Real options have been growing in popularity in recent years, and this has been accompanied
by improvements in their modelling and valuation. Real options enable companies or …

… Let Δt m be equal to T m −T m–1 . Given the current time, t, … option is at time T M given by(19)
T M =t+ ∑ m=1 M Δ t m . … at T m is then(43) C m (y,T m )= max (E M e y −E m ,C m+1 (y=x,T …

… Extension to options observed discretely M times ( T 1 , … , T M with the current time t = T
0 and expiry t = T M ) is made possible by splitting the option into M separate options, V …

In this paper, novel singular perturbation techniques are applied to price European, American,
and barrier options. Employment of these methods leads to a significant simplification of …

… If the chosen is termed fixed and the value of for n steps is termed n, then m and m … 2, where
m is the nearest odd integer below nimp. If odd values of I are taken, then m must be the near…

In times of financial crisis, solvency concerns are reflected in market prices for financial
instruments. Credit default swap (CDS) spreads provide a direct measure of the market’s (risk-…

When valuing options using standard lattice and finite-difference methods much of the
computational effort is often unnecessary because the grid/lattice generally includes computations …

Guided by academic literature, industry practice and policy recommendations, we analyze a
wide range of option and restricted stock plans with exercise and vesting conditions that …

… M need not be excessively large to give a good approximation of an American option (see
Widdicks … similarities with the extrapolation procedure proposed by Widdicks et al. [2002] as …

… we have a compounding process such that after 1 year M will be worth M( 1 + |)2. This can
… the money is reinvested m times giving M( 1 + ^)m after one year. As m approaches oo then …