Browsing Τμήμα Διοίκησης Επιχειρήσεων και Δημόσιας Διοίκησης / Department of Business and Public Administration by Subject "Effect of higher order moments"

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    • Article  

      Pricing options on scenario trees 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2008)
      We examine valuation procedures that can be applied to incorporate options in scenario-based portfolio optimization models. Stochastic programming models use discrete scenarios to represent the stochastic evolution of asset ...