Model-free analysis of real option exercise probability and timing

DOI10.1080/14697688.2023.2243995MaRDI QIDQ6063327zbMATH OpenOpenAlexFDO

Authors Sang Baum Kang, P. Létourneau

Publication date 7 November 2023

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2023.2243995

zbMATH Keywords

capital investmentexercise probabilityfinancial optionsreal optionsstochastic dominance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Real options for an entrepreneur with preferences for liquidity
• The effect of uncertainty on investment timing in a real options model
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Cites work

• An analysis of a least squares regression method for American option pricing
• Investment and the Valuation of Firms When There is an Option to Shut Down
• Investment under uncertainty and policy change
• Martingales and stochastic integrals in the theory of continuous trading
• Model risk in real option valuation
• On the investment-uncertainty relationship in a real options model
• Optimal risk adoption: a real options approach
• Option pricing when underlying stock returns are discontinuous
• Quantile-preserving spread

Cited in

(2)

• Structural estimation of real options models
• Optimal hitting time and perpetual option in a non-Lévy model: application to real options

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