Real Options Pricing by the Finite Element Method with Hermite Cubic Elements
The result's identifiers
Result code in IS VaVaI
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Real Options Pricing by the Finite Element Method with Hermite Cubic Elements
Original language description
The paper is focused on numerical method that allows finding numerical solution of real option valuation problem which is based on the known Black-Scholes framework. Opposite to the lattice type methods, or binomial option pricing method, the solution isdiscretised by properly defined finite elements. The importance of valuation of real options stem from the fact it provides more flexible tool for assessment of opportunities within investment projects. Hence, real options represent interesting managerial instrument for investment project evaluation along with traditional procedures based upon cash flows scenes as discounted cash flow methods. The paper discusses in detail a way of space domain discretisation made by cubic finite elements, which possess node interpolation conditions of Hermitean type. The general form of such approximation depending upon selected node unknowns is described in detail. Such type of node unknowns allows direct calculation of nodal values of real option an
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Conference Proceedings, 33th International Conference Mathematical Methods in Economics
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
531-536
Publisher name
Západočeská univerzita v Plzni
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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