Can properly discounted projects follow geometric Brownian motion?
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Cites work
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An Intertemporal Capital Asset Pricing Model
- Autoregressive Conditional Density Estimation
- Bachelier and his times: a conversation with Bernard Bru
- Optimal risk adoption: a real options approach
Cited in
(5)- Option pricing under joint dynamics of interest rates, dividends, and stock prices
- Arithmetic Brownian motion and real options
- Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
- Capital renewal as a real option
- Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
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