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Valuing uncertain asset cash flows when there are no options: A real options approach

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  • Samis, Michael
  • Davis, Graham A.
  • Laughton, David
  • Poulin, Richard

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  • Samis, Michael & Davis, Graham A. & Laughton, David & Poulin, Richard, 2005. "Valuing uncertain asset cash flows when there are no options: A real options approach," Resources Policy, Elsevier, vol. 30(4), pages 285-298, December.
  • Handle: RePEc:eee:jrpoli:v:30:y:2005:i:4:p:285-298
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    References listed on IDEAS

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    1. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474, June.
    2. Myers, Stewart C & Turnbull, Stuart M, 1977. "Capital Budgeting and the Capital Asset Pricing Model: Good News and Bad News," Journal of Finance, American Finance Association, vol. 32(2), pages 321-333, May.
    3. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-157, April.
    4. Fama, Eugene F., 1977. "Risk-adjusted discount rates and capital budgeting under uncertainty," Journal of Financial Economics, Elsevier, vol. 5(1), pages 3-24, August.
    5. Mardones, JoseLuis, 1993. "Option valuation of real assets : Application to a copper mine with operating flexibility," Resources Policy, Elsevier, pages 51-65.
    6. Gordon Salahor, 1998. "Implications of Output Price Risk and Operating Leverage for the Evaluation of Petroleum Development Projects," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 13-46.
    7. Mackie-Mason, Jeffrey K., 1990. "Some nonlinear tax effects on asset values and investment decisions under uncertainty," Journal of Public Economics, Elsevier, pages 301-327.
    8. Abdel Sabour, Sabry A., 1999. "Decision making with option pricing and dynamic programming: development and application," Resources Policy, Elsevier, pages 257-264.
    9. Humphreys, David, 1996. "New approaches to valuation: a mining company perspective : Valuing risk and flexibility: a comparison of methods (by Nathalie Moyen, Margaret Slade and Raman Uppal)," Resources Policy, Elsevier, pages 75-77.
    10. David G. Laughton & Henry D. Jacoby, 1993. "Reversion, Timing Options, and Long-Term Decision-Making," Financial Management, Financial Management Association, vol. 22(3), Fall.
    11. Tracy R. Lewis & Richard Schmalensee, 1980. "On Oligopolistic Markets for Nonrenewable Natural Resources," The Quarterly Journal of Economics, Oxford University Press, pages 475-491.
    12. Paul G. Bradley, 1998. "On the Use of Modern Asset Pricing for Comparing Alternative Royalty Systems for Petroleum Development Projects," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 47-81.
    13. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
    14. 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.
    15. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-973, July.
    16. Frimpong, Samuel & Whiting, Jerry M, 1997. "Derivative mine valuation: strategic investment decisions in competitive markets," Resources Policy, Elsevier, pages 163-171.
    17. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    18. Abdel Sabour, S. A., 2001. "Dynamics of threshold prices for optimal switches: the case of mining," Resources Policy, Elsevier, pages 209-214.
    19. Winsen, Joseph K., 1996. "Project NPV as a portfolio of derivative securities A discrete time analysis," Resources Policy, Elsevier, pages 161-171.
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    Citations

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    Cited by:

    1. Fan, Ying & Mo, Jian-Lei & Zhu, Lei, 2013. "Evaluating coal bed methane investment in China based on a real options model," Resources Policy, Elsevier, pages 50-59.
    2. Costa Lima, Gabriel A. & Suslick, Saul B., 2006. "Estimating the volatility of mining projects considering price and operating cost uncertainties," Resources Policy, Elsevier, vol. 31(2), pages 86-94, June.
    3. Lin, Tyrone T. & Ko, Chuan-Chuan & Yeh, Hsin-Ni, 2007. "Applying real options in investment decisions relating to environmental pollution," Energy Policy, Elsevier, vol. 35(4), pages 2426-2432, April.
    4. Dimitrakopoulos, Roussos G. & Abdel Sabour, Sabry A., 2007. "Evaluating mine plans under uncertainty: Can the real options make a difference?," Resources Policy, Elsevier, vol. 32(3), pages 116-125, September.
    5. repec:eee:ecmode:v:64:y:2017:i:c:p:211-220 is not listed on IDEAS
    6. Lin, Tyrone T. & Huang, Shio-Ling, 2010. "An entry and exit model on the energy-saving investment strategy with real options," Energy Policy, Elsevier, vol. 38(2), pages 794-802, February.

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