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A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments

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  • Trigeorgis, Lenos
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    Bibliographic Info

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

    Volume (Year): 26 (1991)
    Issue (Month): 03 (September)
    Pages: 309-326

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    Handle: RePEc:cup:jfinqa:v:26:y:1991:i:03:p:309-326_00

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    Cited by:
    1. Leisen, D. P. J. & M. Reimer, 1995. "Binomial Models for Option Valuation - Examining and Improving Convergence," Discussion Paper Serie B 309, University of Bonn, Germany.
    2. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
    3. Akamatsu, Takashi & Nagae, Takeshi, 2011. "A network of options: Evaluating complex interdependent decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 714-729, May.
    4. Zdenìk Zmeškal, 2008. "Application of the American Real Flexible Switch Options Methodology A Generalized Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 261-275, August.
    5. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1250058-1-1.
    6. Nagae, Takeshi & Akamatsu, Takashi, 2008. "A generalized complementarity approach to solving real option problems," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1754-1779, June.
    7. Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 537-567.
    8. Peter-Jan Engelen, 2004. "Criminal Behavior: A Real Option Approach With an Application to Restricting Illegal Insider Trading," European Journal of Law and Economics, Springer, vol. 17(3), pages 329-352, May.
    9. Chapman, Chris & Howden, Mike, 1997. "Two phase parametric and probabilistic NPV calculations, with possible deferral of disposal of UK nuclear waste as an example," Omega, Elsevier, vol. 25(6), pages 707-714, December.
    10. Lung-Fu Chang & Mao-Wei Hung, 2006. "Valuation of vulnerable American options with correlated credit risk," Review of Derivatives Research, Springer, vol. 9(2), pages 137-165, September.
    11. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
    12. Chow, Joseph Y.J. & Regan, Amelia C., 2011. "Network-based real option models," Transportation Research Part B: Methodological, Elsevier, vol. 45(4), pages 682-695, May.
    13. Lint, O., 2000. "Retrospective insights from real options in R&D," Eindhoven Center for Innovation Studies (ECIS) working paper series 00.09, Eindhoven Center for Innovation Studies (ECIS).
    14. Massimo Costabile & Arturo Leccadito & Ivar Massabó, 2009. "Computationally simple lattice methods for option and bond pricing," Decisions in Economics and Finance, Springer, vol. 32(2), pages 161-181, November.
    15. Rodrigues, Artur & Armada, Manuel J. Rocha, 2007. "The valuation of modular projects: A real options approach to the value of splitting," Global Finance Journal, Elsevier, vol. 18(2), pages 205-227.
    16. Anlong Li, 1992. "Binomial approximation in financial models: computational simplicity and convergence," Working Paper 9201, Federal Reserve Bank of Cleveland.
    17. Bowe, Michael & Lee, Ding Lun, 2004. "Project evaluation in the presence of multiple embedded real options: evidence from the Taiwan High-Speed Rail Project," Journal of Asian Economics, Elsevier, vol. 15(1), pages 71-98, February.
    18. Trigeorgis, Lenos, 1996. "Evaluating leases with complex operating options," European Journal of Operational Research, Elsevier, vol. 91(2), pages 315-329, June.

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