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A parameter based approach to single factor stochastic process selection for real options applications
Bastian-Pinto, Carlos de Lamare; Brandão, Luiz Eduardo … - In: The European journal of finance 27 (2021) 15, pp. 1533-1552
Persistent link: https://www.econbiz.de/10012653114
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Real options, intellectual property, R&D, geometric Brownian motion, Stackelberg games
Breccia, Adriana - 2019
Persistent link: https://www.econbiz.de/10011988095
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Superiority of Monte Carlo simulation in valuing real options within public-private partnerships
Berk, Ales S.; Podhraski, Dejan - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011859007
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Transition from coal to natural gas power plants under CO2 consideration : a real options approach
Wang, Chung-Hsiao; Min, K. Jo - In: International journal of sustainable economy : IJSE 12 (2020) 4, pp. 344-363
Persistent link: https://www.econbiz.de/10012533186
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A real options model for remanufacturing facility installation decisions
Sadat, Mohammad Ahnaf; Kremer, Gül; Min, K. Jo - In: Decision analytics journal 7 (2023), pp. 1-19
In this paper, we consider a company that can satisfy customers' demands for a product using two alternative sourcing strategies: (1) purchasing new products from outside sources (such as an international partner) or (2) collecting cores (used products) and remanufacturing them. As the purchase...
Persistent link: https://www.econbiz.de/10014436613
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Industrial utilization or storage of CO2? : a compound real options valuation for the retrofitting of coal-fired power plants
Yu, Qinghan; Madlener, Reinhard - 2021
Persistent link: https://www.econbiz.de/10013283910
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Optimal power generation investment : impact of technology choices and existing portfolios for deploying low-carbon coal Technologies
Rohlfs, Wilko; Madlener, Reinhard - 2013
Persistent link: https://www.econbiz.de/10010193232
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Using Fuzzy Real Options Valuation for Assessing Investments in NGCC and CCS Energy Conversion Technology
Madlener, Reinhard; Kraemer, Christian - Institut für Future Energy Consumer Needs and Behavior … - 2009
coal-fired power plant with and without carbon capture and storage (CCS) technology. For the investment analysis under … coal-fired power plant are the most cost-effective options, followed by the two CCS technologies ‘Oxyfuel’ and ‘Pre …-combustion’. In contrast, due to high specific investment costs and significant losses in conversion efficiency, the third CCS option …
Persistent link: https://www.econbiz.de/10008487666
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On oscillations of the geometric Brownian motion with time delayed drift
Küchler, Uwe; Gushchin, Alexander A. - 2003
The geometric Brownian motion is the solution of a linear stochastic differential equation in the Itô-sense. If one adds to the drift term a possible nonlinear time delayed term and starts with a nonnegative initial process then the process generated in this way, may hit zero and may oscillate...
Persistent link: https://www.econbiz.de/10010296444
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Risk measures and portfolio optimization
Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of Risk and Financial Management 7 (2014) 3, pp. 113-129
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...
Persistent link: https://www.econbiz.de/10011843247