Recommendations
- WORST-CASE SCENARIOS FOR AMERICAN OPTIONS
- Real options illustrated
- Real Options and Risk Dynamics
- THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS
- Real Options
- Portfolios of real options
- Real options with priced regime-switching risk
- The real option value of cash
- Real options with constant relative risk aversion
- An experimental study on real-options strategies
Cites work
- scientific article; zbMATH DE number 4078444 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- A two-person dynamic equilibrium under ambiguity
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Arbitrage Theory in Continuous Time
- Dynamic asset pricing theory with uncertain time-horizon
- Finite project life and uncertainty effects on investment
- IID: Independently and indistinguishably distributed.
- Irreversible investment and Knightian uncertainty
- Irreversible investment and discounting: an arbitrage pricing approach
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Optimal Stopping With Multiple Priors
- Option exercise with temptation
- Recursive multiple-priors.
- Risk, ambiguity and the Savage axioms
- Risk, uncertainty, and option exercise
- Robust control and model misspecification
- Robust control and recursive utility
- Stochastic calculus for finance. II: Continuous-time models.
- The effect of mean reversion on investment under uncertainty
- Valuing the option to invest in an incomplete market
Cited in
(17)- The impact of operational delay on irreversible investment under Knightian uncertainty
- A model for irreversible investment with construction and revenue uncertainty
- Optimal investment under ambiguous technology shocks
- Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
- Fear of the market or fear of the competitor? Ambiguity in a real options game
- An escape time interpretation of robust control
- Irreversible investments and ambiguity aversion
- Incomplete markets, ambiguity, and irreversible investment
- Can properly discounted projects follow geometric Brownian motion?
- Uncertain dynamics, correlation effects, and robust investment decisions
- Decision-making in incomplete markets with ambiguity -- a case study of a gas field acquisition
- Investment under ambiguity with the best and worst in mind
- The investment decision analysis of noisy real assets based on real options
- Optimal stopping under ambiguity in continuous time
- Arithmetic Brownian motion and real options
- Cash holdings, ambiguity aversion, and investment puzzles
- Distributionally Robust Inventory Control When Demand Is a Martingale
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