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Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques

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  • Geske, Robert
  • Shastri, Kuldeep

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 20 (1985)
Issue (Month): 01 (March)
Pages: 45-71

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Handle: RePEc:cup:jfinqa:v:20:y:1985:i:01:p:45-71_01

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Cited by:
  1. Trigeorgis, Lenos, 1996. "Evaluating leases with complex operating options," European Journal of Operational Research, Elsevier, vol. 91(2), pages 315-329, June.
  2. repec:ags:mareec:28115 is not listed on IDEAS
  3. Randall J. Pozdena & Ben Iben, 1984. "Pricing mortgages: an options approach," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 39-55.
  4. Pindyck, Robert, 1989. "Irreversibility, uncertainty, and investment," Policy Research Working Paper Series 294, The World Bank.
  5. Feurstein, Markus & Natter, Martin, 2000. "Fast high precision decision rules for valuing manufacturing flexibility," European Journal of Operational Research, Elsevier, vol. 120(1), pages 108-117, January.
  6. Jeffrey MacKie-Mason, 1988. "Nonlinear Taxation of Risky Assets and Investment, With Application to Mining," NBER Working Papers 2631, National Bureau of Economic Research, Inc.
  7. Cecilia Maya Ochoa, 2004. "Monte Carlo Option Pricing," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 61, pages 53-70, Julio-Dic.
  8. Marc Chesney & Jean Lefoll, 1996. "Predicting premature exercise of an American put on stocks: theory and empirical evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 2(1), pages 21-39.
  9. Murillas Maza, Arantza, 2000. "Uncertainty and Real Options. Investment and Development of Fishing Resources (II)," BILTOKI 2000-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  10. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
  11. Chung, Y. Peter & Johnson, Herb, 2011. "Extendible options: The general case," Finance Research Letters, Elsevier, vol. 8(1), pages 15-20, March.
  12. Gerald Buetow, Jr. & Joseph Albert, 1998. "The Pricing of Embedded Options in Real Estate Lease Contracts," Journal of Real Estate Research, American Real Estate Society, vol. 15(3), pages 253-266.
  13. Andrea Gavosto & Guido Ponte & Carla Scaglioni, 2007. "Investment in Next Generation Networks and the Role of Regulation: A Real Option Approach," Working Papers Department of Economics 2007/31, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  14. Bellalah, Mondher, 2000. "Le choix des investissements et les options réelles : une revue de la littérature," Economics Papers from University Paris Dauphine 123456789/9845, Paris Dauphine University.
  15. Lieu, Derming, 1997. "Estimation of empirical pricing equations for foreign-currency options: Econometric models vs. arbitrage-free models," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 259-286.
  16. Majd, Saman & Pindyck, Robert S., 1987. "Time to build, option value, and investment decisions," Journal of Financial Economics, Elsevier, vol. 18(1), pages 7-27, March.
  17. Bastian Felix, 2012. "Gas Storage Valuation: A Comparative Simulation Study," EWL Working Papers 1201, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Jun 2012.
  18. Mulinacci, Sabrina, 1996. "An approximation of American option prices in a jump-diffusion model," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 1-17, March.
  19. Myers, Stewart C. & Majd, Saman., 1983. "Calculating abandonment value using option pricing theory," Working papers 1462-83., Massachusetts Institute of Technology (MIT), Sloan School of Management.

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