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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. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Stephen Godfrey & Ramon Espinosa, 1998. "Value-At-Risk And Corporate Valuation," Journal of Applied Corporate Finance, Morgan Stanley, vol. 10(4), pages 108-115.
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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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