Valuation of Advanced Real Options
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099002" target="_blank" >RIV/61989100:27510/16:86099002 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Valuation of Advanced Real Options
Original language description
This paper focuses on the valuation of selected advanced (exotic) real options. Particularly, sequential compounded option, option with changing volatility and rainbow option are described and illustrative examples are stated to provide the way how they are valued. For valuation binomial lattice and replication strategy is applied. Results are commented and presented graphically.
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
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Managing and Modelling of Financial Risks : proceedings of the 8th international scientific conference : September 5-6, 2016, Ostrava, Czech Republic
ISBN
978-80-248-3994-3
ISSN
2464-6970
e-ISSN
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Number of pages
11
Pages from-to
146-156
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 5, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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