Eksik piyasalarda riskli projelerin fiyatlandırılması

We study the problem of valuing risky projects in incomplete markets. We developa new method to value risky projects by restricting the so-called gain-loss ratio. Wecalculate the project value bounds on a numerical example and compare the resultsof our method with the option pricing analysis method. The proposed method yieldstighter price bounds to the projects than option pricing analysis method. Moreover,for a speci ? c value of gain-loss preference parameter, ??, our new method may yielda unique project value. Interestingly, replicating portfolios are different in the upperand lower bound problems for ??. The results are obtained in a discrete time, discretespace framework. We also extend our method to markets with transaction costs andsituations with uncertain state probabilities.