Can properly discounted projects follow geometric Brownian motion?

DOI10.1007/s00186-008-0275-0zbMath1178.91214OpenAlexW2089636183MaRDI QIDQ1044211

Juho Kanniainen

Publication date: 11 December 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0275-0

zbMATH Keywords

stochastic processesstochastic volatilityreal optionsgeometric Brownian motionpresent value model

Mathematics Subject Classification ID

Brownian motion (60J65) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)

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Cites Work

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• Optimal risk adoption: a real options approach
• Autoregressive Conditional Density Estimation
• An Intertemporal Capital Asset Pricing Model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Bachelier and his times: a conversation with Bernard Bru

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