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http://hdl.handle.net/10174/10501
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| Title: | A note on (dis)investment options and perpetuities under CIR interest rates |
| Authors: | Larguinho, Manuela
Dias, José Carlos
Braumann, Carlos A. |
| Keywords: | CIR model
Interest rates
Investment options
Desinvestment options
Perpetuities |
| Issue Date: | 2013 |
| Publisher: | Springer - Verlag |
| Citation: | Larguinho, M.; Dias, J.C.; Braumann, C.A. (2013). A note on (dis)investment options and perpetuities under CIR interest rates. In Recent Developments in Modeling and Applications in Statistics. Oliveira, P.E.; Graça Temido, M.; Henriques, C.; Vichi, M. (Eds.), Springer, p. 203-211 |
| Abstract: | In this chapter, we discuss alternative ways of computing the oprions to invest in and divest from an investment project in a CIR economy (Cox et al., Ecomometrica 53(2): 385-408, 1985). Moreover, different methods of determining CIR perpetuities will also be analysed. |
| URI: | http://hdl.handle.net/10174/10501 |
| Type: | bookPart |
| Appears in Collections: | MAT - Publicações - Capítulos de Livros
CIMA - Publicações - Capítulos de Livros
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CIMA - Publicações - Capítulos de Livros /
