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Pricing real options under the constant elasticity of variance diffusion
16 references·4 citing·31 second hop
Pricing real options under the constant elasticity of variance diffusion (2010)Pricing real options under the constant e…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Calculus for Finance II (2004)Stochastic Calculus for Finan…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…Risk-Neutral Skewness: Evidence from Stock Options (2002)Risk-Neutral Skewness: Eviden…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Investment under Uncertainty (1994)Investment under UncertaintyAn Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …Entry and Exit Decisions under Uncertainty (1989)Entry and Exit Decisions unde…Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Investment and the Valuation …Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…The Value of Waiting to Invest (1982)The Value of Waiting to InvestThe valuation of options for alternative stochastic processes (1976)The valuation of options for …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model (2018)Optimal excess-of-loss reinsu…Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models (2014)Time-Consistent Investment-Re…Pricing and static hedging of American-style options under the jump to default extended CEV model (2013)Pricing and static hedging of…Real option pricing with mean-reverting investment and project value (2011)Real option pricing with mean…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Investment in Human Capital: A Theoretical Analysis (1962)Irreversibility, Uncertainty, and Investment (1990)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Determinants of corporate borrowing (1977)A Theory of the Term Structure of Interest Rates (1985)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)An equilibrium characterization of the term structure (1977)Investment Under Uncertainty. (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Capital markets research in accounting (2001)Policy Uncertainty and Corporate Investment (2015)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1989Entry and Exit Decisions under Uncertainty2,356 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
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  • 1985Investment and the Valuation of Firms When There is an Option to Shut Down759 cited
  • 2004Stochastic Calculus for Finance II748 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2002Risk-Neutral Skewness: Evidence from Stock Options

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Cited by

  • 2014Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models42 cited
  • 2018Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model41 cited
  • 2013Pricing and static hedging of American-style options under the jump to default extended CEV model28 cited
  • 2011Real option pricing with mean-reverting investment and project value27 cited