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حسابداری و مالی::
درخت دوجمله ای
The discount rate, given in the circles at each vertex in the binomial tree,is constant at 16.67%.If we treat the problem as a decision tree,there is a question about what discount rate to use for the state-contingent payouts from the deferral option that are given.
Since the value follows a Gauss-Wiener process, we can model it so, or as a recombining binomial tree.2 There is no need to trouble ourselves with a wide variety of complicated assumptions about the stochastic process for the value of the underlyingrisky asset.It will not be mean-reverting, even though the project cash flows may be.It will not follow a growth
Therefore, we can model the investor's wealth as a Gauss-Wiener process, or as a recombining binomial tree.
The MAD assumption allows us to use the present value of the project without flexibility as the underlying risky asset, the no-arbitrage assumption implies that the replicating portfolio approach correctly values the real option that is contingent on the under- lying, and Samuelson's proof implies that regardless of the pattern of expected cash flows we can use recombining binomial trees (equivalent to geometric Brownian motion) to model the evolution of the value of the project through time.
This section of the chapter shows how this portfolio of options can be valued using binomial trees.
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