Can properly discounted projects follow geometric Brownian motion?
From MaRDI portal
Publication:1044211
DOI10.1007/s00186-008-0275-0zbMath1178.91214MaRDI QIDQ1044211
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
stochastic processes; stochastic volatility; real options; geometric Brownian motion; present value model
60J65: Brownian motion
91G80: Financial applications of other theories
91G50: Corporate finance (dividends, real options, etc.)
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