Discrete time modeling of mean-reverting stochastic processes for real option valuation

European Journal of Operational Research

Volumn 184, Issue 2, 2008, Pages 534-548

  Hahn, Warren J ^a   Dyer, James S ^b  

^a PEPPERDINE UNIVERSITY   (United States)

^b UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

Decision analysis; Finance; OR in energy; Stochastic processes

Indexed keywords

COMPUTER SIMULATION; DISCRETE TIME CONTROL SYSTEMS; FINANCE; MATHEMATICAL MODELS; NUMERICAL ANALYSIS; TREES (MATHEMATICS);

BINOMIAL LATTICE; REAL OPTIONS; TRINOMIAL TREES;

RANDOM PROCESSES;

EID: 34548495824     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.11.015     Document Type: Article

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