A path-dependent contingent-claims approach to capacity investments

DOI10.1016/J.EJOR.2009.02.029zbMath1177.91122OpenAlexW2003151537MaRDI QIDQ1044172

J. Blot

Publication date: 10 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.02.029

zbMATH Keywords

real optionscapacity decisionspath-dependent contingent-claims

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (7)

Revisiting corporate growth options in the presence of state-dependent cashflow risk ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ A stochastic model with interacting managerial operating options and debt rescheduling ⋮ Real options in operations research: a review ⋮ Outsourcing and capacity planning in an uncertain global environment ⋮ General lattice methods for arithmetic Asian options ⋮ To expand and to abandon: real options under asset variance risk premium

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