Valuation of R\&D compound option using Markov chain approach
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Publication:2240681
DOI10.1007/S10436-021-00389-1zbMATH Open1473.91028OpenAlexW3172167827MaRDI QIDQ2240681FDOQ2240681
Authors: Guglielmo D'Amico, Giovanni Villani 
Publication date: 4 November 2021
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-021-00389-1
Recommendations
- Evaluating pharmaceutical R\&D under technical and economic uncertainty
- Valuing multistage investment projects in the pharmaceutical industry
- Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
- Valuation of R\&D sequential exchange options using Monte Carlo approach
- The option value of advanced R\&D
Applications of continuous-time Markov processes on discrete state spaces (60J28) Corporate finance (dividends, real options, etc.) (91G50)
Cites Work
- Strategic Delay in a Real Options Model of R&D Competition
- Valuing Risky Projects: Option Pricing Theory and Decision Analysis
- Investment and the Valuation of Firms When There is an Option to Shut Down
- Financial applications of bivariate Markov processes
- A real option approach for investment opportunity valuation
- The price leadership share: a new measure of price discovery in financial markets
- Change point dynamics for financial data: an indexed Markov chain approach
- INVESTMENT TIMING UNDER REGIME SWITCHING
- Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
Cited In (5)
- Valuing multistage investment projects in the pharmaceutical industry
- Valuation of R\&D sequential exchange options using Monte Carlo approach
- R\&D pipeline management: task interdependencies and risk management
- Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
- Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
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