کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
2061571 1544040 2016 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Real options valuation with changing volatility
ترجمه فارسی عنوان
ارزیابی گزینه های واقعی با تغییر نوسانات
موضوعات مرتبط
مهندسی و علوم پایه علوم زمین و سیارات علوم زمین و سیاره ای (عمومی)
چکیده انگلیسی

SummaryThis paper aims at the valuation of real options with changing volatility. Volatility change is a typical feature of real investment projects, where the riskiness of cash flow generated by the project can change significantly during the project life span. In this paper, there is explained how the problem of changing volatility can be considered if binomial lattice and replication strategy is used for real option valuation. There are recombining and non-recombining lattice used and constant and increasing volatility are analysed and results compared. In situation when volatility is changing, two approaches overcoming this problem are employed and compared.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Perspectives in Science - Volume 7, March 2016, Pages 10–18
نویسندگان
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