Cassimon, D.; De Backer, M.; Engelen, P.J.; Van Wouwe, M.; … - In: Research Policy 40 (2011) 9, pp. 1200-1216
compound option models, a crucial problem is how to deal with the different types of risk. Previous models, such as Cassimon et … al. (2004), offer a closed-form solution for the valuation of a new drug development using a generalized n-fold compound … option model, but implicitly bundle both commercial and technical risk in one risk measure. We extend this model by …