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VaR in real options analysis

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  • Alesii, Giuseppe

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  • Alesii, Giuseppe, 2005. "VaR in real options analysis," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 189-208.
  • Handle: RePEc:eee:revfin:v:14:y:2005:i:3-4:p:189-208
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    References listed on IDEAS

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    1. Alfredo Ibáñez, 2004. "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 223-248.
    2. 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.
    3. Schwartz, Eduardo S & Moon, Mark, 2001. "Rational Pricing of Internet Companies Revisited," The Financial Review, Eastern Finance Association, vol. 36(4), pages 7-25, November.
    4. 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.
    5. 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.
    6. Jostein Tvedt†, 1997. "Valuation of VLCCs under income uncertainty," Maritime Policy & Management, Taylor & Francis Journals, vol. 24(2), pages 159-174, January.
    7. Kevin Cullinane & Photis M Panayides, 2000. "The Use of Capital Budgeting Techniques among UK-based Ship Operators," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 2(4), pages 313-330, December.
    8. 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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    Cited by:

    1. Peter Løchte Jørgensen & Domenico De Giovanni, 2010. "Time Charters with Purchase Options in Shipping: Valuation and Risk Management," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(5), pages 399-430.
    2. Abadie, Luis M. & Chamorro, José M., 2009. "Income risk of EU coal-fired power plants after Kyoto," Energy Policy, Elsevier, vol. 37(12), pages 5304-5316, December.

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