Path integration for real options
Real options were firstly formulated by using traditional financial option models; however, an investor can confront in practice with exotic dynamics. Nowadays, approaches based on simulations have been gaining relevance for solving complex options. This paper proposes the application of the path in...
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| Veröffentlicht in: | Applied mathematics and computation 2015-08, Vol.265, p.120-132 |
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| container_end_page | 132 |
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| container_title | Applied mathematics and computation |
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| creator | Grillo, Sebastian Blanco, Gerardo Schaerer, Christian E. |
| description | Real options were firstly formulated by using traditional financial option models; however, an investor can confront in practice with exotic dynamics. Nowadays, approaches based on simulations have been gaining relevance for solving complex options. This paper proposes the application of the path integral approach (PI) to multivariate real option problems. We discuss the viability of the proposal by a mathematical analysis of the problem and an application to a case study of control chart decision (CCD). The proposal is compared with the traditional approaches for solving real option problems. The results present the proposal as a competitive alternative for the simulation in low dimensional problems. |
| doi_str_mv | 10.1016/j.amc.2015.04.111 |
| format | Article |
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| ispartof | Applied mathematics and computation, 2015-08, Vol.265, p.120-132 |
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| language | eng |
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| source | Elsevier ScienceDirect Journals Complete |
| subjects | American option Computer simulation Continuous state Control charts Decision analysis Dynamics European option Integrals Markov process Mathematical analysis Mathematical models Path integration Proposals Real option |
| title | Path integration for real options |
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