Practical guide to real options in discrete time
其他凝聚态物理
2008-12-02 v1 证券定价
摘要
Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general, computationally simple approach to real options in discrete time. Explicit formulas are derived even for embedded options. Discrete time processes reflect the scarcity of observations in the data, and may account for fat tails and skewness of probability distributions of commodity prices. The method of the paper is based on the use of the expected present value operators.
引用
@article{arxiv.cond-mat/0404106,
title = {Practical guide to real options in discrete time},
author = {Svetlana Boyarchenko and Sergei Levendorskii},
journal= {arXiv preprint arXiv:cond-mat/0404106},
year = {2008}
}
备注
28 pages, 1 figure, submitted to the "Journal of economic Theory"