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Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model

Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106

Persistent link: https://www.econbiz.de/10011392906

Discrete time modeling of mean-reverting stochastic processes for real option valuation

Hahn, Warren J.; Dyer, James S. - In: European journal of operational research : EJOR 184 (2008) 2, pp. 534-548

Persistent link: https://www.econbiz.de/10003768285

Volatility of GDP, macro applications and policy implications of real options for structure of capital markets

Dapena, José Pablo (contributor) - 2006

Persistent link: https://www.econbiz.de/10003333557

Real options in a duopoly market with general volatility structure

Kijima, Masaaki; Shibata, Takashi - In: Recent advances in financial engineering : proceedings …, (pp. 71-89). 2009

Persistent link: https://www.econbiz.de/10003871162

Compound real option valuation with phase-specific volatility : a multi-phase mobile payments case study

Cassimon, Danny; Engelen, Peter-Jan; Yordanov, V. - In: Technovation : the international journal of … 31 (2011) 5/6, pp. 240-255

Persistent link: https://www.econbiz.de/10009304076

Asset pricing in incomplete markets : valuing gas storage capacity

Zhao, Lin; Wijnbergen, Sweder van - 2015

We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...

Persistent link: https://www.econbiz.de/10011333083