Real options with constant relative risk aversion

DOI10.1016/S0165-1889(01)00052-5zbMath1027.91039OpenAlexW2072810788MaRDI QIDQ1853198

Publication date: 21 January 2003

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00052-5

zbMATH Keywords

incomplete markets real options log Brownian asset Merton investment model traded asset

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Corporate finance (dividends, real options, etc.) (91G50)

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