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Getting Real with Real Options: A Utility–Based Approach for Finite–Time Investment in Incomplete Markets

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  • M. R. Grasselli

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  • M. R. Grasselli, 2011. "Getting Real with Real Options: A Utility–Based Approach for Finite–Time Investment in Incomplete Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(5-6), pages 740-764, June.
    • Handle: RePEc:bla:jbfnac:v:38:y:2011:i:5-6:p:740-764
    DOI: j.1468-5957.2010.02232.x
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    File URL: http://hdl.handle.net/10.1111/j.1468-5957.2010.02232.x
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    Citations

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    Cited by:

    1. Alexander, Carol & Chen, Xi & Ward, Charles, 2021. "Risk-adjusted valuation for real option decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1046-1064.
    2. Timothy Hillman & Nan Zhang & Zhuo Jin, 2018. "Real-Option Valuation in a Finite-Time, Incomplete Market with Jump Diffusion and Investor-Utility Inflation," Risks, MDPI, vol. 6(2), pages 1-20, May.
    3. Mehrmann, Annika & Schneider, Georg & Sureth, Caren, 2012. "Asymmetric taxation of profits and losses and its influence on investment timing: Paradoxical effects of tax increases," arqus Discussion Papers in Quantitative Tax Research 134, arqus - Arbeitskreis Quantitative Steuerlehre.
    4. Álvaro Cartea & Sebastian Jaimungal, 2017. "Irreversible Investments And Ambiguity Aversion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-26, November.
    5. McCarty, Tanner & Sesmero, Juan, 2014. "Uncertainty, Irreversibility, and Investment in Second-Generation Biofuels," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 179201, Agricultural and Applied Economics Association.
    6. Schachter, J.A. & Mancarella, P., 2016. "A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems," Renewable and Sustainable Energy Reviews, Elsevier, vol. 56(C), pages 261-271.
    7. Gang‐Zhi Fan & Ming Pu & Tien Foo Sing & Xiaoyu Zhang, 2022. "Risk aversion and urban land development options," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(3), pages 767-788, September.
    8. Carol Alexander & Xi Chen, 2014. "Risk-adjusted Valuation of the Real Option to Invest," ICMA Centre Discussion Papers in Finance icma-dp2014-19, Henley Business School, University of Reading.
    9. Carol Alexander & Xi Chen, 2021. "Model risk in real option valuation," Annals of Operations Research, Springer, vol. 299(1), pages 1025-1056, April.
    10. Alvaro Cartea & Ryan Donnelly & Sebastian Jaimungal, 2019. "Hedging Non-Tradable Risks with Transaction Costs and Price Impact," Papers 1908.00054, arXiv.org, revised Mar 2020.
    11. Carol Alexander & Xi Chen, 2012. "A General Approach to Real Option Valuation with Applications to Real Estate Investments," ICMA Centre Discussion Papers in Finance icma-dp2012-04, Henley Business School, University of Reading.
    12. Álvaro Cartea & Ryan Donnelly & Sebastian Jaimungal, 2020. "Hedging nontradable risks with transaction costs and price impact," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 833-868, July.

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