The pricing of multiple exercisable American-style real options

<p>"Real options embedded in a project provide management with the flexibility to alter initial investment decisions, thus making them a practical tool for project planning and budgeting. Additional values are contributed to the underlying project due to the flexibilities that are provided by real options. This dissertation presents two models for pricing multiple exercisable American real options, one that employs the binomial tree method and the other one that employs the finite difference method. Different examples of multiple exercisable real options are discussed to demonstrate the two pricing models. Interactions between options and reality constraints are also considered. These two methods are compared with each other at the end. This dissertation also addresses the problem of tracking early exercise boundaries in pricing American-style real options. It is shown that both models provide effective numerical solutions to the free boundary problem"--Abstract, page iii.</p>

Name thesis:degree_name

Ph. D. in Engineering Management

Grantor

Missouri University of Science and Technology

Year dc:date.available

2016

Author dc:creator

• Meng, Yu

• Operations Research, Systems Engineering and Industrial Engineering

Repository record dc:identifier

https://scholarsmine.mst.edu/doctoral_dissertations/1968

OAI identifier oai:identifier

oai:scholarsmine.mst.edu:doctoral_dissertations-2970