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A modified finite-lived American exchange option methodology applied to real options valuation

  • Armada, Manuel Rocha
  • Kryzanowski, Lawrence
  • Pereira, Paulo Jorge

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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 17 (2007)
Issue (Month): 3 (March)
Pages: 419-438

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Handle: RePEc:eee:glofin:v:17:y:2007:i:3:p:419-438
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  1. Dixit, A., 1988. "Entry And Exit Decisions Under Uncertainty," Papers 91, Princeton, Department of Economics - Financial Research Center.
  2. repec:tpr:qjecon:v:101:y:1986:i:4:p:707-27 is not listed on IDEAS
  3. Majd, Saman & Pindyck, Robert S., 1987. "Time to build, option value, and investment decisions," Journal of Financial Economics, Elsevier, vol. 18(1), pages 7-27, March.
  4. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
  5. McDonald, Robert L & Siegel, Daniel R, 1985. "Investment and the Valuation of Firms When There Is an Option to Shut Down," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 331-49, June.
  6. Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1992. "Waiting to Invest: Investment and Uncertainty," The Journal of Business, University of Chicago Press, vol. 65(1), pages 1-29, January.
  7. Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-24, December.
  8. Davis, Graham A., 1998. "Estimating Volatility and Dividend Yield When Valuing Real Options to Invest or Abandon," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 725-754.
  9. Pindyck, Robert S., 1993. "Investments of uncertain cost," Journal of Financial Economics, Elsevier, vol. 34(1), pages 53-76, August.
  10. 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.
  11. Moon Hoe Lee, 1997. "Valuing Finite-Maturity Investment-Timing Options," Financial Management, Financial Management Association, vol. 26(2), Summer.
  12. Carr, Peter P, 1988. " The Valuation of Sequential Exchange Opportunities," Journal of Finance, American Finance Association, vol. 43(5), pages 1235-56, December.
  13. Trigeorgis, Lenos, 1991. "Anticipated competitive entry and early preemptive investment in deferrable projects," Journal of Economics and Business, Elsevier, vol. 43(2), pages 143-156, May.
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