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Project Valuation with Mean-Reverting Cash Flow Streams

Citations

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Cited by:

  1. Espinoza, R. David & Rojo, Javier, 2017. "Towards sustainable mining (Part I): Valuing investment opportunities in the mining sector," Resources Policy, Elsevier, vol. 52(C), pages 7-18.
  2. Wong, Kit Pong & Yi, Long, 2013. "Irreversibility, mean reversion, and investment timing," Economic Modelling, Elsevier, vol. 30(C), pages 770-775.
  3. Gwangheon Hong & Sudipto Sarkar, 2007. "Equity Systematic Risk (Beta) and Its Determinants," Contemporary Accounting Research, John Wiley & Sons, vol. 24(2), pages 423-466, June.
  4. Abadie, Luis María & Chamorro Gómez, José Manuel, 2005. "Valuing Flexibility: The case of an Integrated Gasification Combined Cycle Power Plant," IKERLANAK 2005-21, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
  5. Abadie, Luis M. & Chamorro, José M., 2008. "Valuing flexibility: The case of an Integrated Gasification Combined Cycle power plant," Energy Economics, Elsevier, vol. 30(4), pages 1850-1881, July.
  6. Chu, Kai Cheung & Wong, Kit Pong, 2010. "Progressive taxation and corporate liquidation policies with mean-reverting earnings," Economic Modelling, Elsevier, vol. 27(3), pages 730-736, May.
  7. Bouasker, O. & Letifi, N. & Prigent, J.-L., 2016. "Optimal funding and hiring/firing policies with mean reverting demand," Economic Modelling, Elsevier, vol. 58(C), pages 569-579.
  8. Tsekrekos, Andrianos E., 2010. "The effect of mean reversion on entry and exit decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 725-742, April.
  9. Sarkar, Sudipto, 2003. "The effect of mean reversion on investment under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 377-396, November.
  10. Henderson, Vicky, 2005. "Explicit solutions to an optimal portfolio choice problem with stochastic income," Journal of Economic Dynamics and Control, Elsevier, vol. 29(7), pages 1237-1266, July.
  11. Shimbar, Ali & Ebrahimi, Seyed Babak, 2017. "The application of DNPV to unlock foreign direct investment in waste-to-energy in developing countries," Energy, Elsevier, vol. 132(C), pages 186-193.
  12. Schmalensee, Richard., 1978. "A simple model of risk and return on long-lived tangible assets," Working papers 1036-78., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  13. Rocha, Katia & Moreira, Ajax R.B. & Reis, Eustaquio J. & Carvalho, Leonardo, 2006. "The market value of forest concessions in the Brazilian Amazon: a Real Option approach," Forest Policy and Economics, Elsevier, vol. 8(2), pages 149-160, March.
  14. Andrianos Tsekrekos, 2013. "Irreversible exit decisions under mean-reverting uncertainty," Journal of Economics, Springer, vol. 110(1), pages 5-23, September.
  15. Manso, Gustavo, 2013. "Feedback effects of credit ratings," Journal of Financial Economics, Elsevier, vol. 109(2), pages 535-548.
  16. Luca Capriotti & Yupeng Jiang & Gaukhar Shaimerdenova, 2019. "Approximation Methods For Inhomogeneous Geometric Brownian Motion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-16, March.
  17. Sukanto Bhattacharya, 2005. "A synthetic protective put strategy for phased investment in projects without an outright deferral," Finance 0507005, University Library of Munich, Germany, revised 05 Jul 2005.
  18. Juri Hinz & Tanya Tarnopolskaya & Jeremy Yee, 2020. "Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations," Annals of Operations Research, Springer, vol. 286(1), pages 583-615, March.
  19. Jostein Tvedt, 2022. "Optimal Entry and Exit Decisions Under Uncertainty and the Impact of Mean Reversion," SN Operations Research Forum, Springer, vol. 3(4), pages 1-21, December.
  20. Glover, Kristoffer J. & Hambusch, Gerhard, 2016. "Leveraged investments and agency conflicts when cash flows are mean reverting," Journal of Economic Dynamics and Control, Elsevier, vol. 67(C), pages 1-21.
  21. Bastian-Pinto, Carlos & Brando, Luiz & Hahn, Warren J., 2009. "Flexibility as a source of value in the production of alternative fuels: The ethanol case," Energy Economics, Elsevier, vol. 31(3), pages 411-422, May.
  22. Abadie, Luis María & Chamorro Gómez, José Manuel, 2006. "Monte Carlo Valuation of natural gas investments," IKERLANAK 2006-25, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
  23. Briest, Gordon & Lauven, Lars-Peter & Kupfer, Stefan & Lukas, Elmar, 2022. "Leaving well-worn paths: Reversal of the investment-uncertainty relationship and flexible biogas plant operation," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1162-1176.
  24. Gustavo Manso, 2011. "Feedback Effects of Credit Ratings," 2011 Meeting Papers 1338, Society for Economic Dynamics.
  25. Kou, Ying & Luo, Meifeng, 2018. "Market driven ship investment decision using the real option approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 118(C), pages 714-729.
  26. Hahn, Warren J. & DiLellio, James A. & Dyer, James S., 2014. "What do market-calibrated stochastic processes indicate about the long-term price of crude oil?," Energy Economics, Elsevier, vol. 44(C), pages 212-221.
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