Search Results - subject:"Compound options"

The risk and return of equity and credit index options

Doshi, Hitesh; Ericsson, Jan; Fournier, Mathieu; Seo, … - In: Journal of financial economics 161 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015075691

Extendible stock loan

Wu, Wei-Hwa - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013188336

Managerial incentives to take asset risk

Chesney, Marc; Stromberg, Jacob; Wagner, Alexander F.; … - In: The journal of corporate finance : contracting, … 65 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012424213

Modeling sequential R&D investments: A binomial compound option approach

Hauschild, Bastian; Reimsbach, Daniel - In: Business Research 8 (2015) 1, pp. 39-59

In this paper, we propose a binomial approach to modeling sequential R&D investments. More specifically, we present a compound real options approach, simplifying the existing valuation methodology. Based upon the same set of assumptions as prior models, we show that the number of computational...

Persistent link: https://www.econbiz.de/10011624498

Modeling sequential R&D investments : a binomial compound option approach

Hauschild, Bastian; Reimsbach, Daniel - In: Business research 8 (2015) 1, pp. 39-59

Persistent link: https://www.econbiz.de/10011488061

A robust algorithm for project portfolio selection problem using real options valuation

Montajabiha, Mahsa; Arshadi Khamseh, Alireza; … - In: International Journal of Managing Projects in Business 10 (2017) 2, pp. 386-403

limitation on budget of the organization, an integer programming formulation to maximize the n-fold compound options for project … industry for making decisions. Originality/value The first is the application of the n-fold compound options on portfolio of R …&D projects and the employment of compound options value of a project portfolio as an objective function. The second one is a …

Persistent link: https://www.econbiz.de/10014787085

A robust algorithm for project portfolio selection problem using real options valuation

Montajabiha, Mahsa; Khamseh, Alireza Arshadi; … - In: International journal of managing projects in business 10 (2017) 2, pp. 386-403

Persistent link: https://www.econbiz.de/10011704706

A review of real options approaches : applying models to value a medical device project

Barton, Kelsey; Lawryshyn, Yuri - In: International journal of business innovation and research 11 (2016) 1, pp. 110-132

Persistent link: https://www.econbiz.de/10011667629

Compound option pricing under stochastic volatility

Leccadito, Arturo; Russo, Emilio - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 97-110

Persistent link: https://www.econbiz.de/10011742310

The valuation of N-phased investment projects under jump-diffusion processes

Andergassen, Rainer; Sereno, Luigi - 2010

In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second...

Persistent link: https://www.econbiz.de/10011739826