Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-Or-Pay
扩展了Hull和White的格子法，用于估值两种具有时间灵活性的商品购买合同，该方法可应用于抵押贷款组合、资产使用强度影响生产力的资本项目以及具有存储特性的资本项目。
Hull and White (1993) introduced a method to extend lattice-based contingent claim val? uation techniques to problems with path-dependent payoffs. This paper builds upon their method in the process of valuing two types of commodity purchase contracts that ex? hibit a form of timing flexibility not previously analyzed in the literature. The techniques demonstrated take advantage of characteristics of claims that simplify incorporation of path dependencies. Possible uses for the methods demonstrated include the valuation of: port? folios of mortgages, capital projects where intensity of use affects productivity ofthe asset, and capital projects with storage characteristics.