Optimal exit and valuation under demand uncertainty: a real options approach

DOI10.1016/S0377-2217(98)00259-8zbMath0935.91016MaRDI QIDQ1296360

Luis H. R. Alvarez

Publication date: 14 May 2000

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

zbMATH Keywords

value functionoption valueoptimal exit strategyoptimal stopping of linear diffusionsvaluation of stochastic cash flows

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (8)

Developing real option game models ⋮ Venture capital evaluation model using real options ⋮ Collaboration in tool development and capacity investments in high technology manufacturing networks ⋮ Capacity choice under uncertainty in a duopoly with endogenous exit ⋮ Multidimensional auctions for long-term procurement contracts with early-exit options: the case of conservation contracts ⋮ The optimal stopping problem revisited ⋮ Real options and the timing of decision for the optimal location under exchange rate uncertainty ⋮ How real option disinvestment flexibility augments project NPV

Cites Work

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• Demand uncertainty and the value of supply opportunities
• Exit strategies and price uncertainty: A Greenian approach
• Investment and the Valuation of Firms When There is an Option to Shut Down
• The Price-Taker: Uncertainty, Utility, and the Supply Function
• Stochastic differential equations. An introduction with applications.

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