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Option Models of Risk
Another link to the financial economics literature is the use of option models to quantify the value of an investment under risk. Most
of this work originates with the work of Dixit and Pindyck.
Lecture XXVIII: Introduction to Options and Futures PDF,PowerPoint,Slides
Lecture XXIX: Options Pricing using Black-Scholes PDF, PowerPoint,Slides
Lecture XXX: Real Option Valuation PDF, PowerPoint, Slides
Moss, Charles B., Amy P. Pagano, and William G. Boggess. "Ex Ante Modeling of the Effect of Irreversibility and Uncertainty on Citrus Investment." Risk Modeling in Agriculture: Retrospective and Prospective Program Proceedings for the annual meetings of the Technical Committee S-232, Department of Economics, Iowa State University, Ames, August 1994.
Purvis, Amy, William G. Boggess, Charles B. Moss, and John Holt. "Technology Adoption Decisions Under Irreversibility and Uncertainty: An Ex Ante Approach." American Journal of Agricultural Economics 77(1995): 541-51.
Lecture XXXI: Crop Insurance and Option Pricing PDF, PowerPoint, Slides
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