Real Options Pricing by the Finite Element Method with Hermite Cubic Elements

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Real Options Pricing by the Finite Element Method with Hermite Cubic Elements

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Real Options Pricing by the Finite Element Method with Hermite Cubic Elements

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

531-536

Název nakladatele

Západočeská univerzita v Plzni

Místo vydání

Plzeň

Místo konání akce

Cheb

Datum konání akce

9. 9. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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