Valuation of the Two-Color Rainbow Real Options
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10237394" target="_blank" >RIV/61989100:27510/17:10237394 - isvavai.cz</a>
Result on the web
<a href="https://www.ekf.vsb.cz/frpfi-old/en/history/year-2017/" target="_blank" >https://www.ekf.vsb.cz/frpfi-old/en/history/year-2017/</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Valuation of the Two-Color Rainbow Real Options
Original language description
This paper focuses on the valuation of real options, particularly on the options with more underlying assets. First, real options and selected exotic real options are described. Next, case study is provided. Here, project under risk and flexibility is evaluated. Option to abandon a project is assumed; the cash flow generated by the project is affected by two random variables. For valuation binomial lattice and replication strategy is applied. Results are commented and presented.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Financial Management of Firms and Financial Institutions : 11th international scientific conference : 6th - 7th September 2017, Ostrava, Czech Republic : proceedings.
ISBN
978-80-248-4138-0
ISSN
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e-ISSN
2336-162X
Number of pages
12
Pages from-to
173-184
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 6, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000508278200020