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Valuing uncertain asset cash flows when there are no options: A real options approach
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Valuing uncertain asset cash flows when there are no options: A real options approach (2005)Valuing uncertain asset cash flows when t…International Financial Management (2022)International Financial Manag…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Real options: Managerial flexibility and strategy in resource allocation (1996)Real options: Managerial flex…Real Options: Managerial Flexibility and Strategy in Resource Allocation (1996)Real Options: Managerial Flex…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Reversion, Timing Options, and Long-Term Decision-Making (1993)Reversion, Timing Options, an…Some nonlinear tax effects on asset values and investment decisions under uncertainty (1990)Some nonlinear tax effects on…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…The relation between forward prices and futures prices (1981)The relation between forward …Principles of Corporate Finance. (1981)Principles of Corporate Finan…Option pricing: A simplified approach (1979)Option pricing: A simplified …Risk-adjusted discount rates and capital budgeting under uncertainty (1977)Risk-adjusted discount rates …CAPITAL BUDGETING AND THE CAPITAL ASSET PRICING MODEL: GOOD NEWS AND BAD NEWS (1977)CAPITAL BUDGETING AND THE CAP…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Economic Evaluation of Oil and Gas Projects: Justification of Engineering Solutions in the Implementation of Field Development Projects (2022)Economic Evaluation of Oil an…Taxation and Investment Decisions in Petroleum (2018)Taxation and Investment Decis…Towards sustainable mining (Part I): Valuing investment opportunities in the mining sector (2017)Towards sustainable mining (P…Real options in metal mining project valuation: Review of literature (2016)Real options in metal mining …Evaluation of a mining project under the joint effect of commodity price and exchange rate uncertainties using real options valuation (2016)Evaluation of a mining projec…The real option value of mining operations using mean-reverting commodity prices (2014)The real option value of mini…Evaluation of the mining projects under economic uncertainties using multidimensional binomial tree (2014)Evaluation of the mining proj…Evaluating coal bed methane investment in China based on a real options model (2012)Evaluating coal bed methane i…Determination of the effect of operating cost uncertainty on mining project evaluation (2012)Determination of the effect o…Robust net present value (2011)Robust net present value7 Evaluating fiscal regimes for resource projects: an example from oil development (2010)7 Evaluating fiscal regimes f…An entry and exit model on the energy-saving investment strategy with real options (2009)An entry and exit model on th…Adjusted Real Option Valuation to Maximise Mining Project Value - A Case Study Using Century Mine (2009)Adjusted Real Option Valuatio…Estimating the volatility of mining projects considering price and operating cost uncertainties (2006)Estimating the volatility of …Applying real options in investment decisions relating to environmental pollution (2006)Applying real options in inve…Using Real Options to Value and Manage Exploration (2005)Using Real Options to Value a…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE 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.] (1975)Prices for State-Contingent Claims: Some Estimates and Applications (1978)Residual Earnings Valuation With Risk and Stochastic Interest Rates (1999)A real options evaluation model for the diffusion prospects of new renewable power generation technologies (2006)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Determinants of corporate borrowing (1977)Entry and Exit Decisions under Uncertainty (1989)Irreversibility, Uncertainty, and Investment (1990)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)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Theory of rational option pricing (2005)Information, Blockbusters and Stars? A Study of the Film Industry (1997)Real options reasoning and a new look at the R&D investment strategies of pharmaceutical firms (2003)Real options theory in strategic management (2016)What IsNotA Real Option: Considering Boundaries for the Application of Real Options to Business Strategy (2004)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)The Capital Structure Puzzle (1984)The Determinants of Capital Structure Choice (1988)The theory and practice of corporate finance: evidence from the field (2001)
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References

  • 1994Investment Under Uncertainty.9,497 cited
  • 1979Option pricing: A simplified approach6,103 cited
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  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1996Real Options: Managerial Flexibility and Strategy in Resource Allocation2,220 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1996Real options: Managerial flexibility and strategy in resource allocation1,241 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1977Risk-adjusted discount rates and capital budgeting under uncertainty392 cited
  • 1977CAPITAL BUDGETING AND THE CAPITAL ASSET PRICING MODEL: GOOD NEWS AND BAD NEWS347 cited
  • 2022International Financial Management175 cited
  • 1993Reversion, Timing Options, and Long-Term Decision-Making123 cited
  • 1990Some nonlinear tax effects on asset values and investment decisions under uncertainty85 cited

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  • 2014The real option value of mining operations using mean-reverting commodity prices

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  • 2012Determination of the effect of operating cost uncertainty on mining project evaluation60 cited
  • 2017Towards sustainable mining (Part I): Valuing investment opportunities in the mining sector53 cited
  • 2006Applying real options in investment decisions relating to environmental pollution49 cited
  • 2022Economic Evaluation of Oil and Gas Projects: Justification of Engineering Solutions in the Implementation of Field Development Projects38 cited
  • 2009Adjusted Real Option Valuation to Maximise Mining Project Value - A Case Study Using Century Mine37 cited
  • 2012Evaluating coal bed methane investment in China based on a real options model36 cited
  • 2011Robust net present value36 cited
  • 20107 Evaluating fiscal regimes for resource projects: an example from oil development34 cited
  • 2014Evaluation of the mining projects under economic uncertainties using multidimensional binomial tree33 cited
  • 2009An entry and exit model on the energy-saving investment strategy with real options32 cited
  • 2005Using Real Options to Value and Manage Exploration32 cited
  • 2018Taxation and Investment Decisions in Petroleum31 cited
  • 2016Evaluation of a mining project under the joint effect of commodity price and exchange rate uncertainties using real options valuation28 cited