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Comparing Mean Reverting Versus Pure Diffusion Interest Rate Processes in Valuing Postponement Options

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  • Spahr, Ronald W.
  • Schwebach, Robert G.

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  • Spahr, Ronald W. & Schwebach, Robert G., 1998. "Comparing Mean Reverting Versus Pure Diffusion Interest Rate Processes in Valuing Postponement Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 579-598.
    • Handle: RePEc:eee:quaeco:v:38:y:1998:i:3:p:579-598
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    References listed on IDEAS

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    1. 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.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    3. Alexander A. Robichek & James C. Horne, 1967. "Abandonment Value And Capital Budgeting," Journal of Finance, American Finance Association, vol. 22(4), pages 577-589, December.
    4. Bogue, Marcus C & Roll, Richard, 1974. "Capital Budgeting of Risky Projects with "Imperfect" Markets for Physical Capital," Journal of Finance, American Finance Association, vol. 29(2), pages 601-613, May.
    5. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    6. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    7. Robert McDonald & Daniel Siegel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(4), pages 707-727.
    8. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    9. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
    10. Moosa, Imad A & Bhatti, Razzaque H, 1996. "Some Evidence on Mean Reversion in ex ante Real Interest Rates," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(2), pages 177-191, May.
    11. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
    12. 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 637-654, May-June.
    13. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-692, September.
    14. Dyl, Edward A & Long, Hugh W, 1969. "Abandonment Value and Capital Budgeting: Comment," Journal of Finance, American Finance Association, vol. 24(1), pages 88-95, March.
    15. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-621, November.
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    Cited by:

    1. Guedes, José & Santos, Pedro, 2016. "Valuing an offshore oil exploration and production project through real options analysis," Energy Economics, Elsevier, vol. 60(C), pages 377-386.
    2. Ardian, Aldin & Kumral, Mustafa, 2020. "Incorporating stochastic correlations into mining project evaluation using the Jacobi process," Resources Policy, Elsevier, vol. 65(C).
    3. Oliver Musshoff & Norbert Hirschauer, 2008. "Investment planning under uncertainty and flexibility: the case of a purchasable sales contract ," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 52(1), pages 17-36, March.

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