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The influence of a stochastic interest rate on the n-fold compound option
THOMASSEN, Liesbeth; VAN WOUWE, Martine - Faculteit Toegepaste Economische Wetenschappen, …
same framework of constant interest rates. For the valuation of long-term financial agreements (life insurance products …
Persistent link: https://www.econbiz.de/10005350876
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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
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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
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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
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A robust algorithm for project portfolio selection problem using real options valuation
Montajabiha, Mahsa; Arshadi Khamseh, Alireza; … - In: International Journal of Managing Projects in Business 10 (2017) 2, pp. 386-403
composition. From a managerial point of view, the proposed framework is very useful because it requires only financial estimates …
Persistent link: https://www.econbiz.de/10014787085
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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
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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
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Prudential discipline for financial firms: Micro, macro, and market structures
Wall, Larry D. - 2010
The recent global financial crisis reflects numerous breakdowns in the prudential discipline of financial firms. This …
Persistent link: https://www.econbiz.de/10010292244
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Applying Multiple Linear Regression and Neural Network to Predict Business Performance Using the Reliability of Accounting Information System
Al-Dmour, Ahmed H.; Al-Dmour, Rand H. - In: International Journal of Corporate Finance and … 5 (2018) 2, pp. 12-26
structured questionnaire from 162 out 202 of public listed companies in financial service sector in Jordan. The data were … (financial, non-financial and combined) were significantly could be predicted by the reliability of AIS and they also revealed …
Persistent link: https://www.econbiz.de/10012043632
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A Hybrid Approach Using Maximum Entropy and Bayesian Learning for Detecting Delinquency in Financial Industry
Kumar, Dharminder; Arora, Suman - In: International Journal of Knowledge-Based Organizations … 6 (2016) 1, pp. 60-73
The use of credit card has increased tremendously in the past few years because of the boom in the economy which has also resulted in the increase in the credit card fraud cases. Various leading banks and software development companies worldwide are taking serious measures to deal with the...
Persistent link: https://www.econbiz.de/10012046137