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acessibilidade

http://hdl.handle.net/10071/9166
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acessibilidade
DC FieldValueLanguage
dc.contributor.authorDias, J. C.-
dc.contributor.authorNunes, J. P.-
dc.date.accessioned2015-07-03T16:51:12Z-
dc.date.available2015-07-03T16:51:12Z-
dc.date.issued2011-
dc.identifier.issn0270-7314por
dc.identifier.urihttps://ciencia.iscte-iul.pt/public/pub/id/9533-
dc.identifier.urihttp://hdl.handle.net/10071/9166-
dc.descriptionWOS:000286492000002 (Nº de Acesso Web of Science)-
dc.description.abstractMuch 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.isoengpor
dc.publisherWiley-Blackwellpor
dc.rightsembargoedAccesspor
dc.titlePricing real options under the constant elasticity of variance diffusionpor
dc.typearticleen_US
dc.pagination230-250por
dc.publicationstatusPublicadopor
dc.peerreviewedSimpor
dc.journalJournal of Futures Marketspor
dc.distributionInternacionalpor
dc.volume31por
dc.number3por
degois.publication.firstPage230por
degois.publication.lastPage250por
degois.publication.issue3por
degois.publication.titleJournal of Futures Marketspor
dc.date.updated2015-07-03T16:49:06Z-
dc.identifier.doi10.1002/fut.20468-
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

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