James Collins

Independent

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Scholarly Papers (1)

An Application of Financial Mathematics, using Real Option Analysis, on Coal Production and Logistics

Number of pages: 28 Posted: 20 Apr 2022
Mesias Alfeus and James Collins
Department of Statistics and Actuarial Science - Stellenbosch University and Independent
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Abstract:

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Stochastic volatility; option-pricing theory; real option theory; black-scholes formula; spread-option, rainbow option, FFT method, coal, Monte-Carlo, closed-form solution, fat-tails