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An Arbitrage-Free Approach to Quasi-Option Value

  • Coggins, Jay S.
  • Ramezani, Cyrus A.

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File URL: http://www.sciencedirect.com/science/article/B6WJ6-45J59X4-X/2/8700f24272e3804f2e8852c419a3ef6a
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Article provided by Elsevier in its journal Journal of Environmental Economics and Management.

Volume (Year): 35 (1998)
Issue (Month): 2 (March)
Pages: 103-125

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Handle: RePEc:eee:jeeman:v:35:y:1998:i:2:p:103-125
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622870

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  1. Schmalensee, Richard, 1972. "Option Demand and Consumer's Surplus: Valuing Price Changes under Uncertainty," American Economic Review, American Economic Association, vol. 62(5), pages 813-24, December.
  2. Reed, William J., 1993. "The decision to conserve or harvest old-growth forest," Ecological Economics, Elsevier, vol. 8(1), pages 45-69, August.
  3. Bohm, Peter, 1975. "Option Demand and Consumer's Surplus: Comment," American Economic Review, American Economic Association, vol. 65(4), pages 733-36, September.
  4. 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.
  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. Arrow, Kenneth J & Kurz, Mordecai, 1970. "Optimal Growth with Irreversible Investment in a Ramsey Model," Econometrica, Econometric Society, vol. 38(2), pages 331-44, March.
  7. 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.
  8. Saman Majd & Robert S. Pindyck, 1985. "Time to Build, Option Value, and Investment Decisions," NBER Working Papers 1654, National Bureau of Economic Research, Inc.
  9. Arrow, Kenneth J & Fisher, Anthony C, 1974. "Environmental Preservation, Uncertainty, and Irreversibility," The Quarterly Journal of Economics, MIT Press, vol. 88(2), pages 312-19, May.
  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. 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.
  12. 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.
  13. Conrad, Jon M., 1997. "On the option value of old-growth forest," Ecological Economics, Elsevier, vol. 22(2), pages 97-102, August.
  14. F. Christian Zinkhan, 1991. "Option Pricing and Timberland's Land-Use Conversion Option," Land Economics, University of Wisconsin Press, vol. 67(3), pages 317-325.
  15. Paddock, James L & Siegel, Daniel R & Smith, James L, 1988. "Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases," The Quarterly Journal of Economics, MIT Press, vol. 103(3), pages 479-508, August.
  16. Dennis C. Cory & Bonnie Colby Saliba, 1987. "Requiem for Option Value," Land Economics, University of Wisconsin Press, vol. 63(1), pages 1-10.
  17. Bernanke, Ben S, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, MIT Press, vol. 98(1), pages 85-106, February.
  18. Richard C. Bishop, 1982. "Option Value: An Exposition and Extension," Land Economics, University of Wisconsin Press, vol. 58(1), pages 1-15.
  19. 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.
  20. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
  21. Graham, Daniel A, 1981. "Cost-Benefit Analysis under Uncertainty," American Economic Review, American Economic Association, vol. 71(4), pages 715-25, September.
  22. Conrad, Jon M, 1980. "Quasi-Option Value and the Expected Value of Information," The Quarterly Journal of Economics, MIT Press, vol. 94(4), pages 813-20, June.
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