Boyarchenko, Svetlana
Irreversible Decisions under Uncertainty
Part I. Discrete time — discrete space models. Finite time horizon
1. Introduction
2. Real options and American options
3. Risk-neutral pricing. Finite time horizon case
Part II. Discrete time — discrete space models. Infinite time horizon
4. Random walks on Z
5. Options in the binomial and trinomial models
6. General random walks on Z: Option pricing
Part III. Discrete time — continuous space models
7. Random walks on R
8. Basic options in the model (7.5)
9. Optimal stopping for general random walks
Part IV. Continuous time - continuous space models
10. Brownian motion case
11. General Lévy processes
12. Embedded options
Part V. Extensions
13. American options with finite time horizon
14. Perpetual American and real options under Ornstein-Uhlenbeck processes
DRM-restrictions
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Keywords: BUSINESS & ECONOMICS / Management Science BUS042000
- Author(s)
- Boyarchenko, Svetlana
- Levendorskii, Sergei
- Publisher
- Springer
- Publication year
- 2007
- Language
- en
- Edition
- 1
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9783540737469