Corporate Optimal Investment Under Incomplete Information: A Real Option Method
This paper develops an option pricing model to value a project with taxes and incomplete information. We derive the value of the option to invest in the project and provide the threshold value of the project. Some numerical examples are given to show the characteristics of the optimal investment rule.
Volume (Year): 04 (2012)
Issue (Month): 1 (June)
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- Kang, Jun-Koo & Stulz, Rene M., 1997.
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- Rudiger Dornbusch, 1980. "Exchange Rate Risk and the Macroeconomics of Exchange Rate Determination," NBER Working Papers 0493, National Bureau of Economic Research, Inc.
- Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
- Black, Fischer, 1974. "International capital market equilibrium with investment barriers," Journal of Financial Economics, Elsevier, vol. 1(4), pages 337-352, December.
- Bellalah, Mondher & Jacquillat, Bertrand, 1995. "Option Valuation with Information Costs: Theory and Tests," The Financial Review, Eastern Finance Association, vol. 30(3), pages 617-635, August. Full references (including those not matched with items on IDEAS)
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