The worst case for real options

DOI10.1007/s10957-010-9687-0zbMath1208.91156OpenAlexW2000948330MaRDI QIDQ613589

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

zbMATH Keywords

real optionsambiguity aversionmarket price of riskendogenous discount factorex post analysis

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50) Actuarial science and mathematical finance (91G99)

Related Items (12)

Uncertain dynamics, correlation effects, and robust investment decisions ⋮ Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition ⋮ The impact of operational delay on irreversible investment under Knightian uncertainty ⋮ A model for irreversible investment with construction and revenue uncertainty ⋮ Investment under ambiguity with the best and worst in mind ⋮ Optimal stopping under model ambiguity: A time‐consistent equilibrium approach ⋮ Cash holdings, ambiguity aversion, and investment puzzles ⋮ IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION ⋮ Optimal stopping under ambiguity in continuous time ⋮ An escape time interpretation of robust control ⋮ Incomplete markets, ambiguity, and irreversible investment ⋮ Distributionally Robust Inventory Control When Demand Is a Martingale

Cites Work

• Unnamed Item
• Unnamed Item
• Risk, uncertainty, and option exercise
• Irreversible investment and discounting: an arbitrage pricing approach
• Finite project life and uncertainty effects on investment
• Valuing the option to invest in an incomplete market
• A two-person dynamic equilibrium under ambiguity
• The effect of mean reversion on investment under uncertainty
• Dynamic asset pricing theory with uncertain time-horizon
• Recursive multiple-priors.
• IID: Independently and indistinguishably distributed.
• Robust control and recursive utility
• Stochastic calculus for finance. II: Continuous-time models.
• Irreversible investment and Knightian uncertainty
• Option exercise with temptation
• Robust control and model misspecification
• Risk, Ambiguity, and the Savage Axioms
• Optimal Stopping With Multiple Priors
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Arbitrage Theory in Continuous Time

This page was built for publication: The worst case for real options