Flow options: continuous real caps and floors

Accounting and Finance

Keywords

Real options, Options on the maximum or minimum of two, Reversible options, Caps and Floors.

Research output: Working paper

Published

Standard

Flow options: continuous real caps and floors. / Shackleton, M B ; Wojakowski, R M.
Lancaster University: The Department of Accounting and Finance, 2001. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Shackleton, MB & Wojakowski, RM 2001 'Flow options: continuous real caps and floors' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Shackleton, M. B., & Wojakowski, R. M. (2001). Flow options: continuous real caps and floors. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Shackleton MB , Wojakowski RM. Flow options: continuous real caps and floors. Lancaster University: The Department of Accounting and Finance. 2001. (Accounting and Finance Working Paper Series).

Author

Shackleton, M B ; Wojakowski, R M. / Flow options: continuous real caps and floors. Lancaster University : The Department of Accounting and Finance, 2001. (Accounting and Finance Working Paper Series).

Bibtex

@techreport{db6a6d0abf384d87ab4dca2656a711e7,

title = "Flow options: continuous real caps and floors",

abstract = "In this paper we produce formulae to finitely lived options which allow the holder to chose continually between two flows. For this real option that allows frequent and costless switching between two assets, we examine perpetual and then finite values using a risk neutral annuity argument. Applications include energy and commodity consumption costs where switching between flows can occur frequently and costlessly.",

keywords = "Real options, Options on the maximum or minimum of two, Reversible options, Caps and Floors.",

author = "Shackleton, {M B} and Wojakowski, {R M}",

year = "2001",

language = "English",

series = "Accounting and Finance Working Paper Series",

publisher = "The Department of Accounting and Finance",

type = "WorkingPaper",

institution = "The Department of Accounting and Finance",

}

RIS

TY - UNPB

T1 - Flow options: continuous real caps and floors

AU - Shackleton, M B

AU - Wojakowski, R M

PY - 2001

Y1 - 2001

N2 - In this paper we produce formulae to finitely lived options which allow the holder to chose continually between two flows. For this real option that allows frequent and costless switching between two assets, we examine perpetual and then finite values using a risk neutral annuity argument. Applications include energy and commodity consumption costs where switching between flows can occur frequently and costlessly.

AB - In this paper we produce formulae to finitely lived options which allow the holder to chose continually between two flows. For this real option that allows frequent and costless switching between two assets, we examine perpetual and then finite values using a risk neutral annuity argument. Applications include energy and commodity consumption costs where switching between flows can occur frequently and costlessly.

KW - Real options

KW - Options on the maximum or minimum of two

KW - Reversible options

KW - Caps and Floors.

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - Flow options: continuous real caps and floors

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -

Research

Keywords