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Calculating abandonment value using option pricing theory

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  • Myers, Stewart C.
  • Majd, Saman.

Abstract

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Suggested Citation

  • Myers, Stewart C. & Majd, Saman., 1983. "Calculating abandonment value using option pricing theory," Working papers 1462-83., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  • Handle: RePEc:mit:sloanp:2056
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    File URL: http://hdl.handle.net/1721.1/2056
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    References listed on IDEAS

    as
    1. Geske, Robert & Shastri, Kuldeep, 1985. "Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(01), pages 45-71, March.
    2. Brennan, Michael J. & Schwartz, Eduardo S., 1977. "Savings bonds, retractable bonds and callable bonds," Journal of Financial Economics, Elsevier, vol. 5(1), pages 67-88, August.
    3. Geske, Robert, 1978. "The Pricing of Options with Stochastic Dividend Yield," Journal of Finance, American Finance Association, vol. 33(2), pages 617-625, May.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    5. Fischer, Stanley, 1978. "Call Option Pricing when the Exercise Price Is Uncertain, and the Valuation of Index Bonds," Journal of Finance, American Finance Association, vol. 33(1), pages 169-176, March.
    6. Dyl, Edward A & Long, Hugh W, 1969. "Abandonment Value and Capital Budgeting: Comment," Journal of Finance, American Finance Association, vol. 24(1), pages 88-95, March.
    7. Brennan, Michael J. & Schwartz, Eduardo S., 1978. "Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(03), pages 461-474, September.
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    Cited by:

    1. Saman Majd & Stewart C. Myers, 1985. "Valuing the Government's Tax Claim on Risky Corporate Assets," NBER Working Papers 1553, National Bureau of Economic Research, Inc.
    2. 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.
    3. repec:eee:reveco:v:51:y:2017:i:c:p:342-353 is not listed on IDEAS

    More about this item

    Keywords

    HD28 .M414 no.1462-; 83; Capital investments; Capital budget;

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