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Project options valuation with net present value and decision tree analysis · Study

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Project options valuation with net present value and decision tree analysis

Bert De Reyck, Zeger Degraeve, Roger J. Vandenborre

2006-12-23articleEuropean Journal of Operational Research95 citationsgreen

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Capital Investment and Risk Analysis Stochastic processes and financial applications Risk and Portfolio Optimization

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Citations in this library

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]

1979Option pricing: A simplified approach

1979Martingales and arbitrage in multiperiod securities markets

1976The valuation of options for alternative stochastic processes

1996Real Options: Managerial Flexibility and Strategy in Resource Allocation

1996Real options: Managerial flexibility and strategy in resource allocation

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Details

Year2006

Typearticle

VenueEuropean Journal of Operational Research

Languageen

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Identifiers

doi10.1016/j.ejor.2006.07.047

openalex_workW2000751189

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