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THOMASSEN, Liesbeth; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, …

This paper revisits the compound options as introduced by R. Geske (2). Geske presented a theory for pricing an option on an option which he defined as a compound option. He developed a closed form expression for this kind of options. In this paper we will extend the notion of compound option to...

Persistent link: https://www.econbiz.de/10005824296

Decomposition of the n-fold compound option

THOMASSEN, Liesbeth; VAN CASTEREN, Jan; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, … - 2002

In a previous paper by Thomassen and Van Wouwe [5] the notion of an n-fold compound option was introduced as a generalization of Geske’s compound option [3]. To compute such an n-fold numerically remains possible but tedious because most algorithms are not capable to compute multivariate...

Persistent link: https://www.econbiz.de/10005588127

Valuation of N-stage Investments Under Jump-Diffusion Processes

Andergassen, Rainer; Sereno, Luigi - In: Computational Economics 39 (2012) 3, pp. 289-313

Persistent link: https://www.econbiz.de/10010866817

A robust algorithm for project portfolio selection problem using real options valuation

Montajabiha, Mahsa; Khamseh, Alireza Arshadi; … - In: International journal of managing projects in business 10 (2017) 2, pp. 386-403

Persistent link: https://www.econbiz.de/10011704706

The valuation of N-phased investment projects under jump-diffusion processes

Andergassen, Rainer; Sereno, Luigi - 2010

In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second...

Persistent link: https://www.econbiz.de/10011739826

Beyond the Financial Crisis: Addressing risk challenges in a changing financial environment

Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2009

Paper presented at "Strategies For Solving Global Crises Conference: The Financial Crisis and Beyond" (October 2009 …). Also published in "Corporate Finance: Governance, Corporate Control & Organization Journals" (July 2010) The Financial … the need to focus on unregulated instruments such as hedge funds, which are of systemic importance to the financial …

Persistent link: https://www.econbiz.de/10008529221

A sensivity analysis for the n-fold compound option

THOMASSEN, Liesbeth; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, … - 2002

In this paper we determine the dependence of the n-fold compound option to the value of the firm V and to the variance rate 2. For practical purposes some numerical results are added, calculated with Mathematica and with a Fortran procedure for multivariate integrals.

Persistent link: https://www.econbiz.de/10005824300

PROPOSALS FOR A NEW AUDIT LIABILITY REGIME IN EUROPE

Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2008

harmonisation and facilitating greater cooperation between national financial regulators, were contributory factors. …

Persistent link: https://www.econbiz.de/10005835429

Financial Social Accounting Matrix: Concepts, Constructions and Theoretical Framework

Wong, Kai Seng Kelly; M., Azali; Lee, Chin - Volkswirtschaftliche Fakultät, … - 2009

economic agents and institutions in the system. During the last two decades, the financial market are well developed and … significantly impacts the economic growth, it will be more worthy to move from a real SAM to a Financial SAM, containing the details … of the financial institutions and transaction of agents’ assets and liabilities. Therefore, this paper will discuss the …

Persistent link: https://www.econbiz.de/10005835777

STUDY REGARDING THE IMPORTANCE OF ACCOUNTANCY INSIDE ORGANISATIONS

Nicolae, Baltes; Teodora, Ciuhureanu Alina - In: Annals of Faculty of Economics 3 (2009) 1, pp. 742-747

reality: an „internal” representation – the managerial accounting – and an “external” one – the financial accounting. From …

Persistent link: https://www.econbiz.de/10008512015

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