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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Abstract

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
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
45410
Deposited By:
Deposited On:
11 Jul 2011 18:31
Refereed?:
Yes
Published?:
Published
Last Modified:
24 Jun 2020 01:28