PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME*
提出一种通用的离散时间实物期权计算方法，能处理嵌入期权，并考虑商品价格分布的厚尾和偏斜特征，适合数据稀疏场景。
Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This article suggests a general, computationally simple approach to real options in discrete time. Explicit formulas are derived even for embedded options. Discrete time processes reflect the scarcity of observations in the data, and may account for fat tails and skewness of probability distributions of commodity prices. The method of this article is based on the use of the expected present value operators.