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Real options with unknown-date events

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  • Oscar Gutiérrez

    ()

  • Francisco Ruiz-Aliseda

    ()

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File URL: http://hdl.handle.net/10.1007/s10436-010-0153-7
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Bibliographic Info

Article provided by Springer in its journal Annals of Finance.

Volume (Year): 7 (2011)
Issue (Month): 2 (May)
Pages: 171-198

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Handle: RePEc:kap:annfin:v:7:y:2011:i:2:p:171-198

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Web page: http://www.springerlink.com/link.asp?id=112370

Related research

Keywords: Investment under uncertainty; Option value; Simple and compound options; Bad news principle; Hazard rate; D81; G31; L12;

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References

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  1. John Londregan, 1990. "Entry and Exit over the Industry Life Cycle," RAND Journal of Economics, The RAND Corporation, vol. 21(3), pages 446-458, Autumn.
  2. Bernanke, Ben S, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, MIT Press, vol. 98(1), pages 85-106, February.
  3. Óscar Guti�Rrez & Francisco Ruiz-Aliseda, 2009. "Entry Patterns Over The Product Life Cycle," Manchester School, University of Manchester, vol. 77(5), pages 594-610, 09.
  4. Gutierrez, Oscar, 2007. "Devaluating projects and the investment-uncertainty relationship," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3881-3888, December.
  5. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, EconWPA.
  6. Bass, Frank M, 1980. "The Relationship between Diffusion Rates, Experience Curves, and Demand Elasticities for Consumer Durable Technological Innovations," The Journal of Business, University of Chicago Press, vol. 53(3), pages S51-67, July.
  7. Guiso, Luigi & Parigi, Giuseppe, 1996. "Investment and Demand Uncertainty," CEPR Discussion Papers 1497, C.E.P.R. Discussion Papers.
  8. Joe A. Dodson, Jr. & Eitan Muller, 1978. "Models of New Product Diffusion Through Advertising and Word-of-Mouth," Management Science, INFORMS, vol. 24(15), pages 1568-1578, November.
  9. Polli, Rolando & Cook, Victor, 1969. "Validity of the Product Life Cycle," The Journal of Business, University of Chicago Press, vol. 42(4), pages 385-400, October.
  10. Francisco Ruiz-Aliseda & Jianjun Wu, 2007. "Irreversible investment in stochastically cyclical markets," Economics Working Papers 1018, Department of Economics and Business, Universitat Pompeu Fabra.
  11. Steven Klepper & Elizabeth Graddy, 1990. "The Evolution of New Industries and the Determinants of Market Structure," RAND Journal of Economics, The RAND Corporation, vol. 21(1), pages 27-44, Spring.
  12. Helen Weeds, 2002. "Strategic Delay in a Real Options Model of R&D Competition," Review of Economic Studies, Oxford University Press, vol. 69(3), pages 729-747.
  13. Hopenhayn, Hugo A, 1992. "Entry, Exit, and Firm Dynamics in Long Run Equilibrium," Econometrica, Econometric Society, vol. 60(5), pages 1127-50, September.
  14. 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.
  15. Sarkar, Sudipto, 2000. "On the investment-uncertainty relationship in a real options model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(2), pages 219-225, February.
  16. Jovanovic, Boyan, 1982. "Selection and the Evolution of Industry," Econometrica, Econometric Society, vol. 50(3), pages 649-70, May.
  17. Nicolas P. B. Bollen, 1999. "Real Options and Product Life Cycles," Management Science, INFORMS, vol. 45(5), pages 670-684, May.
  18. Gary L. Lilien & Eunsang Yoon, 1990. "The Timing of Competitive Market Entry: An Exploratory Study of New Industrial Products," Management Science, INFORMS, vol. 36(5), pages 568-585, May.
  19. Alessandro Barbarino & Boyan Jovanovic, 2004. "Shakeouts and Market Crashes," NBER Working Papers 10556, National Bureau of Economic Research, Inc.
  20. Gort, Michael & Klepper, Steven, 1982. "Time Paths in the Diffusion of Product Innovations," Economic Journal, Royal Economic Society, vol. 92(367), pages 630-53, September.
  21. Ferderer, J Peter, 1993. "The Impact of Uncertainty on Aggregate Investment Spending: An Empirical Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(1), pages 30-48, February.
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Citations

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Cited by:
  1. Oscar Gutierrez Arnaiz & Francisco Ruiz-Aliseda, 2003. "Entry Patterns over the Product Life Cycle," Discussion Papers 1380, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Christian Flor & Simon Hansen, 2013. "Technological advances and the decision to invest," Annals of Finance, Springer, vol. 9(3), pages 383-420, August.

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