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General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion
16 references·0 citing·41 second hop
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References

  • 1994Investment Under Uncertainty.9,566 cited
  • 1980Irreversibility, Uncertainty, and Cyclical Investment4,169 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2002Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms600 cited
  • 1996Options, the Value of Capital, and Investment491 cited
  • 2002Non-Gaussian Merton-Black-Scholes Theory414 cited
  • 1997Investment in technological innovations: An option pricing approach358 cited
  • 2003Russian and American put options under exponential phase-type Lévy models339 cited
  • 1998Challenges to the practical implementation of modeling and valuing real options333 cited
  • 1993Investment in Competitive Equilibrium: The Optimality of Myopic Behavior310 cited
  • 2004Closed-Form Solutions for Perpetual American Put Options with Regime Switching228 cited
  • 1999The effects of irreversibility and uncertainty on capital accumulation214 cited
  • 2004Strategic Investment201 cited
  • 2002Perpetual American Options Under Lévy Processes181 cited

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  • 1995Investment under alternative return assumptions Comparing random walks and mean reversion161 cited
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