The enhanced milestone project valuation: The sequential compound option approach

Meng Yu Lee; Fang Bo Yeh; An-Pin Chen

The enhanced milestone project valuation: The sequential compound option approach

Meng Yu Lee^*, Fang Bo Yeh, An-Pin Chen

^*Corresponding author for this work

Institute of Information Management

Research output: Contribution to conference › Paper › peer-review

Abstract

This paper proposes the Milestone Project Valuation (MPV) and enhanced MPV through sequential compound options (SCOs). Most compound options in literatures are 2-fold with constant parameters through time. The multi-fold compound options are just sequential compound CALL options. The multi-fold sequential compound options proposed in this study are compound option on (compound) option and allow call/put alteration. Besides, the parameters can vary in different folds and make the model more flexible. The partial derivative of multivariate normal integration is derived in this study and used for proofs of the SCO Greeks. The SCOs can enhance and broaden the usages of compound option in real option and financial derivative fields, such as the proposed MPV and enhanced MPV (eMPV) algorithm. These methods are concretized in a Graph User Interface (GUI) computer program.

Original language	English
Pages	4675-4699
Number of pages	25
State	Published - Jan 2006
Event	36th International Conference on Computers and Industrial Engineering, ICC and IE 2006 - Taipei, Taiwan Duration: 20 Jun 2006 → 23 Jun 2006

Conference

Conference	36th International Conference on Computers and Industrial Engineering, ICC and IE 2006
Country/Territory	Taiwan
City	Taipei
Period	20/06/06 → 23/06/06

Keywords

Milestone
Project valuation
Real option
Sequential compound option

Cite this

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title = "The enhanced milestone project valuation: The sequential compound option approach",

abstract = "This paper proposes the Milestone Project Valuation (MPV) and enhanced MPV through sequential compound options (SCOs). Most compound options in literatures are 2-fold with constant parameters through time. The multi-fold compound options are just sequential compound CALL options. The multi-fold sequential compound options proposed in this study are compound option on (compound) option and allow call/put alteration. Besides, the parameters can vary in different folds and make the model more flexible. The partial derivative of multivariate normal integration is derived in this study and used for proofs of the SCO Greeks. The SCOs can enhance and broaden the usages of compound option in real option and financial derivative fields, such as the proposed MPV and enhanced MPV (eMPV) algorithm. These methods are concretized in a Graph User Interface (GUI) computer program.",

keywords = "Milestone, Project valuation, Real option, Sequential compound option",

author = "Lee, {Meng Yu} and Yeh, {Fang Bo} and An-Pin Chen",

year = "2006",

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language = "English",

pages = "4675--4699",

note = "36th International Conference on Computers and Industrial Engineering, ICC and IE 2006 ; Conference date: 20-06-2006 Through 23-06-2006",

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TY - CONF

T1 - The enhanced milestone project valuation

T2 - 36th International Conference on Computers and Industrial Engineering, ICC and IE 2006

AU - Lee, Meng Yu

AU - Yeh, Fang Bo

AU - Chen, An-Pin

PY - 2006/1

Y1 - 2006/1

N2 - This paper proposes the Milestone Project Valuation (MPV) and enhanced MPV through sequential compound options (SCOs). Most compound options in literatures are 2-fold with constant parameters through time. The multi-fold compound options are just sequential compound CALL options. The multi-fold sequential compound options proposed in this study are compound option on (compound) option and allow call/put alteration. Besides, the parameters can vary in different folds and make the model more flexible. The partial derivative of multivariate normal integration is derived in this study and used for proofs of the SCO Greeks. The SCOs can enhance and broaden the usages of compound option in real option and financial derivative fields, such as the proposed MPV and enhanced MPV (eMPV) algorithm. These methods are concretized in a Graph User Interface (GUI) computer program.

AB - This paper proposes the Milestone Project Valuation (MPV) and enhanced MPV through sequential compound options (SCOs). Most compound options in literatures are 2-fold with constant parameters through time. The multi-fold compound options are just sequential compound CALL options. The multi-fold sequential compound options proposed in this study are compound option on (compound) option and allow call/put alteration. Besides, the parameters can vary in different folds and make the model more flexible. The partial derivative of multivariate normal integration is derived in this study and used for proofs of the SCO Greeks. The SCOs can enhance and broaden the usages of compound option in real option and financial derivative fields, such as the proposed MPV and enhanced MPV (eMPV) algorithm. These methods are concretized in a Graph User Interface (GUI) computer program.

KW - Milestone

KW - Project valuation

KW - Real option

KW - Sequential compound option

UR - http://www.scopus.com/inward/record.url?scp=84886915571&partnerID=8YFLogxK

M3 - Paper

AN - SCOPUS:84886915571

SP - 4675

EP - 4699

Y2 - 20 June 2006 through 23 June 2006

ER -

The enhanced milestone project valuation: The sequential compound option approach

Abstract

Conference

Keywords

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