Valuation of a Project with an Option-to-Temporarily-Shut-Down - the Multiplicative vs. Additive Binomial Model

• Autorzy: Piotr Saługa
• Języki publikacji: EN

Abstrakty

EN

The article presents stock asset pricing models. It says that the first stochastic process to describe stock price fluctuations is proposed by mathematician Louis Bachelier in his mathematics doctoral thesis at the University of Paris in 1900. It mentions that Samuelson and Osborne have modified the stochastic process of Bachelier by introducing the Geometric Brownian Motion (GBM). It adds that financial option pricing algorithms are transferred into real investments.(original abstract)

Słowa kluczowe

EN

Shares prices; Options pricing; Mathematical models; Stochastic processes; Binomial model

PL

Ceny akcji; Wycena opcji; Modele matematyczne; Procesy stochastyczne; Model dwumianowy

• Czasopismo: Journal of Economics & Management / University of Economics in Katowice
• Rocznik: 2012
• Numer: nr 8
• Strony: 105--124

Twórcy

autor

Piotr Saługa

Bibliografia

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• Dixit A.K., Pindyck R.S. [1994]: Investment Under Uncertainty. Princeton University Press, Princeton, New York.
• Einstein A. [1905]: Investigations on the Theory of the Brownian Movement. Ann. d. Phys, 17, p. 549.
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