Recommendations
- Can properly discounted projects follow geometric Brownian motion?
- Option pricing with regulated fractional Brownian motion
- Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
- Option pricing under general geometric Riemannian Brownian motions
- The worst case for real options
Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- On pricing of credit spread options
- Project options valuation with net present value and decision tree analysis
- Stochastic differential equations. An introduction with applications.
- Valuing Risky Projects: Option Pricing Theory and Decision Analysis
Cited in
(8)- Photovoltaic smart grids in the prosumers investment decisions: a real option model
- Real options in operations research: a review
- Valuing multistage investment projects in the pharmaceutical industry
- Model risk in real option valuation
- Pricing exotic derivatives exploiting structure
- Can properly discounted projects follow geometric Brownian motion?
- Individual antecedents of real options appraisal: the role of national culture and ambiguity
- Early exercise boundaries for American-style knock-out options
This page was built for publication: Arithmetic Brownian motion and real options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q439622)
