Real Options and Mean-Reverting Prices Gregory F. Robel Mathematics & Engineering Analysis July 14, 2001 email@example.com Acknowledgements
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Gregory F. Robel
Mathematics & Engineering Analysis
July 14, 2001
I would like to thank several colleagues for useful discussions, including Dr. Stuart Anderson, Dr. Mike Epton and Dr. Roman Fresnedo of The Boeing Company; and Dr. Dan Calistrate and Professor Gordon Sick of The University of Calgary. The usual disclaimer applies.
References: [DP], [McDS]
References: [KP], [Si]
References: [DP], [KP], [Pin]
References: [B], [KP], [Pil], [Si]
Maximum error = 0.0347
Maximum error = 0.0142
References: [Co], [Sh], [Si]
References: [L], [SpO]
r = 0.04
x = 1
r = 0.05
r = 0.06
x = 1
x = 1
t1/2 = 2.5
t1/2 = 5
t1/2 = 10
x = 1
--The probability of an “up” step at time i , after j “up” steps, is where and where
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