option pricing

The Real Option Approach applied on Foreign Direct Investment Scenarios

The Real Option Approach (ROA) has been put forth as the answer to the problem of valuing manager flexibility and project risk within the framework of capital budgeting. Within this dissertation the ROA is used on one of the riskiest of corporate ventures particularly foreign direct investment. The 1st two ...

Category : Finance Projects
Option Pricing in a Fractional Brownian Motion Environment

The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian motion BH (t), 1/2 < H < 1.