Numerical methods for contingent claims analysis of investment decisions
Author(s)Meehan, James Carl
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.
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1988
MIT Energy Lab