Measuring infrastructure investment option value
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
- Macchiarelli, Corrado, 2013.
"Similar GDP-inflation cycles. An application to CEE countries and the euro area,"
Research in International Business and Finance,
Elsevier, vol. 27(1), pages 124-144.
- Macchiarelli, Corrado, 2013. "GDP-Inflation cyclical similarities in the CEE countries and the euro area," Working Paper Series 1552, European Central Bank.
- Stefano Caselli & Stefano Gatti & Antonio Marciante, 2009. "Pricing Final Indemnification Payments to Private Sponsors in Project-Financed Public-Private Partnerships: An Application of Real Options Valuation," Journal of Applied Corporate Finance, Morgan Stanley, vol. 21(3), pages 95-106.
- Merton, Robert C, 1998.
"Applications of Option-Pricing Theory: Twenty-Five Years Later,"
American Economic Review,
American Economic Association, vol. 88(3), pages 323-349, June.
- Merton, Robert C., 1997. "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents 1997-1, Nobel Prize Committee.
- Rajeev J Sawant, 2010. "The economics of large-scale infrastructure FDI: The case of project finance," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 41(6), pages 1036-1055, August.
- Majd, Saman & Pindyck, Robert S., 1987.
"Time to build, option value, and investment decisions,"
Journal of Financial Economics,
Elsevier, vol. 18(1), pages 7-27, March.
- Saman Majd & Robert S. Pindyck, 1985. "Time to Build, Option Value, and Investment Decisions," NBER Working Papers 1654, National Bureau of Economic Research, Inc.
- Christiansen, Charlotte, 2010.
"Mean reversion in US and international short rates,"
The North American Journal of Economics and Finance,
Elsevier, vol. 21(3), pages 286-296, December.
- Charlotte Christiansen, 2008. "Mean Reversion in US and International Short Rates," CREATES Research Papers 2008-47, Department of Economics and Business Economics, Aarhus University.
- Chang, Tsangyao & Ranjbar, Omid & Tang, D.P., 2013. "Revisiting the mean reversion of inflation rates for 22 OECD countries," Economic Modelling, Elsevier, vol. 30(C), pages 245-252.
- Childs, Paul D. & Ott, Steven H. & Triantis, Alexander J., 1998. "Capital Budgeting for Interrelated Projects: A Real Options Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(03), pages 305-334, September.
- Insley, Margaret, 2002. "A Real Options Approach to the Valuation of a Forestry Investment," Journal of Environmental Economics and Management, Elsevier, vol. 44(3), pages 471-492, November.
- James E. Smith & Robert F. Nau, 1995. "Valuing Risky Projects: Option Pricing Theory and Decision Analysis," Management Science, INFORMS, vol. 41(5), pages 795-816, May.
- Michael Garvin & Charles Cheah, 2004. "Valuation techniques for infrastructure investment decisions," Construction Management and Economics, Taylor & Francis Journals, vol. 22(4), pages 373-383.
- Byoun, Soku & Xu, Zhaoxia, 2014. "Contracts, governance, and country risk in project finance: Theory and evidence," Journal of Corporate Finance, Elsevier, vol. 26(C), pages 124-144.
- Jonathan B. Berk, 1999. "A Simple Approach for Deciding When to Invest," American Economic Review, American Economic Association, vol. 89(5), pages 1319-1326, December.
- Gustavo Grullon & Evgeny Lyandres & Alexei Zhdanov, 2012. "Real Options, Volatility, and Stock Returns," Journal of Finance, American Finance Association, vol. 67(4), pages 1499-1537, August.
- Fernández, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2013. "Market Risk Premium Used in 82 Countries in 2012: A Survey with 7,192 Answers," IESE Research Papers D/1059, IESE Business School.
- Frederic Ottesen, 2011. "Infrastructure Needs and Pension Investments: Creating the Perfect Match," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2011(1), pages 97-109.
- Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
- Chan, K C, et al, 1992.
" An Empirical Comparison of Alternative Models of the Short-Term Interest Rate,"
Journal of Finance,
American Finance Association, vol. 47(3), pages 1209-1227, July.
- Tom Doan, "undated". "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
- Robert McDonald & Daniel Siegel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, Oxford University Press, vol. 101(4), pages 707-727.
- Ron Bird & Harry Liem & Susan Thorp, 2011. "Infrastructure: Real Assets and Real Returns," Working Paper Series 11, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
- Richard A. Brealey & Ian A. Cooper & Michel A. Habib, 1996. "Using Project Finance To Fund Infrastructure Investments," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 25-39.
- Pascal Létourneau & Lars Stentoft, 2014. "Refining the least squares Monte Carlo method by imposing structure," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 495-507, March.
- Saphores, Jean-Daniel M. & Boarnet, Marlon G., 2006. "Uncertainty and the timing of an urban congestion relief investment.: The no-land case," Journal of Urban Economics, Elsevier, vol. 59(2), pages 189-208, March.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
- Lars Stentoft, 2004. "Assessing the Least Squares Monte-Carlo Approach to American Option Valuation," Review of Derivatives Research, Springer, vol. 7(2), pages 129-168, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hare, Stephanie, 2016. "For your eyes only: U.S. technology companies, sovereign states, and the battle over data protection," Business Horizons, Elsevier, vol. 59(5), pages 549-561.
More about this item
KeywordsProject finance; Infrastructure; Monte carlo; Real options; Contingent claims analysis; Optimal timing;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jrfpps:v:16:y:2015:i:1:p:49-72. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Virginia Chapman). General contact details of provider: http://www.emeraldinsight.com .