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Author
Bakalarczyk Sebastian (Lodz University of Technology, Poland)
Title
Longstaff-Schwartz Model and Facility Pricing in Management- Financial Analysis and Data Solutions
Model Longstaffa-Schwartza i jego wycena w zarządzaniu - analizy finansowe i analizy danych
Source
Organizacja i Zarządzanie : kwartalnik naukowy, 2012, nr 3 (19), s. 105-119, rys., tab., bibliogr. 6 poz.
Keyword
Zarządzanie, Analiza finansowa, Opcje
Management, Financial analysis, Options
Note
streszcz., summ.
Abstract
Istotne znaczenie w procesie zarządzania odgrywa umiejętność adekwatnego dobrania instrumentów wykorzystywanych w analizie finansowej. Model Longstaffa-Schwartza został stworzony z myślą o spreadach opcji, uwzględniając występujące, identyfikowalne ryzyko. W opracowaniu zaprezentowano badania literaturowe, zmiany historyczne podstawowych koncepcji oraz analizy, które na nich bazują. (abstrakt oryginalny)

The ability to adequately select instruments used in financial analysis plays an important role in the management process. The Longstaff-Schwartz model has been created taking into account option spreads with their present and identifiable risks. This paper provides a review of the literature, historical development of key concepts and data analysis which are based on them. (original abstract)
Accessibility
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
Full text
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Bibliography
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  1. Black F., Scholes M.: The pricing of options on corporate liabilities. "Journal of Political Economy", No. 81(2), 1973.
  2. Dixit A.K., Pindyck R.S.: Investment under Uncertainty. Princeton University Press, New Jersey 1994.
  3. Hull J.C.: Options, Futures and Other Derivatives. Prentice Hall, New Jersey 2002.
  4. Longstaff A., Schwartz E.: Valuing Credit Derivatives. "Journal of Fixed Income", 1995.
  5. Tahani N.: Credit Spread Option Valuation under Garch. Working Paper, July 2000, www.hec.ca/gestiondesrisques/papers.html
  6. Vasicek O.: An equilibrium characterization of the term structure. "Journal of Financial Economics", No. 5, 1977.
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ISSN
1899-6116
Language
eng
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