Search Results - subject:"Compound options"

Modeling sequential R&D investments: A binomial compound option approach

Hauschild, Bastian; Reimsbach, Daniel - In: Business Research 8 (2015) 1, pp. 39-59

In this paper, we propose a binomial approach to modeling sequential R&D investments. More specifically, we present a compound real options approach, simplifying the existing valuation methodology. Based upon the same set of assumptions as prior models, we show that the number of computational...

Persistent link: https://www.econbiz.de/10011624498

Modeling sequential R&D investments : a binomial compound option approach

Hauschild, Bastian; Reimsbach, Daniel - In: Business research 8 (2015) 1, pp. 39-59

Persistent link: https://www.econbiz.de/10011488061

The valuation of N-phased investment projects under jump-diffusion processes

Andergassen, Rainer; Sereno, Luigi - 2010

In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second...

Persistent link: https://www.econbiz.de/10011739826

Understanding financial derivatives during the South Sea Bubble: the case of the South Sea subscription shares

Shea, Gary S. - Centre for Dynamic Macroeconomic Analysis, University … - 2005

, compound options, partly-paid shares. Introduction In this paper we demonstrate the existence of something whose … call on a call. Good textbook treatments of compound options readily extend his solution to calls on puts, puts on puts … 12 See Geske (1979), “The valuation of compound options”. A good textbook treatment, with computer programs, for …

Persistent link: https://www.econbiz.de/10005696948

Decomposition of the n-fold compound option

THOMASSEN, Liesbeth; VAN CASTEREN, Jan; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, … - 2002

In a previous paper by Thomassen and Van Wouwe [5] the notion of an n-fold compound option was introduced as a generalization of Geske’s compound option [3]. To compute such an n-fold numerically remains possible but tedious because most algorithms are not capable to compute multivariate...

Persistent link: https://www.econbiz.de/10005588127

The n-fold compound option

THOMASSEN, Liesbeth; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, …

This paper revisits the compound options as introduced by R. Geske (2). Geske presented a theory for pricing an option …

Persistent link: https://www.econbiz.de/10005824296

The influence of a stochastic interest rate on the n-fold compound option

THOMASSEN, Liesbeth; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, …

We reintroduced the idea of an n-fold compound option as a generalization of Geske’s (2- fold) compound option in the same framework of constant interest rates. For the valuation of long-term financial agreements (life insurance products) this assumption is not always realistic. So that the...

Persistent link: https://www.econbiz.de/10005350876