Real option pricing with mean-reverting investment and project value

In this work, we are concerned with valuing the option to invest in a project when the project value and the investment cost are both mean-reverting. Previous works on stochastic project and investment cost concentrate on geometric Brownian motions (GBMs) for driving the factors. However, when the p...

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Bibliographic Details
Published in:	The European journal of finance Vol. 19; no. 7-8; pp. 625 - 644
Main Authors:	Jaimungal, Sebastian, de Souza, Max O., Zubelli, Jorge P.
Format:	Journal Article
Language:	English
Published:	London Routledge 01.09.2013 Taylor & Francis LLC
Subjects:	Algorithms Approximation C6 (Mathematical Methods and Programming) Commodities Derivatives Development projects Fourier transforms Investment investment under uncertainty Investments Mathematical problems Mathematics Maturity mean-reverting Pricing real options Securities prices stochastic investment Stochastic models Studies Valuation Value
ISSN:	1351-847X, 1466-4364
Online Access:	Get full text
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