Complex compound option models -- can practitioners truly operationalize them?

DOI10.1016/J.EJOR.2012.05.007MaRDI QIDQ1926965zbMATH OpenOpenAlexFDO

Authors Suvankar Ghosh, Marvin D. Troutt

Publication date 29 December 2012

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2012.05.007

zbMATH Keywords

\texttt{OpenESB}compound optionscost-benefit analysisdecision-makinginvestment analysispractitioner relevancereal options

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08) Management decision making, including multiple objectives (90B50)

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Cites work

• An Introduction to Numerical Analysis
• Computation of the multivariate normal integral
• scientific article; zbMATH DE number 1285682 (Why is no real title available?)
• scientific article; zbMATH DE number 3316497 (Why is no real title available?)
• Integrating effective flexibility measures into a strategic supply chain planning model
• Option pricing: A simplified approach
• Real options valuation of forest plantation investments in Brazil
• Renewable energy investments under different support schemes: a real options approach
• The pricing of options and corporate liabilities
• Uncertainty and stepwise investment
• Valuing interdependent multi-stage IT investments: a real options approach

Cited in

(7)

• European option based R\&D investment decision making under uncertainties
• Real options in operations research: a review
• Optimal investment and abandonment decisions for projects with construction uncertainty
• To expand and to abandon: real options under asset variance risk premium
• Individual antecedents of real options appraisal: the role of national culture and ambiguity
• Operational research from Taylorism to terabytes: a research agenda for the analytics age
• N-Fold compound option pricing with technical risk under fractional jump-diffusion model

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