Search Results - subject:"binomial lattice"

Stochastic modeling of the energy supply system with uncertain fuel price – A case of emerging technologies for distributed power generation

Mirkhani, Sh.; Saboohi, Y. - In: Applied Energy 93 (2012) C, pp. 668-674

paper. First, a binomial lattice is generated based on the stochastic nature of the source of uncertainty. Second, an energy …

Persistent link: https://www.econbiz.de/10010576337

A real options framework to evaluate investments in toll road projects delivered under the two‐phase development strategy

Ashuri, Baabak; Lu, Jian; Kashani, Hamed - In: Built Environment Project and Asset Management 1 (2011) 1, pp. 14-31

‐neutral valuation method is used for pricing flexibility embedded in the two‐phase development plan. Risk‐neutral binomial lattice is …

Persistent link: https://www.econbiz.de/10014677461

The option to expand to a next generation access network infrastructure and the role of regulation in a discrete time setting: A real options approach

Charalampopoulos, George; Katsianis, Dimitris; … - In: Telecommunications Policy 35 (2011) 9, pp. 895-906

exploiting the binomial lattice approach from real options analysis. …

Persistent link: https://www.econbiz.de/10010943170

On modelling credit risk using Arbitrage Free Models

Skinner, Frank; Diaz, Antonio - Henley Business School, University of Reading - 2001

By examining the distribution of state prices obtained from binomial versions of Jarrow and Turnbull (1995), Lando (1998) and Duffie and Singleton (1999), we are able to suggest which credit risk parameters are of critical interest. We find that it appears worthwhile to parameterize credit risk...

Persistent link: https://www.econbiz.de/10005558314

Flexible and Risk-Sharing Supply Contracts Under Price Uncertainty

Li, Chung-Lun; Kouvelis, Panos - In: Management Science 45 (1999) 10, pp. 1378-1398

We study supply contracts for deterministic demand but in an environment of uncertain prices. We develop valuation methodologies for different types of supply contracts. A "time-inflexible contract" requires the firm to specify not only how many units it will purchase, but also the timing of the...

Persistent link: https://www.econbiz.de/10009204495