Browsing 1. Doctorado by Author "Pareja, Julian A."
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Impact of the inclusion of stochastic and conditional volatility of a commodity in real options valuation using the binomial options pricing model
Pareja, Julian A. (Pontificia Universidad Católica del PerúPE, 2019-03-27)In this dissertation it was described in detail the multiplicative quadrinomial tree numerical method with nonconstant volatility, based on a basis a proposal system of stochastic differential equations. The methodology ...