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VaR in real options analysis

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  • Alesii, Giuseppe
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    File URL: http://www.sciencedirect.com/science/article/B6W61-4FSNXY0-2/2/4c0122a8f40933b3fe5863c23533caa9
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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 14 (2005)
    Issue (Month): 3-4 ()
    Pages: 189-208

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    Handle: RePEc:eee:revfin:v:14:y:2005:i:3-4:p:189-208

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    Web page: http://www.elsevier.com/locate/inca/620170

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    1. Luciano, Elisa & Peccati, Lorenzo & Cifarelli, Donato M., 2003. "VaR as a risk measure for multiperiod static inventory models," International Journal of Production Economics, Elsevier, vol. 81(1), pages 375-384, January.
    2. Alfredo Ibáñez, 2002. "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities," Computing in Economics and Finance 2002 114, Society for Computational Economics.
    3. Jostein Tvedt†, 1997. "Valuation of VLCCs under income uncertainty," Maritime Policy & Management, Taylor & Francis Journals, vol. 24(2), pages 159-174, January.
    4. Kevin Cullinane & Photis M Panayides, 2000. "The Use of Capital Budgeting Techniques among UK-based Ship Operators," Maritime Economics and Logistics, Palgrave Macmillan, vol. 2(4), pages 313-330, December.
    5. Ibáñez, Alfredo & Zapatero, Fernando, 2004. "Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 253-275, June.
    6. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-57, April.
    7. Stephen Godfrey & Ramon Espinosa, 1998. "Value-At-Risk And Corporate Valuation," Journal of Applied Corporate Finance, Morgan Stanley, vol. 10(4), pages 108-115.
    8. Schwartz, Eduardo S & Moon, Mark, 2001. "Rational Pricing of Internet Companies Revisited," The Financial Review, Eastern Finance Association, vol. 36(4), pages 7-25, November.
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    Cited by:
    1. Jørgensen, Peter Løchte & De Giovanni, Domenico, 2008. "Time Charters with Purchase Options in Shipping: Valuation and Risk Management," Finance Research Group Working Papers F-2008-05, University of Aarhus, Aarhus School of Business, Department of Business Studies.

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