VALUING CALLABLE AND PUTABLE REVENUE-PERFORMANCE-LINKED PROJECT BACKED SECURITIES

DOI10.1142/S021902491000598XzbMath1233.91266MaRDI QIDQ2786035

Feng Dong, Nicola Chiara, Jan Večeř

Publication date: 16 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

simulationdynamic programmingreal optionsproject finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Revenue management: A real options approach
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• A numerical PDE approach for pricing callable bonds
• Applied Linear Regression
• Approximate Dynamic Programming
• An equilibrium characterization of the term structure
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Pricing Interest-Rate-Derivative Securities

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