## Abstract Much of the work on real options assumes that the underlying state variable follows a geometric Brownian motion with constant volatility. This paper uses a more general assumption for the state variable process that better captures the empirical regularities found in commodity markets.
β¦ LIBER β¦
Predicting the value of foreign currency call options with the Constant Elasticity of Variance diffusion process
β Scribed by Hauser, Shmuel; Galai, Dan; Bagley, Charles
- Book ID
- 123399843
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 1002 KB
- Volume
- 1
- Category
- Article
- ISSN
- 1057-5219
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Pricing real options under the constant
β
JosΓ© Carlos Dias; JoΓ£o Pedro Vidal Nunes
π
Article
π
2011
π
John Wiley and Sons
π
English
β 149 KB
π 1 views
The pricing of foreign currency options
β
Chang Mo Ahn; D. Chinhyung Cho; Keehwan Park
π
Article
π
2007
π
John Wiley and Sons
π
English
β 238 KB
π 1 views
## Abstract In this article, the authors derive explicit formulas for European foreign exchange (FX) call and put option values when the exchange rate dynamics are governed by jumpβdiffusion processes. The authors use a simple general equilibrium international asset pricing model with continuous tr
The effects of domestic and foreign yiel
β
Jongmoo Jay Choi; Shmuel Hauser
π
Article
π
1990
π
Elsevier Science
π
English
β 738 KB
Distribution of occupation times for con
β
Sun Leung, Kwai; Kwok, Yue Kuen
π
Article
π
2007
π
Taylor and Francis Group
π
English
β 180 KB
A recursive pricing formula for a path-d
β
Kim, Jeong-Hoon; Park, Sang-Hyeon
π
Article
π
2014
π
Elsevier Science
π
English
β 409 KB