Valuing risky projects in incomplete markets
| buir.advisor | Pınar, Mustafa Ç. | |
| dc.contributor.author | Doğruer, Şaziye Pelin | |
| dc.date.accessioned | 2016-01-08T18:09:18Z | |
| dc.date.available | 2016-01-08T18:09:18Z | |
| dc.date.issued | 2009 | |
| dc.department | Department of Industrial Engineering | en_US |
| dc.description | Ankara : The Department of Industrial Engineering and the Institute of Engineering and Science of Bilkent University, 2009. | en_US |
| dc.description | Thesis (Master's) -- Bilkent University, 2009. | en_US |
| dc.description | Includes bibliographical references leaves 76-77. | en_US |
| dc.description.abstract | We 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.degree | M.S. | en_US |
| dc.description.statementofresponsibility | Doğruer, Şaziye Pelin | en_US |
| dc.format.extent | x, 77 leaves, tables | en_US |
| dc.identifier.uri | http://hdl.handle.net/11693/14838 | |
| dc.language.iso | English | en_US |
| dc.publisher | Bilkent University | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Option Pricing Theory | en_US |
| dc.subject | Valuation | en_US |
| dc.subject | Transaction Costs | en_US |
| dc.subject | Arbitrage | en_US |
| dc.subject.lcc | HG4028.V3 D64 2009 | en_US |
| dc.subject.lcsh | Valuation theory. | en_US |
| dc.subject.lcsh | Corporations--Valuation--Mathematical models. | en_US |
| dc.subject.lcsh | Pricing. | en_US |
| dc.subject.lcsh | Arbitrage. | en_US |
| dc.subject.lcsh | Project management. | en_US |
| dc.subject.lcsh | Risk management. | en_US |
| dc.title | Valuing risky projects in incomplete markets | en_US |
| dc.type | Thesis | en_US |
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