Doctoral Dissertations

Yu Meng

Abstract

"Real options embedded in a project provide management with the flexibility to alter initial investment decisions, thus making them a practical tool for project planning and budgeting. Additional values are contributed to the underlying project due to the flexibilities that are provided by real options. This dissertation presents two models for pricing multiple exercisable American real options, one that employs the binomial tree method and the other one that employs the finite difference method. Different examples of multiple exercisable real options are discussed to demonstrate the two pricing models. Interactions between options and reality constraints are also considered. These two methods are compared with each other at the end. This dissertation also addresses the problem of tracking early exercise boundaries in pricing American-style real options. It is shown that both models provide effective numerical solutions to the free boundary problem"--Abstract, page iii.

Advisor(s)

Liu, Zhen

Committee Member(s)

Davis, Michael
Raper, Stephen A.
Gelles, Gregory M.
Dagli, Cihan H., 1949-

Department(s)

Engineering Management and Systems Engineering

Degree Name

Ph. D. in Engineering Management

Publisher

Missouri University of Science and Technology

Publication Date

Summer 2012

Pagination

ix, 86 pages

Note about bibliography

Includes bibliographical references (pages 83-85).

Rights

© 2012 Yu Meng, All rights reserved.

Document Type

Dissertation - Open Access

File Type

text

Language

English

Subject Headings

Binomial theorem
Finite differences -- Mathematical models
Options (Finance) -- Econometric models

Thesis Number

T 10032

Print OCLC #

815772985

Electronic OCLC #

801825527

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