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Applications of Option-Pricing Theory: Twenty-Five Years Later

Citations

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Cited by:

  1. Beatriz Mota Aragón, 2011. "Capital Investments and Real Options: New Proposals," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 65-76.
  2. Baldwin, Carliss & Hienerth, Christoph & von Hippel, Eric, 2006. "How user innovations become commercial products: A theoretical investigation and case study," Research Policy, Elsevier, vol. 35(9), pages 1291-1313, November.
  3. Conrad, Jon M. & Lopez, Andres, 2000. "Stochastic Water Quality: The Timing and Option Value of Treatment," Working Papers 127675, Cornell University, Department of Applied Economics and Management.
  4. Tangian, Andranik, 2008. "Predicting DAX trends from Dow Jones data by methods of the mathematical theory of democracy," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1632-1662, March.
  5. Stuart Holland & Teresa Carla Oliveira, 2013. "Missing Links: Hume, Smith, Kant and Economic Methodology," Economic Thought, World Economics Association, vol. 2(2), pages 1-46, October.
  6. Mufaddal Baxamusa & Sudip Datta & Anand Jha, 2021. "Does policy uncertainty increase relational risks? Evidence from strategic alliances," Financial Management, Financial Management Association International, vol. 50(3), pages 645-689, September.
  7. William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Futures and Credit Default Swaps," Post-Print hal-01410748, HAL.
  8. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175.
  9. Don M. Chance & Eric Hillebrand & Jimmy E. Hilliard, 2008. "Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue," Management Science, INFORMS, vol. 54(5), pages 1015-1028, May.
  10. Arnd Huchzermeier & Christoph H. Loch, 2001. "Project Management Under Risk: Using the Real Options Approach to Evaluate Flexibility in R...D," Management Science, INFORMS, vol. 47(1), pages 85-101, January.
  11. Gabriel J Power & Charli D. Tandja M. & Josée Bastien & Philippe Grégoire, 2015. "Measuring infrastructure investment option value," Journal of Risk Finance, Emerald Group Publishing, vol. 16(1), pages 49-72, January.
  12. Rachel Kreier & Bhaswati Sengupta, 2015. "Income, Health, and the Value of Preserving Options," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 43(4), pages 431-448, December.
  13. Brian Loasby, 1999. "Making Connections - A Review of Neil M. Kay, Pattern in Corporate Evolution," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 6(3), pages 439-452.
  14. Lambrecht, Bart M., 2017. "Real options in finance," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 166-171.
  15. V. Bosetti & J.M. Conrad & E. Messinat, 2004. "The Value of Flexibility: Preservation, Remediation, or Development for Ginostra?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 29(2), pages 219-229, October.
  16. repec:vuw:vuwscr:19091 is not listed on IDEAS
  17. Rutger-Jan Lange & Coen N. Teulings, 2021. "The option value of vacant land: Don't build when demand for housing is booming," Tinbergen Institute Discussion Papers 21-022/IV, Tinbergen Institute.
  18. Doriana Ruffino & Jonathan Treussard, 2006. "Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach," Boston University - Department of Economics - Working Papers Series WP2006-044, Boston University - Department of Economics.
  19. Xiaozhong Liang, 2005. "The Behavior of Banks under the Deposit Insurance and Capital Requirements," Computing in Economics and Finance 2005 407, Society for Computational Economics.
  20. repec:dau:papers:123456789/3018 is not listed on IDEAS
  21. Niels C. Thygesen & Robert N. McCauley & Guonan Ma & William R. White & Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae & Ernest Gnan & Morten Balling & Paul , 2013. "50 Years of Money and Finance: Lessons and Challenges," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan, March.
  22. Esteban Pérez Caldentey & Matías Vernengo, 2010. "Modern Finance, Methodology and the Global Crisis," Working Paper Series, Department of Economics, University of Utah 2010_04, University of Utah, Department of Economics.
  23. Justus Wesseler, 2002. "The Option Value of Scientific Uncertainty on Pest - Resistance Development of Transgenic Crops," Others 0207005, University Library of Munich, Germany.
  24. Streissler, Erich W., 2001. "Globalizáció, tőkepiacok és az állam szerepe [Globalization, capital markets and the role of the state]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 1-17.
  25. Shakill Hassan, 2005. "Optimal timing of defections from price-setting cartels in volatile markets," Working Papers 003, Economic Research Southern Africa.
  26. Olkhov, Victor, 2016. "Finance, risk and economic space," MPRA Paper 87172, University Library of Munich, Germany.
  27. A. Bernales, 2014. "The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings," Working papers 495, Banque de France.
  28. Richard E. Stewart & Barbara D. Stewart, 2001. "The Loss of the Certainty Effect," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 4(2), pages 29-49, September.
  29. Mr. Papa M N'Diaye, 2009. "Countercyclical Macro Prudential Policies in a Supporting Role to Monetary Policy," IMF Working Papers 2009/257, International Monetary Fund.
  30. Hart E. Posen & Michael J. Leiblein & John S. Chen, 2018. "Toward a behavioral theory of real options: Noisy signals, bias, and learning," Strategic Management Journal, Wiley Blackwell, vol. 39(4), pages 1112-1138, April.
  31. Alfredo M. Pereira & M. Sean Tarter, 2022. "An Unhedgeable Black–Scholes–Merton Implicit Option?," Risks, MDPI, vol. 10(7), pages 1-12, June.
  32. Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 105431, University Library of Munich, Germany, revised 28 Dec 2020.
  33. Li, Yong & James, Barclay & Madhavan, Ravi & Mahoney, Joseph T., 2006. "Real Options: Taking Stock and Looking Ahead," Working Papers 06-0114, University of Illinois at Urbana-Champaign, College of Business.
  34. Huimin Yao & Frederik Pretorius, 2014. "Demand Uncertainty, Development Timing and Leasehold Land Valuation: Empirical Testing of Real Options in Residential Real Estate Development," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(4), pages 829-868, December.
  35. Chevalier-Roignant, Benoît & Flath, Christoph M. & Huchzermeier, Arnd & Trigeorgis, Lenos, 2011. "Strategic investment under uncertainty: A synthesis," European Journal of Operational Research, Elsevier, vol. 215(3), pages 639-650, December.
  36. Villinski, Michele T., 1999. "A Numerical Quadrature Approach To Option Valuation In Water Markets," 1999 Annual meeting, August 8-11, Nashville, TN 21708, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  37. Sogiakas, Vasilios & Karathanassis, George, 2015. "Informational efficiency and spurious spillover effects between spot and derivatives markets," Global Finance Journal, Elsevier, vol. 27(C), pages 46-72.
  38. Alfredo Ibáñez, 2008. "The cross-section of average delta-hedge option returns under stochastic volatility," Review of Derivatives Research, Springer, vol. 11(3), pages 205-244, October.
  39. Aerdt Houben & Jan Kakes & Garry Schinasi, 2004. "Towards a framework for financial stability," DNB Occasional Studies 201, Netherlands Central Bank, Research Department.
  40. Myers, Robert J. & Liu, Yanyan & Hanson, Steven D., 2005. "How Should We Value Agricultural Insurance Contracts," 2005 Annual meeting, July 24-27, Providence, RI 19561, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  41. Stuart Holland & Andrew Black, 2018. "Cherchez la Firme: Redressing the Missing – Meso – Middle in Mainstream Economics," Economic Thought, World Economics Association, vol. 7(2), pages 15-53, November.
  42. Jan Vlachý, 2009. "Strategie podniku a finanční teorie [Corporate strategy and financial theory]," Politická ekonomie, Prague University of Economics and Business, vol. 2009(2), pages 147-162.
  43. Wesseler, J. & Weichert, M., 1999. "Der Wert zusätzlicher Informationen bei Investitionsentscheidungen mit einem hohen Grad an Irreversibilität," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 35.
  44. Mondher bellalah, 2018. "Pricing derivatives in the presence of shadow costs of incomplete information and short sales," Annals of Operations Research, Springer, vol. 262(2), pages 389-411, March.
  45. Bos, Frits & Zwaneveld, Peter, 2014. "Reële opties en de waarde van flexibiliteit bij natte infrastructuur [Real options analysis and the value of flexibility for (wet) infrastructure]," MPRA Paper 61506, University Library of Munich, Germany.
  46. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall.
  47. Seiji Harikae & James S. Dyer & Tianyang Wang, 2021. "Valuing Real Options in the Volatile Real World," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 171-189, January.
  48. Coleman Bazelon & Kent Smetters, 1999. "Discounting Inside the Washington D.C. Beltway," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 213-228, Fall.
  49. Gillian Garcia & Henriëtte Prast, 2004. "Depositor and investor protection in the Netherlands: past, present and future," DNB Occasional Studies 202, Netherlands Central Bank, Research Department.
  50. Otto Konstandatos & Timothy J Kyng, 2012. "Real Options Analysis for Commodity Based Mining Enterprises with Compound and Barrier Features," Published Paper Series 2012-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  51. Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 311-325, February.
  52. D. G. Luenberger, 2004. "Pricing a Nontradeable Asset and Its Derivatives," Journal of Optimization Theory and Applications, Springer, vol. 121(3), pages 465-487, June.
  53. Jorge de Andrés-Sánchez, 2023. "Fuzzy Random Option Pricing in Continuous Time: A Systematic Review and an Extension of Vasicek’s Equilibrium Model of the Term Structure," Mathematics, MDPI, vol. 11(11), pages 1-21, May.
  54. Manuel Munoz Palma & Ezequiel Aviles Ochoa, 2014. "Addition Of The Fuzzy Logic Model To Black-Scholes, For Pricing Mexican Currency Options, La Incorporacion De La Logica Difusa Al Modelo Black-Scholes, Para La Determinacion Del Precio De La Opcion Ca," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(7), pages 55-73.
  55. Guthrie, Graeme, 2007. "Missed Opportunities: Optimal Investment Timing When Information is Costly," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(2), pages 467-488, June.
  56. Marcel Philipp Müller & Sebastian Stöckl & Steffen Zimmermann & Bernd Heinrich, 2016. "Decision Support for IT Investment Projects," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 58(6), pages 381-396, December.
  57. Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2015. "Corporate Social Responsibility: A Real Options Approach to the Challenge of Financial Sustainability," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-37, May.
  58. Villinski, Michele T., 1999. "A Numerical Quadrature Approach to Option Valuation in Water Markets," 1999 Annual meeting, August 8-11, Nashville, TN 271489, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  59. Mondher Bellalah, 2018. "On information costs, short sales and the pricing of extendible options, steps and Parisian options," Annals of Operations Research, Springer, vol. 262(2), pages 361-387, March.
  60. Alejandro Bernales & Massimo Guidolin, 2013. "The Effects of Information Asymmetries on the Success of Stock Option Listings," Working Papers 484, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  61. Shin S. Ikeda, 2013. "A Contingent Claim Analysis of Suicide," GRIPS Discussion Papers 13-05, National Graduate Institute for Policy Studies.
  62. Markel, Evan & Sims, Charles & English, Burton C., 2016. "Examining the effects of uncertainty on second-generation biofuel investment by using a two stochastic process approach," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235827, Agricultural and Applied Economics Association.
  63. Bellalah, Mondher, 2016. "Shadow costs of incomplete information and short sales in the valuation of the firm and its assets," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 406-419.
  64. Olkhov, Victor, 2016. "On Economic Space notion," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 372-381.
  65. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc.
  66. Onno Lint & Enrico Pennings & Martin Natter, 1999. "Optionsmanagement in F&E: Eine Fallstudie," Schmalenbach Journal of Business Research, Springer, vol. 51(10), pages 990-1006, October.
  67. Wesseler, Justus, 2009. "The Santaniello theorem of irreversible benefits," MPRA Paper 25602, University Library of Munich, Germany.
  68. Adrian POP, 2005. "La Politique de Dette Subordonnée comme alternative au IIIè Pilier de Bâle II : est-elle faisable?," Discussion Papers (REL - Recherches Economiques de Louvain) 2005023, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  69. Li, Hongshan & Huang, Zhongyi, 2020. "An iterative splitting method for pricing European options under the Heston model☆," Applied Mathematics and Computation, Elsevier, vol. 387(C).
  70. Siziba, Simiso & Hall, John Henry, 2021. "The evolution of the application of capital budgeting techniques in enterprises," Global Finance Journal, Elsevier, vol. 47(C).
  71. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
  72. Villinski, Michele T., 2003. "A Methodology For Valuing Multiple-Exercise Option Contracts For Water," Working Papers 14379, University of Minnesota, Center for International Food and Agricultural Policy.
  73. Guthrie, Graeme, 2005. "Missed Opportunities: Optimal Investment Timing when Information is Costly," Working Paper Series 19091, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  74. Otto Konstandatos & Timothy Kyng, 2012. "Real Options Analysis for Commodity Based Mining Enterprises with Compound and Barrier Features," Accounting and Finance Research, Sciedu Press, vol. 1(2), pages 216-216, November.
  75. Jaewoo Lee, 2009. "Option Pricing Approach to International Reserves," Review of International Economics, Wiley Blackwell, vol. 17(4), pages 844-860, September.
  76. Kim, Bongsun & Kim, Eonsoo & Miller, Douglas J. & Mahoney, Joseph T., 2016. "The impact of the timing of patents on innovation performance," Research Policy, Elsevier, vol. 45(4), pages 914-928.
  77. Plato, Gerald E., 2001. "The Soybean Processing Decision: Exercising A Real Option On Processing Margins," Technical Bulletins 33567, United States Department of Agriculture, Economic Research Service.
  78. Sanjay Kallapur & Leslie Eldenburg, 2005. "Uncertainty, Real Options, and Cost Behavior: Evidence from Washington State Hospitals," Journal of Accounting Research, Wiley Blackwell, vol. 43(5), pages 735-752, December.
  79. Wesseler, Justus, 2000. "Temporal Uncertainty And Irreversibility: A Theoretical Framework For The Decision To Approve The Release Of Transgenic Crops," Transitions in Agbiotech: Economics of Strategy and Policy, June 24-25, 1999, Washington, D.C. 26010, Regional Research Project NE-165 Private Strategies, Public Policies, and Food System Performance.
  80. Timothy Riddiough & Paul Childs & Steven Ott, 2001. "Noise, Real Estate Markets, and Options on Real Assets: Applications," Wisconsin-Madison CULER working papers 01-06, University of Wisconsin Center for Urban Land Economic Research.
  81. Ibáñez, Alfredo, 2005. "Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach," DEE - Working Papers. Business Economics. WB wb058121, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  82. Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013. "On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks," Papers 1301.4881, arXiv.org, revised Feb 2013.
  83. Jack Clark Francis & Arie Harel & Giora Harpaz, 2010. "Actuarially Fair Premia for Deductible Insurance Policies," The American Economist, Sage Publications, vol. 55(2), pages 83-91, November.
  84. Lukáš Kovanda, 2014. "Will the Financial Crisis Become a Milestone in the Development of Methodology of Economics? [Stane se finanční krize milníkem v metodologii ekonomie?]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2014(4), pages 16-29.
  85. Paseda, Oluseun & Olowe, Rufus, 2018. "The Debt Maturity Structure of Nigerian Quoted Firms," MPRA Paper 117061, University Library of Munich, Germany, revised 30 Jun 2018.
  86. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  87. Bellalah, Mondher, 2006. "On derivatives and information costs," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 30-51.
  88. Mare Sarr & Joëlle Noailly, 2017. "Innovation, Diffusion, Growth and the Environment: Taking Stock and Charting New Directions," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 66(3), pages 393-407, March.
  89. Robert Shishko & Donald H. Ebbeler & George Fox, 2004. "NASA technology assessment using real options valuation," Systems Engineering, John Wiley & Sons, vol. 7(1), pages 1-13.
  90. Conrad, Jon M., 2000. "Wilderness: options to preserve, extract, or develop," Resource and Energy Economics, Elsevier, vol. 22(3), pages 205-219, July.
  91. Hamill, Philip A. & McIlkenny, Philip & Opong, Kwaku K., 2013. "Valuation implications of pharmaceutical companies' R&D regulatory approval notifications," The British Accounting Review, Elsevier, vol. 45(2), pages 99-111.
  92. Qin, Ruwen & Nembhard, David A., 2010. "Workforce agility for stochastically diffused conditions--A real options perspective," International Journal of Production Economics, Elsevier, vol. 125(2), pages 324-334, June.
  93. Michael T. Gapen & Mr. Dale F Gray & Cheng Hoon Lim & Ms. Yingbin Xiao, 2005. "Measuring and Analyzing Sovereign Risk with Contingent Claims," IMF Working Papers 2005/155, International Monetary Fund.
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