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Option theory and modeling under uncertainty

Christiansen, Daniel and Wallace, S W (1998) Option theory and modeling under uncertainty. Annals of Operations Research, 82 (1). pp. 59-82. ISSN 0254-5330

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Within the framework of some simple models, we explain how option theory can enhancethe understanding and teaching of modeling under uncertainty. We discuss some commonpitfalls in modeling and argue that these result from a failure to come to grips with optionsand flexibility. We examine a dynamic programming approach to evaluating options and avaluation by arbitrage approach and end by comparing the two approaches with respect tohow they treat time and risk.

Item Type: Journal Article
Journal or Publication Title: Annals of Operations Research
Departments: Lancaster University Management School > Management Science
ID Code: 45410
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 19:31
Refereed?: Yes
Published?: Published
Last Modified: 07 Aug 2018 03:10
Identification Number:

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