Zobrazit minimální záznam

dc.contributor.authorZmeškal, Zdeněk
dc.date.accessioned2008-10-13T12:31:48Z
dc.date.available2008-10-13T12:31:48Z
dc.date.issued2008
dc.identifier.citationFinance a úvěr. 2008, roč. 58, č. 5-6, s. 261-275.en
dc.identifier.issn0015-1920
dc.identifier.urihttp://hdl.handle.net/10084/68091
dc.description.abstractThe paper deals with the inclusion of flexibility in financial decision-making under risk. It describes the application of the real options methodology with the possibility of sequential multinomial decision-making. The basic intention is to describe and apply a generalized approach and methodology of the flexibility modeling and valuation based on multiple choices and non-symmetrical switching costs under risk. The stochastic dynamic Bellman optimization principle is explained and applied. The optimization criterion of the present expected value is derived and used. Likewise, an option valuation approach based on replication strategy and risk-neutral probability is applied. An illustrative example of the application of the real multinomial flexible non-symmetrical switch options methodology is presented for three chosen modes. The option flexible values are computed. The usefulness, effectiveness, and suitability of applying the generalized flexibility model in company valuation and project evaluation is verified and confirmed. The significance of applying the generalized methodology in transition market economies is discussed and verified.en
dc.format.extent912237 bytescs
dc.format.mimetypeapplication/pdfcs
dc.language.isoenen
dc.publisherUniverzita Karlova. Fakulta sociálních věden
dc.relation.ispartofseriesFinance a úvěren
dc.relation.urihttp://ideas.repec.org/a/fau/fauart/v58y2008i5-6p261-275.htmlen
dc.subjectfinancial optionsen
dc.subjectreal optionsen
dc.subjectdiscrete binomial modelen
dc.subjectpricingen
dc.subjectstochastic dynamic Bellman optimalization principeen
dc.subjectswitch optionsen
dc.titleApplication of the American real flexible switch options methodology : a generalized approachen
dc.typearticleen
dc.identifier.locationVe fondu ÚKen
dc.rights.accessopenAccess
dc.type.versionpublishedVersion
dc.identifier.wos000259075600004


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Zobrazit minimální záznam