Quadrinomial trees with stochastic volatility to value real options

Quadrinomial trees with stochastic volatility to value real options

Purpose – The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial multiplicative recombination. Design/methodology/approach – This article uses the mu...

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Bibliographic Details
Main Authors: Freddy H. Marín-Sánchez, Julián A. Pareja-Vasseur, Diego Manzur
Format: Article
Language:English
Published: Emerald Publishing 2021-12-01
Series:Journal of Economics Finance and Administrative Science
Subjects:
real options
stochastic volatility
diffusion processes
garch-diffusion
quadrinomial numerical method
Online Access:https://www.emerald.com/insight/content/doi/10.1108/JEFAS-08-2020-0306/full/pdf?title=quadrinomial-trees-with-stochastic-volatility-to-value-real-options

Internet

https://www.emerald.com/insight/content/doi/10.1108/JEFAS-08-2020-0306/full/pdf?title=quadrinomial-trees-with-stochastic-volatility-to-value-real-options

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