Article1995

Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-Or-Pay

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77 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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Andrew C. Thompson, Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-Or-Pay, The Journal of Financial and Quantitative Analysis, Vol. 30, No. 2 (Jun., 1995), pp. 271-293

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References

1979Option pricing: A simplified approach 1985Evaluating Natural Resource Investments 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims 1987Time to build, option value, and investment decisions 1988Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases 1985Vertical Integration and Long-term Contracts: The Case of Coal-burning Electric Generating Plants 1976The Supply of Storage 1990Valuing Derivative Securities Using the Explicit Finite Difference Method

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