A Note on the Pricing Accuracy of the Whaley American Futures Options Pricing Model

1998 ◽  
Author(s):  
Daniel L. Lee
Keyword(s):  
Options Pricing ◽  
Pricing Model ◽  
Futures Options

SOLVING THE IVANCEVIC OPTIONS PRICING MODEL WITH THE NUMERICAL METHOD SOME BLAISE-ABBO (SBA)

2021 ◽  
Vol 24 (2) ◽  
pp. 133-143
Author(s):  
Paré Daouda ◽  
Kassiénou Lamien ◽  
Blaise Somé ◽  
Youssouf Paré ◽  
Longin Somé
Keyword(s):  
Numerical Method ◽  
Options Pricing ◽  
Pricing Model

scholarly journals Assessing the Option to Abandon an Investment Project by the Binomial Options Pricing Model

2016 ◽  
Vol 2016 ◽  
pp. 1-12 ◽  
Author(s):  
Salvador Cruz Rambaud ◽  
Ana María Sánchez Pérez
Keyword(s):  
Real Option ◽  
Net Present Value ◽  
Investment Project ◽  
Mathematical Expression ◽  
Options Pricing ◽  
Pricing Model ◽  
Operational Flexibility ◽  
Present Value ◽  
Project Appraisal ◽  
Financial Options

Usually, traditional methods for investment project appraisal such as the net present value (hereinafter NPV) do not incorporate in their values the operational flexibility offered by including a real option included in the project. In this paper, real options, and more specifically the option to abandon, are analysed as a complement to cash flow sequence which quantifies the project. In this way, by considering the existing analogy with financial options, a mathematical expression is derived by using the binomial options pricing model. This methodology provides the value of the option to abandon the project within one, two, and in general n periods. Therefore, this paper aims to be a useful tool in determining the value of the option to abandon according to its residual value, thus making easier the control of the uncertainty element within the project.

Cooperative Governance of Inter-provincial air pollution based on a Black–Scholes Options Pricing Model

2020 ◽  
Vol 277 ◽  
pp. 124031
Author(s):  
Jian Xue ◽  
Shengnan Zhao ◽  
Laijun Zhao ◽  
Di Zhu ◽  
Shuxin Mao
Keyword(s):  
Air Pollution ◽  
Options Pricing ◽  
Pricing Model ◽  
Black Scholes ◽  
Cooperative Governance
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