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Smooth pasting as rate of return equalization

  • Shackleton, Mark B.
  • Sodal, Sigbjorn

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File URL: http://www.sciencedirect.com/science/article/B6V84-4GV8T02-4/2/2dd8133bc93c825917d8bfb83e82a1a6
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 89 (2005)
Issue (Month): 2 (November)
Pages: 200-206

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Handle: RePEc:eee:ecolet:v:89:y:2005:i:2:p:200-206
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-20, June.
  2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  3. Dixit, Avinash & Pindyck, Robert S & Sodal, Sigbjorn, 1999. "A Markup Interpretation of Optimal Investment Rules," Economic Journal, Royal Economic Society, vol. 109(455), pages 179-89, April.
  4. Mark Shackleton & Rafal Wojakowski, 2002. "The Expected Return and Exercise Time of Merton-style Real Options," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 29(3&4), pages 541-555.
  5. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  6. 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.
  7. Dumas, Bernard, 1991. "Super contact and related optimality conditions," Journal of Economic Dynamics and Control, Elsevier, vol. 15(4), pages 675-685, October.
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