European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in … costs in standard discounted cash flow techniques and present the basic concepts of real options. The justification of … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We …