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10 This paper addresses the capital budgeting problem under uncertainty. In particular, we propose a multi-stage stochastic programming model aimed at selecting and managing a project portfolio. The dynamic uncertain evolution of each project value is modelled by a scenario tree over the planning horizon. The model allows the decision maker to revise(More)
In most cases authors are permitted to post their version of the article (e.g. in Word or Tex form) to their personal website or institutional repository. Authors requiring further information regarding Elsevier's archiving and manuscript policies are encouraged to visit: a b s t r a c t We develop a straightforward algorithm to price arithmetic average(More)
We develop a pricing algorithm for US-style period-average reset options written on an underlying asset which evolves in a Cox-Ross-Rubinstein (CRR) framework. The averaging feature of such an option on the reset period makes the price valuation problem computationally unfeasible because the arithmetic average is not recombining on a CRR tree. To overcome(More)
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