Numerical methods for contingent claims analysis of investment decisions
Name
MIT-EL-88-010WP-19527578.pdf
Size
1.78 MB
Format
Adobe PDF
Checksum (MD5)
4f1a37e3a5787b6bd2a201b37e5774af
Author(s)
Meehan, James Carl
Date Issued
1988
Publisher
MIT Energy Lab
Series/Report no.
MIT-EL
88-010WP
Abstract
In this thesis I examine the numerical methods used in
option valuation with analysis focusing on the more complex
options associated with investment decisions. Two options
implicit in many projects are identified and analyzed: i)
the option to halt construction of a project, and ii) the
option to shut down the production lines once the project is
complete. The partial differential equations governing the
values of these two options are derived, discretized, and
solved using numerical techniques.
Description
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1988
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