Frühwirth, Manfred, Schneider, Paul, Schwaiger, Markus. 2007. Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework. Multinational Finance Journal 11 (3/4): 157-178.
BibTeX
Abstract
The Amin/Bodurtha framework was developed for the valuation of American-style financial instruments driven by three sources of uncertainty domestic interest rate risk, foreign interest rate risk and exchange rate risk. The model is not only appropriate for pricing a number of financial derivatives, but also, as we show, for valuing foreign investment projects in the presence of real options. In this paper we propose the most natural directly implementable specification within the Amin/Bodurtha framework that permits all combinations of up and down moves of these three risk factors without restricting volatility functions of the factors or correlations between them. By use of the depth-first algorithm, we can show that this specification is implementable at reasonable computation times (JEL: G13, G31, F30).
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Multinational Finance Journal |
Language | English |
Title | Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework |
Volume | 11 |
Number | 3/4 |
Year | 2007 |
Page from | 157 |
Page to | 178 |
Reviewed? | Y |
URL | http://mfs.rutgers.edu/ |
Associations
- People
- Frühwirth, Manfred (Details)
- Schneider, Paul (Former researcher)
- Schwaiger, Markus (Details)
- Organization
- Institute for Corporate Finance
IN
(Former organization)
- Institute for Finance and Securities Design IN (Former organization)