Real (investment) options with multiple sources of rare events
From MaRDI portal
Publication:5953352
DOI10.1016/S0377-2217(01)00075-3zbMATH Open0992.91051MaRDI QIDQ5953352FDOQ5953352
Authors: Spiros H. Martzoukos, Lenos Trigeorgis 
Publication date: 23 January 2002
Published in: European Journal of Operational Research (Search for Journal in Brave)
Recommendations
- scientific article; zbMATH DE number 5172408
- A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
- Real options under a double exponential jump-diffusion model with regime switching and partial information
- Real R&D options and optimal activation of two-dimensional random controls
- Valuation of \(N\)-stage investments under jump-diffusion processes
Discrete-time Markov processes on general state spaces (60J05) Corporate finance (dividends, real options, etc.) (91G50) Markov and semi-Markov decision processes (90C40)
Cites Work
- The pricing of options and corporate liabilities
- An Intertemporal Capital Asset Pricing Model
- The option value of advanced R\&D
- Title not available (Why is that?)
- Option pricing when underlying stock returns are discontinuous
- Option pricing: A simplified approach
- Numerical Methods for Stochastic Control Problems in Continuous Time
- Optimal Discounted Stochastic Control for Diffusion Processes
- Title not available (Why is that?)
- Evaluating leases with complex operating options
- Probability methods for approximations in stochastic control and for elliptic equations
- Approximations for functionals and optimal control problems on jump diffusion processes
- Martingales of Wiener and Poisson Processes
- Reliability (and Fault Tree) Analysis Using Expert Opinions
Cited In (21)
- Discussions on the determinants of R\&D value based upon real options
- Evaluating pharmaceutical R\&D under technical and economic uncertainty
- Operational asset replacement strategy: a real options approach
- Title not available (Why is that?)
- Revisiting corporate growth options in the presence of state-dependent cashflow risk
- Equilibrium approach of asset pricing under Lévy process
- A stochastic model with interacting managerial operating options and debt rescheduling
- Valuation of \(N\)-stage investments under jump-diffusion processes
- A path-dependent contingent-claims approach to capacity investments
- Real options valuation of forest plantation investments in Brazil
- Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
- Investment strategies of duopoly firms with asymmetric time-to-build under a jump-diffusion model
- Venture capital, staged financing and optimal funding policies under uncertainty
- Analytical solution for an investment problem under uncertainties with shocks
- A real options game of alliance timing decisions in biopharmaceutical research and development
- Valuing the flexibility of investing in security process innovations
- Investment decisions in finite-lived monopolies
- Earnouts in mergers and acquisitions: a game-theoretic option pricing approach
- Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
- Real options with random controls and the value of learning
- On the estimation of regime-switching Lévy models
This page was built for publication: Real (investment) options with multiple sources of rare events
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5953352)
