Date of Award
Master of Science (MS)
Economics and Finance
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.
Ferguson, Andy, "Perpetual Option Pricing Revision of the NPV Rule, Application in C++" (2015). All Graduate Plan B and other Reports. 484.
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