D.G. Luenberger. Investment Science. Oxford Press, 1997. Home/Search Document Not in Database Summary Related Articles Check |
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Real Option Modeling for Valuing Worker Flexibility - Nembhard, Nembhard, Gurses (Correct)
....option does not have to exercise this right [7] When options are associated with investment opportunities that are not financial instruments, then these options are called real options. Under the real option pricing approach, risk neutral pricing is used as opposed to risk adjusted discounting [12]. The two basic types of options are call options and put options. A call option is the right to buy an asset by a certain date for a predetermined price. A put option is the right to sell an asset by a certain date for a predetermined price. This predetermined price is called the exercise price ....
Luenberger, D. G., 1998, Investment Science. Oxford, Oxford University Press.
Discrete Real Options Models for Inter-Related Generation Projects - Min, Wang (Correct)
....u p ( d p ) respectively. We match the mean and variance of the binomial lattice process to those of the GBM process. In conjunction with 1 = d u [4] the suitable values of u p , i u , and i d are calculated as t i i D ) 2 1 ( 2 1 2 s s , D s , and D s , respectively [5]. We note that, by replacing by r, risk free rate of return, u p becomes risk neutral probability (for risk neutral probability, see [3, 5] 2.2 Steps toward Discrete Approximation of the Valuation Model The combination of two GBM processes for two projects can be approximated by a four branch ....
.... 1 = d u [4] the suitable values of u p , i u , and i d are calculated as t i i D ) 2 1 ( 2 1 2 s s , D s , and D s , respectively [5] We note that, by replacing by r, risk free rate of return, u p becomes risk neutral probability (for risk neutral probability, see [3, 5]. 2.2 Steps toward Discrete Approximation of the Valuation Model The combination of two GBM processes for two projects can be approximated by a four branch lattice process. By matching the covariance of the binomial lattice processes and the covariance of the GBM processes for two projects, the ....
Luenberger, D.G., 1998, Investment Science, Oxford University Press, New York.
Corporate-Wide Risk Management in Energy Business - Tirri (2001) (Correct)
....policies and the shareholders opinions [10, pp. 141 144] 44, p. 83] The expanding hunger for ensuring an acceptable commodity price level has created a market for financial derivatives alongside the physical commodity markets. Financial instruments, earlier familiar from banking and financing [59], first appeared in the oil business. Due to the deregulation and the increased price risk, different types of swap, option, futures and forward contracts, and combinations of these instruments are today used also in the gas and electricity markets [13] 15, pp. 635 643] 43] 44] 60] 62] ....
....be used to understand many processes related to risk management. To define a relevant risk portfolio, a company has to put efforts first on identification of risks [40, p. 68] As mentioned before, portfolio optimisation is a capital allocation problem, similar to capital budgeting [20] 46] [59]. The competitive analysis shows that, even if the firm were to pursue optimal strategies in all of its businesses, some of them are more profitable than others, and some may have a distinctly unpromising future. It means that the mix of the portfolio has to be changed in terms of geography, ....
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Luenberger, David G. Investment Science. 1998. 494 pages.
Risk Management In Finnish Biopharmaceutical Companies - Gustafsson (2000) (Correct)
....identify ways to manage them and develop frameworks that help in facing other similar risks. In the literature, typical risk classifications are 1) technical and market risks (cf. e.g. Martino, 1995, and Porter, 1985) 2) endogenous and exogenous risks, 3) systematic and nonsystematic risks (Luenberger, 1998), and 4) private and market risks (Luenberger, 1998) In conjunction with real options theory the division into 5) static and dynamic risks (cf. Dixit Pindyck, 1994) is also essential. These are described in Table 2.2. Technical and market risks. This division is probably the most common ....
....that help in facing other similar risks. In the literature, typical risk classifications are 1) technical and market risks (cf. e.g. Martino, 1995, and Porter, 1985) 2) endogenous and exogenous risks, 3) systematic and nonsystematic risks (Luenberger, 1998) and 4) private and market risks (Luenberger, 1998). In conjunction with real options theory the division into 5) static and dynamic risks (cf. Dixit Pindyck, 1994) is also essential. These are described in Table 2.2. Technical and market risks. This division is probably the most common classification in corporate level risk management. ....
[Article contains additional citation context not shown here]
Luenberger, D. G. (1998). Investment Science, Oxford University Press.
A Tutorial on Using EXCEL and EXCEL Add-ins to Value Real Options - Winston (1999) (Correct)
....to enter a new market. Basically, this example shows how a decision tree involving continuous random variables such as market share and market growth may be modeled via simulation. The material in Sections 2 9 has appeared in Winston (1998) and Winston (1999) In Section 10 we show the ideas of Luenberger (1997) can be extended to easily price financial and real options for which the underlying asset follows any distribution. In particular, the distribution of the underlying asset may be obtained from historical data or from simulation. In Section 11 we show how to value an option to cancel an order for ....
....that is not actually the mean of a Lognormal random variable and s is not really the standard deviation. Assume a stock follows a Lognormal random variable with parameters and s. Let S = current price of stock (which is known) and S t = Price of stock at time t (unknown) Then (see page 310 of Luenberger (1997)) the mean and variance of S t are as follows: t t Se S of Mean = 9 ) 1 2 2 2 = t t e e S S of Variance s . The file Lognormal.xls contains a template to determine the mean and variance of a stock price at any future time. See Figure 3.2 Figure 3.2 For example, consider a Stock ....
[Article contains additional citation context not shown here]
Luenberger, D., Investment Science, Oxford Press, 1997.
Efficiency-Quality Tradeoffs for Vector Score Aggregation - Singitham, Mahabhashyam.. (2004) (Correct)
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D.G. Luenberger. Investment Science. Oxford Press, 1997.
Risk Premium and Pricing of Derivatives in Complete Markets - Duan (1991) (Correct)
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Luenberger, D., 1998, Investment Science, Oxford University Press.
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