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The Worst Case for Real Options
16 references·5 citing·39 second hop
The Worst Case for Real Options (2010)The Worst Case for Real OptionsConsumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…Robustness (2007)RobustnessBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Recursive multiple-priors (2003)Recursive multiple-priorsA Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)A Quartet of Semigroups for M…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyBrownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…The Value of Waiting to Invest (1982)The Value of Waiting to InvestRisk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitDistributionally Robust Inventory Control When Demand Is a Martingale (2022)Distributionally Robust Inven…Optimal stopping under model ambiguity: A time‐consistent equilibrium approach (2021)Optimal stopping under model …Incorporating Knightian uncertainty into real options analysis: Using multiple-priors in the case of rail transit investment (2013)Incorporating Knightian uncer…Incomplete markets, ambiguity, and irreversible investment (2010)Incomplete markets, ambiguity…Attitude toward information and learning under multiple priors (2009)Attitude toward information a…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Capital Theory and Investment Behavior (1963)Option pricing when underlying stock returns are discontinuous (1976)Irreversibility, Uncertainty, and Cyclical Investment (1980)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Joint Ventures and the Option to Expand and Acquire (1991)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Theory of Rational Option Pricing (1973)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Maxmin expected utility with non-unique prior (1989)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Robust Control and Model Uncertainty (2001)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Ambiguity, Information Quality, and Asset Pricing (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Entrepreneurial discovery and the competitive market process: an Austrian approach (2000)Gender Differences in Preferences (2009)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)Capital markets research in accounting (2001)
this work references cited by second hop

References

  • 1921Risk, Uncertainty and Profit9,962 cited
  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2004Arbitrage Theory in Continuous Time940 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 2003Recursive multiple-priors868 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 2007Robustness430 cited

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2013
Incorporating Knightian uncertainty into real options analysis: Using multiple-priors in the case of rail transit investment
38 cited
  • 2010Incomplete markets, ambiguity, and irreversible investment33 cited
  • 2021Optimal stopping under model ambiguity: A time‐consistent equilibrium approach29 cited
  • 2022Distributionally Robust Inventory Control When Demand Is a Martingale18 cited
  • 2009Attitude toward information and learning under multiple priors0 cited