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Taking note of inflation on change of cost of an Asian real option
Available online: 8 February 2014 Subject Heading: INNOVATIVE DEVELOPMENT JEL Classification:
In article extent of influence of a difference between a rate of inflation and a risk-free rate on investments on the accuracy of estimation of cost of an Asian real option is established. It is shown on an example that in case of an advancing rate of inflation of profitability of risk-free investments, characteristic for Russia, the option assessment in a trinomialny lattice will be lower than an assessment in a binomial lattice. The result has practical value for analysts, considering that the trinomialny model is more exact discrete model, than binomial. Keywords: Asian real option, Bleka-Shoulz's model, binomial model, trinomialny model |
ISSN 2311-8709 (Online)
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