REAL OPTIONS VALUATION USING MODIFIED OF COXX-ROSS-RUBINSTEIN BINOMIAL TREE METHOD
Real options can build a framework of thinking asset and have an adaptation to the valuation of nancial investment problems. Real options can also see the embedded value in investments so there are exibilities in order to handle the risk occurs. One of method valuation in real options is binomi...
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id-itb.:696352022-11-03T09:28:32ZREAL OPTIONS VALUATION USING MODIFIED OF COXX-ROSS-RUBINSTEIN BINOMIAL TREE METHOD BAYU TRISNA, FADHLI Indonesia Theses Real Options, Course of Present Value from Developed Reserved , Stochastic Interest Rate Model, Coxx-Ross-Rubinstein Binomial Method. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/69635 Real options can build a framework of thinking asset and have an adaptation to the valuation of nancial investment problems. Real options can also see the embedded value in investments so there are exibilities in order to handle the risk occurs. One of method valuation in real options is binomial CRR method as the idea of creating replicating portofolios. By using modied of CRR Binomial method and risk free interest rate stochastically, real options could be valuated for North Sea oil eld with the price of crude oil from the period January 1995-July 2013. From the calculations, the value of real options with stochastic interest rates indicates that the value is more ecient than the calculation of the rate constant. text |
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Real options can build a framework of thinking asset and have an adaptation to the
valuation of nancial investment problems. Real options can also see the embedded
value in investments so there are
exibilities in order to handle the risk occurs.
One of method valuation in real options is binomial CRR method as the idea of
creating replicating portofolios. By using modied of CRR Binomial method and
risk free interest rate stochastically, real options could be valuated for North Sea oil
eld with the price of crude oil from the period January 1995-July 2013. From the
calculations, the value of real options with stochastic interest rates indicates that
the value is more ecient than the calculation of the rate constant. |
| format |
Theses |
| author |
BAYU TRISNA, FADHLI |
| spellingShingle |
BAYU TRISNA, FADHLI REAL OPTIONS VALUATION USING MODIFIED OF COXX-ROSS-RUBINSTEIN BINOMIAL TREE METHOD |
| author_facet |
BAYU TRISNA, FADHLI |
| author_sort |
BAYU TRISNA, FADHLI |
| title |
REAL OPTIONS VALUATION USING MODIFIED OF COXX-ROSS-RUBINSTEIN BINOMIAL TREE METHOD |
| title_short |
REAL OPTIONS VALUATION USING MODIFIED OF COXX-ROSS-RUBINSTEIN BINOMIAL TREE METHOD |
| title_full |
REAL OPTIONS VALUATION USING MODIFIED OF COXX-ROSS-RUBINSTEIN BINOMIAL TREE METHOD |
| title_fullStr |
REAL OPTIONS VALUATION USING MODIFIED OF COXX-ROSS-RUBINSTEIN BINOMIAL TREE METHOD |
| title_full_unstemmed |
REAL OPTIONS VALUATION USING MODIFIED OF COXX-ROSS-RUBINSTEIN BINOMIAL TREE METHOD |
| title_sort |
real options valuation using modified of coxx-ross-rubinstein binomial tree method |
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https://digilib.itb.ac.id/gdl/view/69635 |
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1822991091899564032 |