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Real (investment) options with multiple sources of rare events

Citations

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Cited by:

  1. Xiao, Tim, 2011. "An Efficient Lattice Algorithm for the LIBOR Market Model," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(1), pages 25-40.
  2. Semir Ben Ammar, 2020. "Catastrophe Risk and the Implied Volatility Smile," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 381-405, June.
  3. S H Martzoukos, 2009. "Real R&D options and optimal activation of two-dimensional random controls," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(6), pages 843-858, June.
  4. Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.
  5. Driouchi, Tarik & Leseure, Michel & Bennett, David, 2009. "A robustness framework for monitoring real options under uncertainty," Omega, Elsevier, vol. 37(3), pages 698-710, June.
  6. Haehl, Christian & Spinler, Stefan, 2018. "Capacity expansion under regulatory uncertainty:A real options-based study in international container shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 113(C), pages 75-93.
  7. Xiao, Tim, 2022. "Generic Cancellable Note Analytics," EconStor Preprints 262367, ZBW - Leibniz Information Centre for Economics.
  8. Pringles, Rolando & Olsina, Fernando & Penizzotto, Franco, 2020. "Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method," Renewable Energy, Elsevier, vol. 151(C), pages 846-864.
  9. Charalambides, Marios & Koussis, Nicos, 2018. "A stochastic model with interacting managerial operating options and debt rescheduling," European Journal of Operational Research, Elsevier, vol. 267(1), pages 236-249.
  10. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
  11. Chen, Yu-Fu & Funke, Michael, 2012. "Global Warming and Fat Tailed-uncertainty: Rethinking the Timing and Intensity of Climate Policy," SIRE Discussion Papers 2012-41, Scottish Institute for Research in Economics (SIRE).
  12. David Finpricing Lee, 2022. "Generic Cancellable Derivative Model," Working Papers hal-03749503, HAL.
  13. Nunes, Cláudia & Pimentel, Rita, 2017. "Analytical solution for an investment problem under uncertainties with shocks," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1054-1063.
  14. Douglas A. Bodner & William B. Rouse, 2007. "Understanding R&D value creation with organizational simulation," Systems Engineering, John Wiley & Sons, vol. 10(1), pages 64-82, March.
  15. Pennings, H.P.G. & Sereno, L., 2010. "A Model for Evaluating Pharmaceutical R&D Investment Projects under Technical and Economic Uncertainties," ERIM Report Series Research in Management ERS-2010-009-STR, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  16. Chevallier Julien & Goutte Stéphane, 2017. "On the estimation of regime-switching Lévy models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 3-29, February.
  17. Zambujal-Oliveira, João & Duque, João, 2011. "Operational asset replacement strategy: A real options approach," European Journal of Operational Research, Elsevier, vol. 210(2), pages 318-325, April.
  18. Julien Chevallier & Stéphane Goutte, 2014. "The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process," Working Papers 2014-285, Department of Research, Ipag Business School.
  19. Jyh-Bang Jou & Tan (Charlene) Lee, 2011. "Mutually exclusive investment with technical uncertainty," Applied Economics, Taylor & Francis Journals, vol. 43(30), pages 4723-4728.
  20. Sbuelz, Alessandro & Caliari, Marco, 2012. "Revisiting corporate growth options in the presence of state-dependent cashflow risk," European Journal of Operational Research, Elsevier, vol. 220(1), pages 286-294.
  21. Fernando A. C. C. Fonte & Dalila B. M. M. Fontes, 2007. "Optimal investment timing using Markov jump price processes," FEP Working Papers 245, Universidade do Porto, Faculdade de Economia do Porto.
  22. Khansa, Lara & Liginlal, Divakaran, 2009. "Valuing the flexibility of investing in security process innovations," European Journal of Operational Research, Elsevier, vol. 192(1), pages 216-235, January.
  23. Lukas, Elmar & Mölls, Sascha & Welling, Andreas, 2016. "Venture capital, staged financing and optimal funding policies under uncertainty," European Journal of Operational Research, Elsevier, vol. 250(1), pages 305-313.
  24. Schmit, T.M. & J., Luo & Conrad, J.M., 2011. "Estimating the influence of U.S. ethanol policy on plant investment decisions: A real options analysis with two stochastic variables," Energy Economics, Elsevier, vol. 33(6), pages 1194-1205.
  25. Ben Ammar, Semir, 2016. "Pricing of Catastrophe Risk and the Implied Volatility Smile," Working Papers on Finance 1617, University of St. Gallen, School of Finance.
  26. Pringles, Rolando & Olsina, Fernando & Garcés, Francisco, 2014. "Designing regulatory frameworks for merchant transmission investments by real options analysis," Energy Policy, Elsevier, vol. 67(C), pages 272-280.
  27. Lauren Chenarides & Mark Manfredo & Timothy J. Richards, 2021. "COVID‐19 and Food Supply Chains," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 43(1), pages 270-279, March.
  28. Fu, Jun & Yang, Hailiang, 2012. "Equilibruim approach of asset pricing under Lévy process," European Journal of Operational Research, Elsevier, vol. 223(3), pages 701-708.
  29. Michi Nishihara, 2012. "Real option valuation of abandoned farmland," Review of Financial Economics, John Wiley & Sons, vol. 21(4), pages 188-192, November.
  30. Morreale, Azzurra & Robba, Serena & Lo Nigro, Giovanna & Roma, Paolo, 2017. "A real options game of alliance timing decisions in biopharmaceutical research and development," European Journal of Operational Research, Elsevier, vol. 261(3), pages 1189-1202.
  31. Pereira, Paulo J. & Rodrigues, Artur, 2014. "Investment decisions in finite-lived monopolies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 219-236.
  32. Andrea Gamba & Nicola Fusari, 2009. "Valuing Modularity as a Real Option," Management Science, INFORMS, vol. 55(11), pages 1877-1896, November.
  33. Julien Chevallier & Stéphane Goutte, 2017. "Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching," Annals of Operations Research, Springer, vol. 255(1), pages 169-197, August.
  34. Rose Lai & Ko Wang & Jing Yang, 2007. "Stickiness of Rental Rates and Developers’ Option Exercise Strategies," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 159-188, January.
  35. Rainer Andergassen & Luigi Sereno, 2012. "Valuation of N-stage Investments Under Jump-Diffusion Processes," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 289-313, March.
  36. Lee, David, 2022. "Pricing Cancellation Product," MPRA Paper 114147, University Library of Munich, Germany.
  37. Spiros H. Martzoukos & Nayia Pospori & Lenos Trigeorgis, 2024. "Corporate investment decisions with switch flexibility, constraints, and path-dependency," Review of Quantitative Finance and Accounting, Springer, vol. 62(3), pages 1223-1250, April.
  38. Peter Kort & Maria Lavrutich & Cláudia Nunes & Carlos Oliveira, 2022. "Preventing Environmental Disasters in Investment under Uncertainty," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 83(1), pages 199-220, September.
  39. Lukas, Elmar & Reuer, Jeffrey J. & Welling, Andreas, 2012. "Earnouts in mergers and acquisitions: A game-theoretic option pricing approach," European Journal of Operational Research, Elsevier, vol. 223(1), pages 256-263.
  40. Cl'audia Nunes & Rita Pimentel, 2015. "Analytical solution to an investment problem under uncertainties with shocks," Papers 1509.04135, arXiv.org, revised Sep 2015.
  41. Pennings, Enrico & Sereno, Luigi, 2011. "Evaluating pharmaceutical R&D under technical and economic uncertainty," European Journal of Operational Research, Elsevier, vol. 212(2), pages 374-385, July.
  42. Schäfers, A. & Bougioukos, V. & Karamatzanis, G. & Nikolopoulos, K., 2024. "Prediction-led prescription: Optimal Decision-Making in times of turbulence and business performance improvement," Journal of Business Research, Elsevier, vol. 182(C).
  43. Pringles, Rolando & Olsina, Fernando & Garcés, Francisco, 2015. "Real option valuation of power transmission investments by stochastic simulation," Energy Economics, Elsevier, vol. 47(C), pages 215-226.
  44. Nishihara, Michi, 2012. "Real option valuation of abandoned farmland," Review of Financial Economics, Elsevier, vol. 21(4), pages 188-192.
  45. Gordon Briest & Elmar Lukas & Sascha H. Mölls & Timo Willershausen, 2020. "Innovation speed under uncertainty and competition," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(8), pages 1517-1527, December.
  46. Kallio, Markku & Kuula, Markku & Oinonen, Sami, 2012. "Real options valuation of forest plantation investments in Brazil," European Journal of Operational Research, Elsevier, vol. 217(2), pages 428-438.
  47. Driouchi, Tarik & Bennett, David & Simpson, Gary, 2010. "A path-dependent contingent-claims approach to capacity investments," European Journal of Operational Research, Elsevier, vol. 201(1), pages 319-323, February.
  48. Nicolai V. Kuminoff & Ada Wossink, 2010. "Why Isn’t More US Farmland Organic?," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 240-258, June.
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