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The valuation of multidimensional American real options using the LSM simulation method

Cortazar, Gonzalo; Gravet, Miguel; Urzua, Jorge - In: Computers & operations research : and their … 35 (2008) 1, pp. 113-129

Persistent link: https://www.econbiz.de/10003665868

An N-factor Gaussian model of oil futures prices

Cortazar, Gonzalo; Naranjo, Lorenzo - In: The journal of futures markets 26 (2006) 3, pp. 243-268

Persistent link: https://www.econbiz.de/10003303997

Risk management with thinly traded securities : methodology and implementation

Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...

Persistent link: https://www.econbiz.de/10011303812

Thinly traded securities and risk management

Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - In: Estudios de economía 41 (2014) 1, pp. 5-48

Persistent link: https://www.econbiz.de/10010385821

Optimal timing of a mine expansion : implementing a real optaions model

Cortazar, Gonzalo; Casassus, Jaime - In: The quarterly review of economics and finance : journal … 38 (1998) Special issue, pp. 755-769

Persistent link: https://www.econbiz.de/10001473135

The real option value of free trade agreements

Cortazar, Gonzalo - In: Estudios de economía 20 (1994) 2, pp. 413-427

Persistent link: https://www.econbiz.de/10001161773

A compound option model for evaluating multistage natural resource investments

Cortazar, Gonzalo; Casassus, Jaime - In: Project flexibility, agency, and competition : new …, (pp. 205-223). 2000

Persistent link: https://www.econbiz.de/10001680724

Optimal decision policy for real options under general Markovian dynamics

Cortazar, Gonzalo; Naranjo, Lorenzo; Sainz, Felipe - In: European journal of operational research : EJOR 288 (2021) 2, pp. 634-647

Persistent link: https://www.econbiz.de/10012439274

Learning and index option returns

Bernales, Alejandro; Cortazar, Gonzalo; Salamunic, Luka; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 327-339

Persistent link: https://www.econbiz.de/10012262478

Modeling and predicting oil VIX: internet search volume versus traditional mariables

Campos, I.; Cortazar, Gonzalo; Reyes, T. - In: Energy economics 66 (2017), pp. 194-204

Persistent link: https://www.econbiz.de/10011896450