[HTML][HTML] Quadrinomial trees with stochastic volatility to value real options
FH Marin-Sanchez, JA Pareja-Vasseur… - Journal of Economics …, 2021 - emerald.com
Purpose The purpose of this article is to propose a detailed methodology to estimate, model
and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real …
and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real …
[HTML][HTML] GARCH-type volatility in the multiplicative quadrinomial tree method: An application to real options
JA Pareja-Vasseur, FH Marin Sanchez… - Contaduría y …, 2021 - scielo.org.mx
This article applies the multiplicative quadrinomial tree numerical method with non-constant
volatility to assess a real option of abandonment, based on an estimate of the conditional …
volatility to assess a real option of abandonment, based on an estimate of the conditional …