Martingale Approach to Real Options
Hughston, L P and Zervos, M.
2001.
Martingale Approach to Real Options.
In: P Sollich; A Coolen; L P Hughston and R F Streater, eds.
Disordered and Complex Systems.
535
(1)
Melville, NY: American Institute of Physics, 325 - 330.
ISBN 1563969831
[Book Section]
We formulate a general mathematical model for investments in real assets from the perspective of the real options approach. We then derive an analytic expression for its price under a market completeness assumption. This expression is the solution of a stochastic optimisation problem. The generality of the model is such that it can also provide a framework for the study of financial options.
| Item Type | Book Section |
|---|---|
| Additional Information |
Proceedings of International Conference on Disordered and Complex Systems ; Conference date: July 2000 |
| Departments, Centres and Research Units | Computing |
| Date Deposited | 04 Feb 2022 12:56 |
| Last Modified | 09 Feb 2022 10:43 |