Volatility estimation for stochastic project value models

DOI10.1016/j.ejor.2012.01.059zbMath1253.91196OpenAlexW2110726861MaRDI QIDQ1926781

Warren J. Hahn, James S. Dyer, Luiz E. Brandão

Publication date: 29 December 2012

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.01.059

zbMATH Keywords

simulationreal optionsvolatilityinvestment decisions

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (4)

Lexicographic solution of two-objective project planning problem under constrained reliability index ⋮ Real options in operations research: a review ⋮ To expand and to abandon: real options under asset variance risk premium ⋮ A real options approach to labour shifts planning under different service level targets

Cites Work

• Investment timing and optimal capacity choice for small hydropower projects
• How real option disinvestment flexibility augments project NPV
• Option pricing: A simplified approach
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