VaR in real options analysis
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References listed on IDEAS
- Alfredo Ibáñez, 2004.
"Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities,"
Wiley Blackwell, pages 223-248.
- Alfredo Ibáñez, 2002. "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities," Computing in Economics and Finance 2002 114, Society for Computational Economics.
- Luciano, Elisa & Peccati, Lorenzo & Cifarelli, Donato M., 2003. "VaR as a risk measure for multiperiod static inventory models," International Journal of Production Economics, Elsevier, vol. 81(1), pages 375-384, January.
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- Ibáñez, Alfredo & Zapatero, Fernando, 2004. "Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 253-275, June.
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- Stephen Godfrey & Ramon Espinosa, 1998. "Value-At-Risk And Corporate Valuation," Journal of Applied Corporate Finance, Morgan Stanley, vol. 10(4), pages 108-115.
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- Møller, Stig Vinther, 2009.
"Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns,"
Journal of Empirical Finance,
Elsevier, pages 525-536.
- Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, Department of Economics and Business Economics, Aarhus University.
- Jørgensen, Peter Løchte & De Giovanni, Domenico, 2008. "Time Charters with Purchase Options in Shipping: Valuation and Risk Management," Finance Research Group Working Papers F-2008-05, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Peter Løchte Jørgensen & Domenico De Giovanni, 2010. "Time Charters with Purchase Options in Shipping: Valuation and Risk Management," Applied Mathematical Finance, Taylor & Francis Journals, pages 399-430.
- Abadie, Luis M. & Chamorro, José M., 2009.
"Income risk of EU coal-fired power plants after Kyoto,"
Elsevier, vol. 37(12), pages 5304-5316, December.
- Abadie, Luis María & Chamorro Gómez, José Manuel, 2008. "Income risk of EU coal-fired power plants after Kyoto," IKERLANAK 2008-33, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
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