Valuing real options with endogenous payoff
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Publication:5051984
DOI10.1080/14697688.2022.2100271OpenAlexW4288426338MaRDI QIDQ5051984
Publication date: 18 November 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2022.2100271
real optionsrisk managementrisk-return trade-offendogenous payoffscale-dependencyspeculative usage of derivatives
Cites Work
- Valuing the option to invest in an incomplete market
- Convex duality in constrained portfolio optimization
- Time preference and real investment
- Irreversible investment with regime shifts
- Investment and capacity choice under uncertain demand
- Does performance-sensitive debt mitigate debt overhang?
- OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Sequential Capacity Expansion Options
- Risk Aversion, Indivisible Timing Options, and Gambling
- Optimal Investment with Costly Reversibility
- Investment Timing Under Incomplete Information
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