Valuation of real options using the minimal entropy martingale measure

MaRDI QIDQ3551896zbMATH OpenFDO

Authors Cyrus Seera Ssebugenyi

Publication date 16 April 2010

Full work available at URL http://www.m-hikari.com/ams/ams-password-2008/ams-password57-60-2008/index.html

zbMATH Keywords

minimal entropy martingale measuremultinomial latticesreal options analysis

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Management decision making, including multiple objectives (90B50) Decision theory (91B06) Corporate finance (dividends, real options, etc.) (91G50)

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