Project pricing with the Black-Scholes-formula

MaRDI QIDQ2960767zbMATH OpenFDO

Authors Markus Schmitt

Publication date 17 February 2017

zbMATH Keywords

option pricingdecision treeBlack-Scholes formulaproduct innovationreal optionproject evaluation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Valuing Risky Projects: Option Pricing Theory and Decision Analysis
• scientific article; zbMATH DE number 5504674
• On the structure of proper Black-Scholes formulae
• scientific article; zbMATH DE number 1295003
• A new method of option pricing based on Black-Scholes model

Cited in

(2)

• Pricing an option on revenue from an innovation: an application to movie box office revenue
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis

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