کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
966473 930972 2007 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal stopping made easy
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Optimal stopping made easy
چکیده انگلیسی
This paper presents a simple discrete time model for valuing real options. A short and simple proof of optimal exercise rules for the standard problems in the real options theory is given in the binomial and trinomial models, and, more generally, when the underlying uncertainty is modelled as a random walk on a lattice. The method of the paper is based on the use of the expected present value operators. With straightforward modifications, the method works in discrete time-continuous space, continuous time-continuous space and continuous time-discrete space models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 43, Issue 2, February 2007, Pages 201-217
نویسندگان
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