Considering Optionality
This section is organized into two parts: a link to the forthcoming paper and a simulation-based alternative to option pricing.
This paper is currently in draft form and undergoing updates; the attached version reflects an earlier working paper that is in the process of being revised. The finalized manuscript will be made available here once completed.
Uses simulation of correlated normal variables as an alternative to option pricing, applied to calculate the expected value of promotes and the expected returns to various components of the capital stack.