Quotation 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.




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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Publication's profile

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/


Frühwirth, Manfred (Details)
Schneider, Paul (Former researcher)
Schwaiger, Markus (Details)
Institute for Corporate Finance IN (Former organization)
Institute for Finance and Securities Design IN (Former organization)
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