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Quadrinomial trees with stochastic volatility to value real options
(Universidad ESAN. ESAN EdicionesPE, 2021-12-19)
Purpose. The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial ...
Quadrinomial trees with stochastic volatility to value real options
(Universidad ESAN. ESAN EdicionesPE, 2021-12-19)
Purpose. The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial ...
GARCH-type volatility in the multiplicative quadrinomial tree method: An application to real options
(Universidad Nacional Autonoma de Mexico, 2020-03-03)
This article applies the multiplicative quadrinomial tree numerical method with non-constant volatility to assess a real option of abandonment, based on an estimate of the conditional volatility for WTI oil commodity prices ...
GARCH-type volatility in the multiplicative quadrinomial tree method: An application to real options
(Universidad Nacional Autonoma de Mexico, 2020-03-03)
This article applies the multiplicative quadrinomial tree numerical method with non-constant volatility to assess a real option of abandonment, based on an estimate of the conditional volatility for WTI oil commodity prices ...
Quadrinomial Trees to Value Options in Stochastic Volatility Models
(Institutional Investor Systems, 2019-01-01)
This article describes in detail the multiplicative quadrinomial tree numerical method with nonconstant volatility, based on a system of stochastic differential equations of the GARCH-diffusion type. The methodology allowed ...
Quadrinomial Trees to Value Options in Stochastic Volatility Models
(Institutional Investor Systems, 2019-01-01)
This article describes in detail the multiplicative quadrinomial tree numerical method with nonconstant volatility, based on a system of stochastic differential equations of the GARCH-diffusion type. The methodology allowed ...
Impact of the inclusion of stochastic and conditional volatility of a commodity in real options valuation using the binomial options pricing model
(Pontificia Universidad Católica del PerúPE, 2019)
Impact of the inclusion of stochastic and conditional volatility of a commodity in real options valuation using the binomial options pricing model
(Pontificia Universidad Católica del PerúPE, 2019)
Impact of the inclusion of stochastic and conditional volatility of a commodity in real options valuation using the binomial options pricing model
(Pontificia Universidad Católica del PerúPE, 2019)