A real options approach for joint overhaul and replacement strategies with mean reverting prices

DOI10.1007/S10479-018-2906-ZMaRDI QIDQ2178352zbMATH OpenOpenAlexFDO

Authors Alejandro Mac Cawley, Maximiliano Cubillos, Rodrigo Pascual

Publication date 11 May 2020

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-018-2906-z

zbMATH Keywords

real optionsmean reversionperiodic maintenancejoint replacement and overhaul policy

Mathematics Subject Classification ID

Reliability, availability, maintenance, inspection in operations research (90B25) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• scientific article; zbMATH DE number 6736764 (Why is no real title available?)
• A survey of maintenance policies of deteriorating systems
• Choosing among alternative discrete investment projects under uncertainty
• Decision analysis and real options: a discrete time approach to real option valuation
• Discrete time modeling of mean-reverting stochastic processes for real option valuation
• Flexible and risk-sharing supply contracts under price uncertainty
• Horizon and stages in applications of stochastic programming in finance
• Integrating stochastic programming and decision tree techniques in land conversion problems
• Irreversible investment in alternative projects
• On the Integration of Production and Financial Hedging Decisions in Global Markets
• Operational asset replacement strategy: a real options approach
• Production decisions under joint price and production uncertainty
• Purchasing decisions under stochastic prices: approximate solutions for order time, order quantity and supplier selection
• Repair strategies in an uncertain environment: stochastic game approach
• Selection of contract suppliers under price and demand uncertainty in a dynamic market
• Valuation of Commodity-Based Swing Options
• Valuing managerial flexibility: an application of real-option theory to mining investments

Cited in

(1)

• Model risk in real option valuation

Describes a project that uses

Uses Software

• ETE

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