Can properly discounted projects follow geometric Brownian motion?
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Publication:1044211
DOI10.1007/S00186-008-0275-0zbMATH Open1178.91214OpenAlexW2089636183MaRDI QIDQ1044211FDOQ1044211
Authors: 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
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Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An Intertemporal Capital Asset Pricing Model
- Title not available (Why is that?)
- 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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