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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Vydané v:	The European journal of finance Ročník 19; číslo 7-8; s. 625 - 644
Hlavní autori:	Jaimungal, Sebastian, de Souza, Max O., Zubelli, Jorge P.
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	London Routledge 01.09.2013 Taylor & Francis LLC
Predmet:	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
On-line prístup:	Získať plný text
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