James Collins

Yancoal

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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: 29 Mar 2022
Mesias Alfeus and James Collins
Department of Statistics and Actuarial Science - Stellenbosch University and Yancoal
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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