The worst case for real options
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Publication:613589
DOI10.1007/S10957-010-9687-0zbMATH Open1208.91156OpenAlexW2000948330MaRDI QIDQ613589FDOQ613589
Authors: M. Trojanowska, Peter M. Kort 
Publication date: 21 December 2010
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-010-9687-0
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Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99)
Cites Work
- Arbitrage Theory in Continuous Time
- Stochastic calculus for finance. II: Continuous-time models.
- Risk, ambiguity and the Savage axioms
- Optimal Stopping With Multiple Priors
- Title not available (Why is that?)
- Ambiguity, Risk, and Asset Returns in Continuous Time
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- Robust control and recursive utility
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- The effect of mean reversion on investment under uncertainty
- Title not available (Why is that?)
- IID: Independently and indistinguishably distributed.
- A two-person dynamic equilibrium under ambiguity
- Irreversible investment and Knightian uncertainty
- Option exercise with temptation
- Valuing the option to invest in an incomplete market
- Robust control and model misspecification
- Risk, uncertainty, and option exercise
- Irreversible investment and discounting: an arbitrage pricing approach
- Finite project life and uncertainty effects on investment
- Dynamic asset pricing theory with uncertain time-horizon
Cited In (15)
- An escape time interpretation of robust control
- Incomplete markets, ambiguity, and irreversible investment
- Uncertain dynamics, correlation effects, and robust investment decisions
- Cash holdings, ambiguity aversion, and investment puzzles
- Distributionally Robust Inventory Control When Demand Is a Martingale
- Arithmetic Brownian motion and real options
- Optimal stopping under ambiguity in continuous time
- Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
- Can properly discounted projects follow geometric Brownian motion?
- Investment under ambiguity with the best and worst in mind
- A model for irreversible investment with construction and revenue uncertainty
- The impact of operational delay on irreversible investment under Knightian uncertainty
- The investment decision analysis of noisy real assets based on real options
- Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition
- IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION
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