Discrete time modeling of mean-reverting stochastic processes for real option valuation

DOI10.1016/j.ejor.2006.11.015zbMath1149.90352OpenAlexW2163722560MaRDI QIDQ2384621

Warren J. Hahn, James S. Dyer

Publication date: 10 October 2007

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.11.015

zbMATH Keywords

stochastic processesfinanceDecision analysisOR in energy

Mathematics Subject Classification ID

Related Items (12)

Risk induced resource dependency in capacity investments ⋮ A real options approach for joint overhaul and replacement strategies with mean reverting prices ⋮ A review of the operations literature on real options in energy ⋮ Gas storage valuation applying numerically constructed recombining trees ⋮ Comparison of least squares Monte Carlo methods with applications to energy real options ⋮ Valuation of power plants ⋮ Real options in operations research: a review ⋮ Switching from oil to gas production in a depleting field ⋮ A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes ⋮ American options and stochastic interest rates ⋮ To expand and to abandon: real options under asset variance risk premium

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Decision analysis and real options: a discrete time approach to real option valuation
• Valuation of Commodity-Based Swing Options
• Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments
• Option pricing: A simplified approach
• Valuing managerial flexibility: an application of real-option theory to mining investments

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