-asset barrier option multi-variate joint distribution Fr´ echet bounds
2010/10/29
An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously
been applied to eliminate pricing bias that arises in applications of the standard
discrete-time Monte C...