Alexander, David Richard; Mo, Mengjia; Stent, Alan Fraser - In: European Journal of Operational Research 219 (2012) 1, pp. 114-122
We treat real option value when the underlying process is arithmetic Brownian motion (ABM). In contrast to the more common assumption of geometric Brownian motion (GBM) and multiplicative diffusion, with ABM the underlying project value is expressed as an additive process. Its variance remains...