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dc.contributor.advisorPınar, Mustafa Ç.
dc.contributor.authorDoğruer, Şaziye Pelin
dc.date.accessioned2016-01-08T18:09:18Z
dc.date.available2016-01-08T18:09:18Z
dc.date.issued2009
dc.identifier.urihttp://hdl.handle.net/11693/14838
dc.descriptionAnkara : The Department of Industrial Engineering and the Institute of Engineering and Science of Bilkent University, 2009.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2009.en_US
dc.descriptionIncludes bibliographical references leaves 76-77.en_US
dc.description.abstractWe study the problem of valuing risky projects in incomplete markets. We develop a new method to value risky projects by restricting the so-called gain-loss ratio. We calculate the project value bounds on a numerical example and compare the results of our method with the option pricing analysis method. The proposed method yields tighter price bounds to the projects than option pricing analysis method. Moreover, for a specific value of gain-loss preference parameter, λ ∗ , our new method may yield a unique project value. Interestingly, replicating portfolios are different in the upper and lower bound problems for λ ∗ . The results are obtained in a discrete time, discrete space framework. We also extend our method to markets with transaction costs and situations with uncertain state probabilities.en_US
dc.description.statementofresponsibilityDoğruer, Şaziye Pelinen_US
dc.format.extentx, 77 leaves, tablesen_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectOption Pricing Theoryen_US
dc.subjectValuationen_US
dc.subjectTransaction Costsen_US
dc.subjectArbitrageen_US
dc.subject.lccHG4028.V3 D64 2009en_US
dc.subject.lcshValuation theory.en_US
dc.subject.lcshCorporations--Valuation--Mathematical models.en_US
dc.subject.lcshPricing.en_US
dc.subject.lcshArbitrage.en_US
dc.subject.lcshProject management.en_US
dc.subject.lcshRisk management.en_US
dc.titleValuing risky projects in incomplete marketsen_US
dc.typeThesisen_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.publisherBilkent Universityen_US
dc.description.degreeM.S.en_US


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