The worst case for real options

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

zbMATH Keywords

real optionsambiguity aversionmarket price of riskendogenous discount factorex post analysis

Mathematics Subject Classification ID

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

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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?)
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• 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
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• Risk, uncertainty, and option exercise
• Robust control and model misspecification
• Robust control and recursive utility
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• The effect of mean reversion on investment under uncertainty
• Valuing the option to invest in an incomplete market

Cited In (17)

• An escape time interpretation of robust control
• Incomplete markets, ambiguity, and irreversible investment
• Decision-making in incomplete markets with ambiguity -- a case study of a gas field acquisition
• 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
• Irreversible investments and ambiguity aversion
• 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
• Optimal investment under ambiguous technology shocks
• Fear of the market or fear of the competitor? Ambiguity in a real options game

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