Date of Award
5-2015
Degree Type
Report
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Tyler Brough
Committee
Tyler Brough
Committee
Jason Smith
Committee
Alan Stephenson
Abstract
The typical NPV rule lacks the option embedded value of taking on the project in question. The time in which we take on the project is this embedded option. I present the methodology for examples used in the Perpetual Option Pricing Program which are presented by Robert McDonald in his book, "Derivatives Markets". Refer to chapter 17.
Recommended Citation
Ferguson, Andy, "Perpetual Option Pricing Revision of the NPV Rule, Application in C++" (2015). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 484.
https://digitalcommons.usu.edu/gradreports/484
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