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Using Binomial Decision Trees to Solve Real-Option Valuation Problems
16 references·16 citing·31 second hopsampled
Using Binomial Decision Trees to Solve Real-Option Valuation Problems (2005)Using Binomial Decision Trees to Solve Re…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments (1999)Options in the Real World: Le…Strategy as a portfolio of real options. (1998)Strategy as a portfolio of re…Investment Opportunities as Real Options: Getting Started on the Numbers (1998)Investment Opportunities as R…Financial markets and corporate strategy (1997)Financial markets and corpora…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…Valuing Risky Projects: Option Pricing Theory and Decision Analysis (1995)Valuing Risky Projects: Optio…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyEvaluating Natural Resource Investments (1985)Evaluating Natural Resource I…The Value of Waiting to Invest (1982)The Value of Waiting to InvestOption pricing: A simplified approach (1979)Option pricing: A simplified …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Feasibility of re-processing mine tailings to obtain critical raw materials using real options analysis (2021)Feasibility of re-processing …Valuing investment decisions of renewable energy projects considering changing volatility (2020)Valuing investment decisions …An approach for analyzing and managing flexibility in engineering systems design based on decision rules and multistage stochastic programming (2016)An approach for analyzing and…A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems (2015)A critical review of Real Opt…Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options (2014)Comparison of Least Squares M…Volatility estimation for stochastic project value models (2012)Volatility estimation for sto…Real Options in Enterprise Architecture: A Holistic Mapping of Mechanisms and Types for Uncertainty Management (2011)Real Options in Enterprise Ar…Arithmetic Brownian motion and real options (2011)Arithmetic Brownian motion an…Renewable energy policy evaluation using real option model — The case of Taiwan (2010)Renewable energy policy evalu…Evaluating system dynamics models of risky projects using decision trees: alternative energy projects as an illustrative example (2010)Evaluating system dynamics mo…Valuing interdependent multi-stage IT investments: A real options approach (2009)Valuing interdependent multi-…The dynamics of Industrial Product Service Systems (IPS2) – using the Net Present Value Approach and Real Options Approach to improve life cycle management (2009)The dynamics of Industrial Pr…Resource Allocation Decisions (2007)Resource Allocation DecisionsDiscrete time modeling of mean-reverting stochastic processes for real option valuation (2007)Discrete time modeling of mea…Response to Comments on Brandão et al. (2005) (2005)Response to Comments on Brand…Alternative Approaches for Solving Real-Options Problems (2005)Alternative Approaches for So…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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Determinants of corporate borrowing (1977)A Theory of the Term Structure of Interest Rates (1985)Entry and Exit Decisions under Uncertainty (1989)Irreversibility, Uncertainty, and Investment (1990)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)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)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Capital markets research in accounting (2001)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1996Real Options: Managerial Flexibility and Strategy in Resource Allocation2,220 cited
  • 1996Real options: Managerial flexibility and strategy in resource allocation1,241 cited
  • 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices1,098 cited
  • 1998Strategy as a portfolio of real options.589 cited
  • 1997Financial markets and corporate strategy552 cited
  • 1995Valuing Risky Projects: Option Pricing Theory and Decision Analysis536 cited
  • 1998Investment Opportunities as Real Options: Getting Started on the Numbers532 cited
  • 1999Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments

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246 cited

Cited by

  • 2010Renewable energy policy evaluation using real option model — The case of Taiwan154 cited
  • 2005Alternative Approaches for Solving Real-Options Problems148 cited
  • 2015A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems124 cited
  • 2007Discrete time modeling of mean-reverting stochastic processes for real option valuation106 cited
  • 2007Resource Allocation Decisions103 cited
  • 2021Feasibility of re-processing mine tailings to obtain critical raw materials using real options analysis90 cited
  • 2014Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options83 cited
  • 2020Valuing investment decisions of renewable energy projects considering changing volatility68 cited
  • 2012Volatility estimation for stochastic project value models67 cited
  • 2016An approach for analyzing and managing flexibility in engineering systems design based on decision rules and multistage stochastic programming65 cited
  • 2009Valuing interdependent multi-stage IT investments: A real options approach55 cited
  • 2011Real Options in Enterprise Architecture: A Holistic Mapping of Mechanisms and Types for Uncertainty Management54 cited
  • 2010Evaluating system dynamics models of risky projects using decision trees: alternative energy projects as an illustrative example52 cited
  • 2009The dynamics of Industrial Product Service Systems (IPS2) – using the Net Present Value Approach and Real Options Approach to improve life cycle management51 cited
  • 2011Arithmetic Brownian motion and real options44 cited
  • 2005Response to Comments on Brandão et al. (2005)43 cited