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Estimating Volatility and Dividend Yield When Valuing Real Options to Invest or Abandon

  • Davis, Graham A.

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File URL: http://www.sciencedirect.com/science/article/B6W5X-3YCDH23-D/2/50333cc78b02f2aa5b73c61131a17cbe
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Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 38 (1998)
Issue (Month): 3, Part 2 ()
Pages: 725-754

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Handle: RePEc:eee:quaeco:v:38:y:1998:i:3:p:725-754
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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  1. 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 923-73, July.
  2. Han T.J. Smit, 1997. "Investment Analysis of Offshore Concessions in the Netherlands," Financial Management, Financial Management Association, vol. 26(2), Summer.
  3. Graham A. Davis, 1996. "Option Premiums in Mineral Asset Pricing: Are They Important?," Land Economics, University of Wisconsin Press, vol. 72(2), pages 167-186.
  4. Cairns, Robert D., 1998. "Sufficient conditions for a class of investment problems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(1), pages 55-69, September.
  5. Saman Majd & Robert S. Pindyck, 1985. "Time to Build, Option Value, and Investment Decisions," NBER Working Papers 1654, National Bureau of Economic Research, Inc.
  6. Jarrow, Robert & Rudd, Andrew, 1982. "Approximate option valuation for arbitrary stochastic processes," Journal of Financial Economics, Elsevier, vol. 10(3), pages 347-369, November.
  7. 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.
  8. 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.
  9. Blose, Laurence E. & Shieh, Joseph C. P., 1995. "The impact of gold price on the value of gold mining stock," Review of Financial Economics, Elsevier, vol. 4(2), pages 125-139.
  10. Brennan, Michael J, 1990. " Latent Assets," Journal of Finance, American Finance Association, vol. 45(3), pages 709-30, July.
  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. Gibson, Rajna & Schwartz, Eduardo S, 1990. " Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, vol. 45(3), pages 959-76, July.
  13. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
  14. Elizabeth Olmsted Teisberg, 1994. "An Option Valuation Analysis of Investment Choices by a Regulated Firm," Management Science, INFORMS, vol. 40(4), pages 535-548, April.
  15. Peter Tufano, 1998. "The Determinants of Stock Price Exposure: Financial Engineering and the Gold Mining Industry," Journal of Finance, American Finance Association, vol. 53(3), pages 1015-1052, 06.
  16. 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.
  17. Eric Pickles & James L. Smith, 1993. "Petroleum Property Valuation: A Binomial Lattice Implementation of Option Pricing Theory," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 1-26.
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