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A comment on "An arbitrage-free approach to quasi-option value" by Coggins and Ramezani

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  • Mensink, Paul
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    Abstract

    In their article ?An Arbitrage-Free Approach to Quasi-Option Value? [J. Environm. Econom. Management 35, 103-125, 1998], Coggins and Ramezani interpreted the concept of quasi-option value introduced by Arrow and Fisher [Quart. J. Econom. 88, 1974, 312-319] as being identical to Dixit and Pindyck?s real option value. This means their approach differs from the approach by Fisher and Hanemann [J. Environm. Econom. Management 14, 183-190, 1987] who formalized the concept of quasi-option value a decade before. By indirectly characterizing Dixit and Pindyck?s real option value Coggins and Ramezani confirmed classic results in the field of real options theory. --

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    Paper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2004,06.

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    Date of creation: 2004
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    Handle: RePEc:zbw:cauewp:1937

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    1. Mensink, Paul & Requate, Till, 2003. "The Dixit-Pindyck and the Arrow-Fisher-Hanemann-Henry option values are not equivalent," Economics Working Papers 2003,09, Christian-Albrechts-University of Kiel, Department of Economics.
    2. McDonald, Robert & Siegel, Daniel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 101(4), pages 707-27, November.
    3. Arrow, Kenneth J & Fisher, Anthony C, 1974. "Environmental Preservation, Uncertainty, and Irreversibility," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 88(2), pages 312-19, May.
    4. Henry, Claude, 1974. "Investment Decisions Under Uncertainty: The "Irreversibility Effect."," American Economic Review, American Economic Association, American Economic Association, vol. 64(6), pages 1006-12, December.
    5. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 58(2), pages 135-57, April.
    6. Hanemann, W. Michael, 1989. "Information and the concept of option value," Journal of Environmental Economics and Management, Elsevier, vol. 16(1), pages 23-37, January.
    7. Fisher, Anthony C. & Hanemann, W. Michael, 1987. "Quasi-option value: Some misconceptions dispelled," Journal of Environmental Economics and Management, Elsevier, vol. 14(2), pages 183-190, June.
    8. Sundaresan, S.M., 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Papers, Columbia - Graduate School of Business 00-03, Columbia - Graduate School of Business.
    9. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 229-263, September.
    10. Coggins, Jay S. & Ramezani, Cyrus A., 1998. "An Arbitrage-Free Approach to Quasi-Option Value," Journal of Environmental Economics and Management, Elsevier, vol. 35(2), pages 103-125, March.
    11. Suresh M. Sundaresan, 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, American Finance Association, vol. 55(4), pages 1569-1622, 08.
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