Arithmetic Brownian motion and real options

DOI10.1016/J.EJOR.2011.12.023zbMATH Open1244.91087OpenAlexW2073969069MaRDI QIDQ439622FDOQ439622

Authors: David Richard Alexander, Mengjia Mo, Alan Fraser Stent 

Publication date: 16 August 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.2011.12.023

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zbMATH Keywords

investment analysisreal optionsrisk-neutral valuationarithmetic Brownian motion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Title not available (Why is that?)
• On pricing of credit spread options
• Stochastic differential equations. An introduction with applications.
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis
• Project options valuation with net present value and decision tree 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

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