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Finance and Credit
 

Taking note of inflation on change of cost of an Asian real option

Vol. 20, Iss. 6, FEBRUARY 2014

Available online: 8 February 2014

Subject Heading: INNOVATIVE DEVELOPMENT

JEL Classification: 

Yashin S.N. the Doctor of Economics, professor, the head of the department of management of innovative activity, the Nizhny Novgorod state technical university of R. E. Alekseev
jashin@52.ru

Koshelev E.V. Candidate of Economic Sciences, the associate professor of the public and municipal administration, the Nizhny Novgorod state university of N.I. Lobachevsky
ekoshelev@yandex.ru

Podshibyakin D.V. the graduate student of chair of economic informatics, the Nizhny Novgorod state university of N.I. Lobachevsky
dimitry.neskazhu@yandex.ru

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

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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