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Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: A multi-stage stochastic integer programming approach
16 references·0 citing·44 second hop
Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: A multi-stage stochastic integer programming approach (2018)Valuing portfolios of interdependent real…Non‐additivity in portfolios of exploration activities: a real options‐based analysis of equity alliances in biotechnology (2004)Non‐additivity in portfolios …Real options reasoning and a new look at the R&D investment strategies of pharmaceutical firms (2003)Real options reasoning and a …Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…A Multi-Stage Stochastic Integer Programming Approach for Capacity Expansion under Uncertainty (2003)A Multi-Stage Stochastic Inte…An analysis of a least squares regression method for American option pricing (2002)An analysis of a least square…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…Strategy as a portfolio of real options. (1998)Strategy as a portfolio of re…Numerical Methods in Economics (1998)Numerical Methods in EconomicsThe Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)The Nature of Option Interact…Strategy through the Option Lens: An Integrated View of Resource Investments and the Incremental-Choice Process (1993)Strategy through the Option L…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…Finance Theory and Financial Strategy (1984)Finance Theory and Financial …INTERACTIONS OF CORPORATE FINANCING AND INVESTMENT DECISIONS—IMPLICATIONS FOR CAPITAL BUDGETING (1974)INTERACTIONS OF CORPORATE FIN…The Pricing of Options and Corporate Liabilities (1973)Absorptive Capacity: A New Perspective on Learning and Innovation (1990)Exploration and Exploitation in Organizational Learning (1991)Between Trust and Control: Developing Confidence in Partner Cooperation in Alliances (1998)Managing Firm Resources in Dynamic Environments to Create Value: Looking Inside the Black Box (2007)Resource Dependence Theory: A Review (2009)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)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)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)Martingales and arbitrage in multiperiod securities markets (1979)Learning to trade via direct reinforcement (2001)Optimization under uncertainty: state-of-the-art and opportunities (2003)Pricing American Options: A Duality Approach (2004)Managing as if Tomorrow Mattered (1982)Stocks, bonds, bills, and inflation : the past and the future (1982)Assessing Advantage: A Framework for Diagnosing Competitive Superiority (1988)Joint Ventures and the Option to Expand and Acquire (1991)A general framework for analysing diversity in science, technology and society (2007)Financial statement analysis (2007)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)Corporate Behavior in Adjusting to Capital Structure and Dividend Targets: An Econometric Study (1984)Behavioral Macroeconomics and Macroeconomic Behavior (2002)The cost of capital, corporation finance and the theory of investment (2008)Capital Structure as a Strategic Variable: Evidence from Collective Bargaining (2010)Marketing, Business Processes, and Shareholder Value: An Organizationally Embedded View of Marketing Activities and the Discipline of Marketing (1999)What Is Not a Real Option: Considering Boundaries for the Application of Real Options to Business Strategy (2004)Should we build more large dams? The actual costs of hydropower megaproject development (2014)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Impact of Uncertainty Shocks (2009)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 1998Numerical Methods in Economics2,589 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1993Strategy through the Option Lens: An Integrated View of Resource Investments and the Incremental-Choice Process1,050 cited
  • 1984Finance Theory and Financial Strategy818 cited
  • 1974INTERACTIONS OF CORPORATE FINANCING AND INVESTMENT DECISIONS—IMPLICATIONS FOR CAPITAL BUDGETING755 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 1998Strategy as a portfolio of real options.589 cited
  • 1993The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options544 cited
  • 2003Real options reasoning and a new look at the R&D investment strategies of pharmaceutical firms539 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
  • 2004Non‐additivity in portfolios of exploration activities: a real options‐based analysis of equity alliances in biotechnology435 cited

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  • 2002An analysis of a least squares regression method for American option pricing344 cited
  • 2003A Multi-Stage Stochastic Integer Programming Approach for Capacity Expansion under Uncertainty336 cited
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