Valuing American options is a central problem in option pricing since the early-exercise feature is very common among financial or insurance derivatives products. For high-dimensional American options, Monte Carlo simulation is generally regarded as the only viable approach to price them, and...

For many practitioners and market participants, the valuation of financialderivatives is considered of very high importance as its uses range from arisk management tool, to a speculative investment strategy or capital enhancement. A developing market requires efficient but accurate methods...

Master of Science

The profitability of power plant investments depends strongly on uncertain fuel and carbon prices. In this doctoral thesis, we combine fundamental electricity market models with stochastic dynamic programming to evaluate power plant investments under uncertainty. The application of...

One critical factor in open pit mining projects is the estimation of the recoverable reserves. The reason for this is that at the valuation stage there is a lack of information about future metal prices and production costs. Consequently, the estimation of the recoverable reserves needs to be...

For the last 40 years, academics advocated the use of the traditional Discounted CashFlow (DCF) techniques but these suggestions were ignored by practitioners for a longtime. The Net Present Value (NPV), Internal Rate of Return (IRR) and Present ValuePayback Period (PVPP) are now some of the...

Many investment decisions of agribusiness firms such as when to invest in an emerging market or whether to expand the capacity of the firm involve irreversible investment and uncertainty about demand, cost or competition. This paper uses an option-value model to examine the factors affecting an...

German hog production responds only very limited to price fluctuations in the pork market. The hog production concentrates in a few regions though it does not depend on special natural conditions. Furthermore, the production volume does hardly vary over time. Relatively high market risks, sunk...

Uncertainty of returns from marketing is an extremely important factor affecting the diffusion of a wide range of genetically modified (GM) crops worldwide. Biotech companies face complicated choices in making decisions about whether to enter agricultural markets in different countries with...

This paper develops a framework to link the expected utility analysis to real options models in order to capture the joint effects of risk aversion and irreversibility associated with real investments. It aims at modifying the theory of investment under uncertainty by incorporating decision...