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Option theory and modeling under uncertainty

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Option theory and modeling under uncertainty. / Christiansen, Daniel; Wallace, S W.
In: Annals of Operations Research, Vol. 82, No. 1, 08.1998, p. 59-82.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Christiansen, D & Wallace, SW 1998, 'Option theory and modeling under uncertainty', Annals of Operations Research, vol. 82, no. 1, pp. 59-82. https://doi.org/10.1023/A:1018991509947

APA

Christiansen, D., & Wallace, S. W. (1998). Option theory and modeling under uncertainty. Annals of Operations Research, 82(1), 59-82. https://doi.org/10.1023/A:1018991509947

Vancouver

Christiansen D, Wallace SW. Option theory and modeling under uncertainty. Annals of Operations Research. 1998 Aug;82(1):59-82. doi: 10.1023/A:1018991509947

Author

Christiansen, Daniel ; Wallace, S W. / Option theory and modeling under uncertainty. In: Annals of Operations Research. 1998 ; Vol. 82, No. 1. pp. 59-82.

Bibtex

@article{3f8d58bb7f4c42438ba1c0616c8be54a,
title = "Option theory and modeling under uncertainty",
abstract = "Within the framework of some simple models, we explain how option theory can enhancethe understanding and teaching of modeling under uncertainty. We discuss some commonpitfalls in modeling and argue that these result from a failure to come to grips with optionsand flexibility. We examine a dynamic programming approach to evaluating options and avaluation by arbitrage approach and end by comparing the two approaches with respect tohow they treat time and risk.",
author = "Daniel Christiansen and Wallace, {S W}",
year = "1998",
month = aug,
doi = "10.1023/A:1018991509947",
language = "English",
volume = "82",
pages = "59--82",
journal = "Annals of Operations Research",
issn = "0254-5330",
publisher = "Springer",
number = "1",

}

RIS

TY - JOUR

T1 - Option theory and modeling under uncertainty

AU - Christiansen, Daniel

AU - Wallace, S W

PY - 1998/8

Y1 - 1998/8

N2 - Within the framework of some simple models, we explain how option theory can enhancethe understanding and teaching of modeling under uncertainty. We discuss some commonpitfalls in modeling and argue that these result from a failure to come to grips with optionsand flexibility. We examine a dynamic programming approach to evaluating options and avaluation by arbitrage approach and end by comparing the two approaches with respect tohow they treat time and risk.

AB - Within the framework of some simple models, we explain how option theory can enhancethe understanding and teaching of modeling under uncertainty. We discuss some commonpitfalls in modeling and argue that these result from a failure to come to grips with optionsand flexibility. We examine a dynamic programming approach to evaluating options and avaluation by arbitrage approach and end by comparing the two approaches with respect tohow they treat time and risk.

U2 - 10.1023/A:1018991509947

DO - 10.1023/A:1018991509947

M3 - Journal article

VL - 82

SP - 59

EP - 82

JO - Annals of Operations Research

JF - Annals of Operations Research

SN - 0254-5330

IS - 1

ER -