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)
|Contact details of provider:|| Postal: |
Web page: http://www.fin.ase.ro/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Black, Fischer, 1974. "International capital market equilibrium with investment barriers," Journal of Financial Economics, Elsevier, vol. 1(4), pages 337-352, December.
- Rudiger Dornbusch, 1980. "Exchange Rate Risk and the Macroeconomics of Exchange Rate Determination," NBER Working Papers 0493, National Bureau of Economic Research, Inc.
- Kang, Jun-Koo & Stulz, Rene M., 1997.
"Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan,"
Journal of Financial Economics,
Elsevier, vol. 46(1), pages 3-28, October.
- Jun-Koo Kang & Rene M. Stulz, 1995. "Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan," NBER Working Papers 5166, 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.
- Bellalah, Mondher & Jacquillat, Bertrand, 1995. "Option Valuation with Information Costs: Theory and Tests," The Financial Review, Eastern Finance Association, vol. 30(3), pages 617-35, August.
When requesting a correction, please mention this item's handle: RePEc:rfb:journl:v:04:y:2012:i:1:p:007-014. 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: (Tatu Lucian)
If references are entirely missing, you can add them using this form.