Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue

DOI10.1287/mnsc.1070.0826zbMath1232.91654OpenAlexW2138287533MaRDI QIDQ3117711

Eric Hillebrand, Jimmy E. Hilliard, Don M. Chance

Publication date: 29 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.1070.0826

zbMATH Keywords

option pricinginnovationrisk managementgamma processBayesian updatemovie boxmovie revenuesnondecreasing processoffice receipts

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Weak solutions to gamma-driven stochastic differential equations ⋮ Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations ⋮ Real options in operations research: a review

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