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Trading real options analysis course - business cases and software applic - Mun P.D.

Mun P.D. Trading real options analysis course - business cases and software applic - Wiley publishing , 2003. - 318 p.
ISBN 047-43001-3
Download (direct link): tradingohnathan2003.pdf
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? Results-------------
Lattice Results
First
Volatility
Second
Volatility
1.0000 1.0000
1.3499 1.5683
0.7408 0.6376
54.46% 46.73%
1 $48.40 I
1 604.96 1
1 385.74
245.96 1
1 156.83
100.00 1
H 332.01 1
1 211.70
134.99 1
1 86.07
54.88 1
H 182.21 1
1 116.18
74.08 1
1 47.24
30.12 1
\ 332.01 1
1 211.70
134.99 1
I 86.07
54.88 1
\ 182.21 1
1 116.18
74.08 1
1 47.24
30.21 1
100.00 1
1 63.76
40.66 1
1 25.92
1 16.53 1
238
EXERCISE SOLUTIONS
Option Valuation Lattice
H 0.00
9
Real Options Analysis Toolkit Software Function Description for Excel
These functions are available for use only in the full version of the Real Options Analysis Toolkit software. Once installed, simply click on Start, select Programs and Real Options Analysis Toolkit. Then select Functions. The software will be loaded into Excel, and the following models are accessible through Excel by typing them directly in a spreadsheet or by clicking on the Paste Equation Wizard and selecting the Financial/All categories. Scroll down to the RO section for a listing of all the functions.
1. American 3D Binomial Two-Asset Call Option with Dual Strike Prices. This European option is exercisable at termination, where the value of the option depends on two correlated assets with different implementation strike costs, calculated using a combination of multiple binomial lattices.
Function: RO3DBinomialAmericanCallDualStrike(1st Asset, 2nd Asset, 1st Quantity, 2nd Quantity, 1st Cost, 2nd Cost, Maturity Time, Riskfree, 1st Carrying Cost, 2nd Carrying Cost, 1st Volatility, 2nd Volatility, Correlation, Steps)
2. American 3D Binomial Two-Asset Call Option on the Maximum.
This European option is exercisable at termination, where the value of the option depends on the maximum of two correlated underlying assetsí values, calculated using a combination of multiple binomial lattices.
Function: RO3DBinomialAmericanCallMax(1st Asset, 2nd Asset, 1st Quantity, 2nd Quantity, 1st Cost, 2nd Cost, Maturity Time, Riskfree, 1st Carrying Cost, 2nd Carrying Cost, 1st Volatility, 2nd Volatility, Correlation, Steps)
3. American 3D Binomial Two-Asset Call Option on the Minimum.
This European option is exercisable at termination, where the value of the
239
240
SOFTWARE FUNCTION DESCRIPTION FOR EXCEL
option depends on the minimum of two correlated underlying assetsí values, calculated using a combination of multiple binomial lattices.
Function: RO3DBinomialAmericanCallMin(1st Asset, 2nd Asset, 1st Quantity, 2nd Quantity, 1st Cost, 2nd Cost, Maturity Time, Riskfree, 1st Carrying Cost, 2nd Carrying Cost, 1st Volatility, 2nd Volatility, Correlation, Steps)
4. American 3D Binomial Two-Asset Portfolio Call Option. This European option is exercisable at termination, where the value of the option depends on the portfolio effect of two correlated underlying assetsí values, calculated using a combination of multiple binomial lattices.
Function: RO3DBinomialAmericanCallPortfolio(1st Asset, 2nd Asset, 1st Quantity, 2nd Quantity, 1st Cost, 2nd Cost, Maturity Time, Riskfree, 1st Carrying Cost, 2nd Carrying Cost, 1st Volatility, 2nd Volatility, Correlation, Steps)
5. American Call Option Approximation with a Single Dividend Payment. This American call option is based on a closed-form approximation of a call that can be exercised at any time up to and including its expiration date, and has a single lump-sum dividend payment in the future prior to expiration.
Function: ROAmericanDividendCall(Asset, Cost, Dividend Time, Expiration Time, Riskfree, Volatility, Dividend)
6. American Long-Term Call Option Approximation with a Dividend Stream. This American call option is based on a closed-form approximation of a call, with a constant percent dividend stream and can be exercised at any time up to and including its expiration date.
Function: ROAmericanLongTermCall(Asset, Cost, Time, Riskfree, Carrying Cost, Volatility)
7. American Long-Term Put Option Approximation with a Dividend Stream. This American put option is based on a closed-form approximation of a put, with a constant percent dividend stream and can be exercised at any time up to and including its expiration date.
Function: ROAmericanLongTermPut(Asset, Cost, Time, Riskfree, Carrying Cost, Volatility)
8. Single Barrier Option: Down-and-In Call. This European single lower-barrier call option is exercisable only at expiration. The value of this call option becomes activated only when the asset value breaches a lower barrier.
Function: ROBarrierCallDownIn(Asset, Cost, Barrier, Cash Rebate, Time, Riskfree, Carrying Cost, Volatility)
Real Options Analysis Toolkit Software Function Description for Excel
241
9. Single Barrier Option: Down-and-Out Call. This European single lower-barrier call option is exercisable only at expiration. This call option becomes activated only when the asset value does not breach a lower barrier.
Function: ROBarrierCallDownOut(Asset, Cost, Barrier, Cash Rebate, Time, Riskfree, Carrying Cost, Volatility)
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