We develop a dynamic investment options model with optimal capital structure and evaluate the effect of time-to-build on firm value and leverage choices. With time-to-build the firm increases initial leverage in order to reduce the impact of delayed cash flows resulting from time-to-build. The...

A binomial lattice based framework for the analysis of finite investment options with finite operational phase is developed. Numerical results show that optimal leverage ratios are not affected by option moneyness at the investment trigger and leverage ratios are lower when the operational phase...

We propose a new method to assess sovereign risk in Eurozone countries using an approach that relies on consistent tests for stochastic dominance efficiency. The test statistics and the estimators are computed using mixed integer programming methods. Our analysis is based on macroeconomic...