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Although methods to assess real option value embedded in economic projects have been around for a long time, they have been largely dismissed in practice because real world problems quickly lead to what is called the curse of dimensionality. Lin Zhao’s research focuses on one approach that could provide a solution. This is a dimension reduction approach for the valuation of American options, which can also be successfully applied to the stochastic dynamic programming problems that arise in complex, high dimensionality real option value assessment.

Event details of Assessing real option value in economic projects
Date 13 January 2016
Time 10:00 -11:00
Location Agnietenkapel
Room Location

L. Zhao: Making Real Options Credible: Incomplete Markets, Dynamics, and Model Ambiguity.

Supervisor

Prof. S.J.G. van Wijnbergen

Agnietenkapel

Room Location

Oudezijds Voorburgwal 229 - 231
1012 EZ Amsterdam

Entrance

This event is open to the public.