Pinto, Helena; Howell, Sydney; Paxson, Dean - In: The European Journal of Finance 15 (2009) 2, pp. 105-118
Birth and death may be a better model than Brownian motion for many physical processes, which real options models will increasingly need to deal with. In this paper, we value a perpetual American call option, which gives the monopoly right to invest in a market in which the number of active...
