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Real option valuation in a Gollier/Weitzman world : the effect of long-run discount rate uncertainty
Tandja M., Djerry C.; Power, Gabriel J.; Bastien, Josée - In: The energy journal 39 (2018) 5, pp. 21-53
Persistent link: https://www.econbiz.de/10011903842
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Yes, we should discount the far-distant future at its lowest possible rate : a resolution of the Weitzman-Gollier puzzle
Freeman, Mark C. - 2009
In this paper the author proves that the Expected Net Future Value (ENFV) criterion can lead a risk neutral social planner to reject projects that increase expected utility. By contrast, the Expected Net Present Value (ENPV) rule correctly identifies the economic value of the project. While the...
Persistent link: https://www.econbiz.de/10003881275
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Yes, we should discount the far-distant future at its lowest possible rate : a resolution of the Weitzman-Gollier puzzle
Freeman, Mark C. - 2010
In this paper the author proves that the Expected Net Future Value (ENFV) criterion can lead a risk neutral social planner to reject projects that increase expected utility. By contrast, the Expected Net Present Value (ENPV) rule correctly identifies the economic value of the project. While the...
Persistent link: https://www.econbiz.de/10003957019
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Zinsstrukturbasierte Margenkalkulation : Anwendungen in der Marktzinsmethode und bei der Analyse von Investitionsprojekten
Körnert, Jan; Lohmann, Karl - 2000
Persistent link: https://www.econbiz.de/10001475349
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Yes, We Should Discount the Far-Distant Future at its Lowest Possible Rate : A Resolution of the Weitzman-Gollier Puzzle
Freeman, Mark C. - 2011
In this paper the author proves that the Expected Net Future Value (ENFV) criterion can lead a risk neutral social planner to reject projects that increase expected utility. By contrast, the Expected Net Present Value (ENPV) rule correctly identifies the economic value of the project. While the...
Persistent link: https://www.econbiz.de/10013132088
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Yes, We Should Discount the Far-Distant Future at its Lowest Possible Rate : A Resolution of the Weitzman-Gollier Puzzle
Freeman, Mark C. - 2011
In this paper the author proves that the Expected Net Future Value (ENFV) criterion can lead a risk neutral social planner to reject projects that increase expected utility. By contrast, the Expected Net Present Value (ENPV) rule correctly identifies the economic value of the project. While the...
Persistent link: https://www.econbiz.de/10013132179
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Real Options Valuation : The Importance of Interest Rate Modelling in Theory and Practice
Schulmerich, Marcus (contributor) - 2005
This book analyzes real options valuation for non-constant versus constant interest rates using simulation and historical backtesting. Several real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are...
Persistent link: https://www.econbiz.de/10014014074
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Volatility transmission along the money market yield curve
Ayuso, Juan; Haldane, Andrew G.; Restoy, Fernando - 1994
Persistent link: https://www.econbiz.de/10000883633
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An empirical analysis of the pricing of interest rate caps
Jegadeesh, Narasimhan - 1994
Persistent link: https://www.econbiz.de/10000885251