Revisiting corporate growth options in the presence of state-dependent cashflow risk

DOI10.1016/J.EJOR.2011.10.003MaRDI QIDQ1926736zbMATH OpenOpenAlexFDO

Authors Alessandro Sbuelz, M. Caliari

Publication date 29 December 2012

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2011.10.003

zbMATH Keywords

market price of riskcorporate growth optionsstate-dependent riskstock pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Economic growth models (91B62)

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Cites work

• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• A path-dependent contingent-claims approach to capacity investments
• Collaboration in tool development and capacity investments in high technology manufacturing networks
• Evaluating leases with complex operating options
• Fixed versus flexible production systems: A real options analysis
• Investment and capacity choice under uncertain demand
• Investment timing and optimal capacity choice for small hydropower projects
• Market entry, phased rollout or abandonment? A real option approach
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Real (investment) options with multiple sources of rare events
• Real options in strategic investment games between two asymmetric firms
• The determinant of production entry and exit model on financing behavior
• The impact of investment lags on investment decision
• The option value of advanced R\&D
• Wireless network capacity management: a real options approach

Cited in

(7)

• Valuing real options with endogenous payoff
• Real options in operations research: a review
• Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
• Implied higher order moments in the Heston model: a case study of S\&P500 index
• Structural recovery of face value at default
• Stocks for the log-run and constant relative risk aversion preferences

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