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The valuation of modular projects: A real options approach to the value of splitting

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  • Rodrigues, Artur
  • Armada, Manuel J. Rocha
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    File URL: http://www.sciencedirect.com/science/article/B6W4F-4NC4M97-4/2/4e97c24dd6effbe734a2a906f0a7e25e
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    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 18 (2007)
    Issue (Month): 2 ()
    Pages: 205-227

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    Handle: RePEc:eee:glofin:v:18:y:2007:i:2:p:205-227

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    Web page: http://www.elsevier.com/locate/inca/620162

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    1. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
    2. Carriere, Jacques F., 1996. "Valuation of the early-exercise price for options using simulations and nonparametric regression," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 19-30, December.
    3. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
    4. McDonald, Robert & Siegel, Daniel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, MIT Press, vol. 101(4), pages 707-27, November.
    5. Childs, Paul D. & Ott, Steven H. & Triantis, Alexander J., 1998. "Capital Budgeting for Interrelated Projects: A Real Options Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(03), pages 305-334, September.
    6. Boyle, Phelim P., 1977. "Options: A Monte Carlo approach," Journal of Financial Economics, Elsevier, vol. 4(3), pages 323-338, May.
    7. Trigeorgis, Lenos, 1991. "A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 309-326, September.
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    Cited by:
    1. Andrea Gamba & Nicola Fusari, 2009. "Valuing Modularity as a Real Option," Management Science, INFORMS, vol. 55(11), pages 1877-1896, November.

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