Valuation of Advanced Real Options

被引：0
|
作者：
Culik, Miroslav [1 ]
Gurny, Petr [1 ]
机构：
[1] VSB Tech Univ Ostrava, Dept Finance, Fac Econ, Sokolska Trida 33, Ostrava 70032, Czech Republic
来源：
MANAGING AND MODELLING OF FINANCIAL RISKS, 8TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I & II | 2016年
关键词：
Option; real options; replication strategy; binomial lattice; rainbow option; sequential compound option;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper focuses on the valuation of selected advanced (exotic) real options. Particularly, sequential compounded option, option with changing volatility and rainbow option are described and illustrative examples are stated to provide the way how they are valued. For valuation binomial lattice and replication strategy is applied. Results are commented and presented graphically.
引用
收藏
页码：145 / 156
页数：12
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