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Flow options: continuous real caps and floors

Shackleton, M B and Wojakowski, R M (2001) Flow options: continuous real caps and floors. Working Paper. The Department of Accounting and Finance, Lancaster University.

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Abstract

In this paper we produce formulae to finitely lived options which allow the holder to chose continually between two flows. For this real option that allows frequent and costless switching between two assets, we examine perpetual and then finite values using a risk neutral annuity argument. Applications include energy and commodity consumption costs where switching between flows can occur frequently and costlessly.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Real options ; Options on the maximum or minimum of two ; Reversible options ; Caps and Floors.
Subjects:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 48616
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 22:02
Refereed?: No
Published?: Published
Last Modified: 27 Jul 2012 01:11
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/48616

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