IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v26y1991i03p309-326_00.html
   My bibliography  Save this item

A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Beatriz Mota Aragón, 2011. "Capital Investments and Real Options: New Proposals," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 65-76.
  2. Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco, 2012. "Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales," Contaduría y Administración, Accounting and Management, vol. 57(3), pages 115-145, julio-sep.
  3. Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 453-475.
  4. Helga Meier & Nicos Christofides & Gerry Salkin, 2001. "Capital Budgeting Under Uncertainty---An Integrated Approach Using Contingent Claims Analysis and Integer Programming," Operations Research, INFORMS, vol. 49(2), pages 196-206, April.
  5. Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 537-567.
  6. Rodrigues, Artur & Armada, Manuel J. Rocha, 2007. "The valuation of modular projects: A real options approach to the value of splitting," Global Finance Journal, Elsevier, vol. 18(2), pages 205-227.
  7. Anlong Li, 1992. "Binomial approximation in financial models: computational simplicity and convergence," Working Papers (Old Series) 9201, Federal Reserve Bank of Cleveland.
  8. Jackson J. Tan & Fernando L. Trinidad, 2018. "A real options model for loan portfolios of actively traded Philippine universal banks," Journal of Global Entrepreneurship Research, Springer;UNESCO Chair in Entrepreneurship, vol. 8(1), pages 1-24, December.
  9. Don M. Chance, 1994. "The Pricing And Hedging Of Limited Exercise Caps And Spreads," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(4), pages 561-584, December.
  10. Onofre Martorell Cunill & Carles Mulet Forteza & Micaela Rosselló Miralles, 2008. "Valuing Growth Strategy Management by Hotel Chains Based on the Real Options Approach," Tourism Economics, , vol. 14(3), pages 511-526, September.
  11. Massimo Costabile & Arturo Leccadito & Ivar Massabó, 2009. "Computationally simple lattice methods for option and bond pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(2), pages 161-181, November.
  12. Power, Gabriel J. & Burris, Mark & Vadali, Sharada & Vedenov, Dmitry, 2016. "Valuation of strategic options in public–private partnerships," Transportation Research Part A: Policy and Practice, Elsevier, vol. 90(C), pages 50-68.
  13. Zmeskal, Zdenek, 2010. "Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)," European Journal of Operational Research, Elsevier, vol. 207(2), pages 1096-1103, December.
  14. Chi H. Truong, 2014. "A Two Factor Model for Water Prices and Its Implications for Evaluating Real Options and Other Water Price Derivatives," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 62(1), pages 23-45, March.
  15. Akamatsu, Takashi & Nagae, Takeshi, 2011. "A network of options: Evaluating complex interdependent decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 714-729, May.
  16. Chow, Joseph Y.J. & Regan, Amelia C., 2011. "Network-based real option models," Transportation Research Part B: Methodological, Elsevier, vol. 45(4), pages 682-695, May.
  17. Loukianova, A. & Nurullaev, D., 2018. "Evaluation of real options portfolio for investment projects," Working Papers 15114, Graduate School of Management, St. Petersburg State University.
  18. Joseph Y. J. Chow & Amelia C. Regan, 2011. "Real Option Pricing of Network Design Investments," Transportation Science, INFORMS, vol. 45(1), pages 50-63, February.
  19. Bowe, Michael & Lee, Ding Lun, 2004. "Project evaluation in the presence of multiple embedded real options: evidence from the Taiwan High-Speed Rail Project," Journal of Asian Economics, Elsevier, vol. 15(1), pages 71-98, February.
  20. Christoph Woster, 2010. "An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 555-564.
  21. Peter-Jan Engelen, 2004. "Criminal Behavior: A Real Option Approach With an Application to Restricting Illegal Insider Trading," European Journal of Law and Economics, Springer, vol. 17(3), pages 329-352, May.
  22. Lung-Fu Chang & Mao-Wei Hung, 2006. "Valuation of vulnerable American options with correlated credit risk," Review of Derivatives Research, Springer, vol. 9(2), pages 137-165, September.
  23. Zdenìk Zmeškal, 2008. "Application of the American Real Flexible Switch Options Methodology A Generalized Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 261-275, August.
  24. Yury Lebedev & Arunava Banerjee, 2024. "Gaussian Recombining Split Tree," Papers 2405.16333, arXiv.org.
  25. Trigeorgis, Lenos, 1996. "Evaluating leases with complex operating options," European Journal of Operational Research, Elsevier, vol. 91(2), pages 315-329, June.
  26. Chapman, Chris & Howden, Mike, 1997. "Two phase parametric and probabilistic NPV calculations, with possible deferral of disposal of UK nuclear waste as an example," Omega, Elsevier, vol. 25(6), pages 707-714, December.
  27. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, October.
  28. Yu‐Jui Huang & Xiang Yu, 2021. "Optimal stopping under model ambiguity: A time‐consistent equilibrium approach," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 979-1012, July.
  29. Guillaume Leduc & Merima Nurkanovic Hot, 2020. "Joshi’s Split Tree for Option Pricing," Risks, MDPI, vol. 8(3), pages 1-26, August.
  30. Josheski Dushko & Apostolov Mico, 2020. "A Review of the Binomial and Trinomial Models for Option Pricing and their Convergence to the Black-Scholes Model Determined Option Prices," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(2), pages 53-85, June.
  31. Carlos Andrés Zapata Quimbayo, 2020. "OPCIONES REALES Una guía teórico-práctica para la valoración de inversiones bajo incertidumbre mediante modelos en tiempo discreto y simulación de Monte Carlo," Books, Universidad Externado de Colombia, Facultad de Finanzas, Gobierno y Relaciones Internacionales, number 138.
  32. Nagae, Takeshi & Akamatsu, Takashi, 2008. "A generalized complementarity approach to solving real option problems," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1754-1779, June.
  33. Gong, Pu & He, Zhiwei & Zhu, Song-Ping, 2006. "Pricing convertible bonds based on a multi-stage compound-option model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 449-462.
  34. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
  35. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-36.
  36. Bengtsson, Jens, 2001. "Manufacturing flexibility and real options: A review," International Journal of Production Economics, Elsevier, vol. 74(1-3), pages 213-224, December.
  37. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  38. Mark Broadie & Jérôme Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.