Search Results - subject:"Binomial tree"

Computation of Greeks using binomial trees in a jump-diffusion model

Suda, Shintaro; Muroi, Yoshifumi - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 93-110

We propose a new algorithm for computing the Greeks in jump-diffusion settings using binomial trees. We further demonstrate that the Greeks for European options converge to the Malliavin Greeks in the continuous time model. Our proposed algorithm is efficient, because the price and the Greeks...

Persistent link: https://www.econbiz.de/10011190671

Computation of Greeks using binomial trees in a jump-diffusion model

Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110

Persistent link: https://www.econbiz.de/10011474273

Real option analysis of aircraft acquisition : a case study

Hu, Qiwei; Zhang, Anming - In: Journal of air transport management 46 (2015), pp. 19-29

Persistent link: https://www.econbiz.de/10011342685

The pricing of embedded lease options

Amédée-Manesme, Charles-Olivier; Des Rosiers, François; … - In: Finance research letters 15 (2015), pp. 215-220

Persistent link: https://www.econbiz.de/10011553205

The effect of stochastic interest rates on a firm's capital structure under a generalized model

Chang, Chuang-chang; Lin, Jun-Biao; Yang, Chun-Chieh - In: Review of quantitative finance and accounting 45 (2015) 4, pp. 695-719

Persistent link: https://www.econbiz.de/10011532102

Evaluating China's biomass power production investment based on a policy benefit real options model

Wang, Xingwei; Cai, Yanpeng; Dai, Chao - In: Energy 73 (2014) C, pp. 751-761

In this study, a policy benefit real options model was developed to evaluate biomass power production investment in China. A method based on the cumulative probability was proposed using binomial decision tree calculations for the exercising of options in order to evaluate the optimal investment...

Persistent link: https://www.econbiz.de/10011055246

Evaluation of the mining projects under economic uncertainties using multidimensional binomial tree

Dehghani, Hesam; Ataee-pour, Majid; Esfahanipour, Akbar - In: Resources Policy 39 (2014) C, pp. 124-133

the multidimensional binomial tree method. The pyramid technique can evaluate the mining projects under the situation of …

Persistent link: https://www.econbiz.de/10010744417

Pricing and managing risks of European-style options in a Markovian regime-switching binomial model

Fard, Farzad; Siu, Tak - In: Annals of Finance 9 (2013) 3, pp. 421-438

We discuss the pricing and risk management problems of standard European-style options in a Markovian regime-switching binomial model. Due to the presence of an additional source of uncertainty described by a Markov chain, the market is incomplete, so the no-arbitrage condition is not sufficient...

Persistent link: https://www.econbiz.de/10010866517

Discrete Malliavin calculus and computations of greeks in the binomial tree

Muroi, Yoshifumi; Suda, Shintaro - In: European Journal of Operational Research 231 (2013) 2, pp. 349-361

This paper proposes new methods for computation of greeks using the binomial tree and the discrete Malliavin calculus … using Monte Carlo simulations. On the other hand, the binomial tree approach can also be used to compute these expectations …. In this article, we employ the discrete Malliavin calculus to obtain expectation formulas for greeks by the binomial tree …

Persistent link: https://www.econbiz.de/10010682492

Pricing and managing risks of European-style options in a Markovian regime-switching binomial model

Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438

Persistent link: https://www.econbiz.de/10009776434