A note on (dis)investment options and perpetuities under CIR interest rates

• Author(s): Larguinho, Manuela ; Dias, José Carlos ; Braumann, Carlos A.
• Date: 2013
• Persistent ID: http://hdl.handle.net/10174/10501
• Origin: Repositório Científico da Universidade de Évora
• Subject(s): CIR model; Interest rates; Investment options; Desinvestment options; Perpetuities
• Document Type: Part of book or chapter of book
• Language: Portuguese

Description

In this chapter, we discuss alternative ways of computing the oprions to invest in and divest from an investment project in a CIR economy (Cox et al., Ecomometrica 53(2): 385-408, 1985). Moreover, different methods of determining CIR perpetuities will also be analysed.