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Real options and American derivatives : the double continuation region
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - In: Management science : journal of the Institute for … 61 (2015) 5, pp. 1094-1107
Persistent link: https://www.econbiz.de/10011284877
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Real options and American derivatives : the double continuation region
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - 2013 - This version: July, 2013
Persistent link: https://www.econbiz.de/10011817721
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Case studies on real options
Kemna, Angelien G. Z. - In: Real options and investment under uncertainty : …, (pp. 641-662). 2004
Persistent link: https://www.econbiz.de/10002363237
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The value of switching inputs in a biodiesel production plant
Brandão, Luiz Eduardo Teixeira; Penedo, Gilberto Master; … - In: The European journal of finance 19 (2013) 7/8, pp. 674-688
Persistent link: https://www.econbiz.de/10010244742
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Evaluating the economy embedded in the Brazilian ethanol-gasoline flex-fuel car : a Real Options approach
Samanez, Carlos P.; Ferreira, Léo da R.; Nascimento, … - In: Applied economics 46 (2014) 13/15, pp. 1565-1581
Persistent link: https://www.econbiz.de/10010412451
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The value of switching production options in a flexible biorefinery
Hossiso, Kassu Wamisho; Ripplinger, David - In: Agricultural and resource economics review : ARER 46 (2017) 1, pp. 146-173
Persistent link: https://www.econbiz.de/10011734501
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An option to cheat : an application of option theory to realize flipping in underpricing
Stojkovic, Jovan - 2013
The paper proposes a novel direction to rationalize and quantify investors' flipping behavior and its effect on underpricing in IPOs through the use of a structural approach mode. The outcome is a proxy value that replicates investors' flipping behavior. When tested empirically, the model...
Persistent link: https://www.econbiz.de/10010258983
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A probabilistic Monte Carlo model for pricing discrete barrier and compound real options
Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: Journal of derivatives & hedge funds 20 (2014) 2, pp. 113-126
Persistent link: https://www.econbiz.de/10010462984
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Optimal investment under cost uncertainty
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Risks : open access journal 6 (2018) 1, pp. 1-19
This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation …. All formulas are in closed form. The behavior of optimal investment boundaries and valuation components are examined. …
Persistent link: https://www.econbiz.de/10011811536
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Equilibrium and Real Options in the Ethanol Industry : Modelling and Empirical Evidence
Davison, Matt - 2020
In the last twenty years a large number of competitive ethanol firms have established operations in the US. Ethanol, produced from corn, is blended with pure gasoline to produce fuel. Producers hold an option to turn off unprofitable plants. Blenders choose to substitute ethanol for gasoline at...
Persistent link: https://www.econbiz.de/10012850541