Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/9166
Registo completo
Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Dias, J. C. | - |
dc.contributor.author | Nunes, J. P. | - |
dc.date.accessioned | 2015-07-03T16:51:12Z | - |
dc.date.available | 2015-07-03T16:51:12Z | - |
dc.date.issued | 2011 | - |
dc.identifier.issn | 0270-7314 | por |
dc.identifier.uri | https://ciencia.iscte-iul.pt/public/pub/id/9533 | - |
dc.identifier.uri | http://hdl.handle.net/10071/9166 | - |
dc.description | WOS:000286492000002 (Nº de Acesso Web of Science) | - |
dc.description.abstract | Much of the work on real options assumes that the underlying state variable follows a geometric Brownian motion with constant volatility. This paper uses a more general assumption for the state variable process that better captures the empirical regularities found in commodity markets. We use the constant elasticity of variance diffusion, where volatility is a function of underlying asset prices, and we provide analytic solutions for perpetual American options. We show that a firm that uses the standard lognormal assumption is exposed to significant errors of analysis, which may lead to nonoptimal investment and disinvestment decisions. | por |
dc.language.iso | eng | por |
dc.publisher | Wiley-Blackwell | por |
dc.rights | embargoedAccess | por |
dc.title | Pricing real options under the constant elasticity of variance diffusion | por |
dc.type | article | en_US |
dc.pagination | 230-250 | por |
dc.publicationstatus | Publicado | por |
dc.peerreviewed | Sim | por |
dc.journal | Journal of Futures Markets | por |
dc.distribution | Internacional | por |
dc.volume | 31 | por |
dc.number | 3 | por |
degois.publication.firstPage | 230 | por |
degois.publication.lastPage | 250 | por |
degois.publication.issue | 3 | por |
degois.publication.title | Journal of Futures Markets | por |
dc.date.updated | 2015-07-03T16:49:06Z | - |
dc.identifier.doi | 10.1002/fut.20468 | - |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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publisher_version_Dias_et_al_2011_Journal_of_Futures_Markets.pdf Restricted Access | 149,15 kB | Adobe PDF | Ver/Abrir Request a copy |
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