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Alternative Approaches for Solving Real-Options Problems

Citations

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Cited by:

  1. Nadarajah, Selvaprabu & Secomandi, Nicola, 2020. "Least Squares Monte Carlo and Approximate Linear Programming with an Energy Real Option Application," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 178-202, October.
  2. repec:vuw:vuwscr:19098 is not listed on IDEAS
  3. Tianyang Wang & James S. Dyer, 2010. "Valuing Multifactor Real Options Using an Implied Binomial Tree," Decision Analysis, INFORMS, vol. 7(2), pages 185-195, June.
  4. de Braganca, Gabriel Fiuza & Rocha, Katia & Moreira, Rafael Henrique Rodrigues, 2008. "Real Options and the Regulation of Brazilian Fixed-Line Telephone Operators: The Mark-up on the Cost of Capital," Working Paper Series 19098, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  5. Pendharkar, Parag C., 2010. "Valuing interdependent multi-stage IT investments: A real options approach," European Journal of Operational Research, Elsevier, vol. 201(3), pages 847-859, March.
  6. Sahoo, Nihar R. & Mohapatra, Pratap K.J. & Mahanty, Biswajit, 2017. "Compliance choice analysis for India's thermal power sector in the market-based energy efficiency regime," Energy Policy, Elsevier, vol. 108(C), pages 624-633.
  7. Rosa-Isabel González-Muñoz & Jesús Molina-Muñoz & Andrés Mora-Valencia & Javier Perote, 2024. "Real Options Volatility Surface for Valuing Renewable Energy Projects," Energies, MDPI, vol. 17(5), pages 1-13, March.
  8. Javier G. Castro & Edison A. Tito & Luiz E. Brandão, 2021. "Optimization of a Portfolio of Investment Projects: A Real Options Approach Using the Omega Measure," JRFM, MDPI, vol. 14(11), pages 1-17, November.
  9. E. Brandão, Luiz & Dyer, James S. & Hahn, Warren J., 2012. "Volatility estimation for stochastic project value models," European Journal of Operational Research, Elsevier, vol. 220(3), pages 642-648.
  10. de Matta, Renato & Hsu, Vernon, 2020. "Managing Disruption Risk Over the Product Life Cycle," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 121-137., October.
  11. Kouvelis, Panos & Dong, Ling & Turcic, Danko, 2020. "Advances in Supply Chain Finance and FinTech Innovations Overview," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 1-4, October.
  12. Babak Jafarizadeh & Reidar B. Bratvold, 2019. "Exploration economics: taking opportunities and the risk of double-counting risk," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 32(3), pages 323-335, November.
  13. Carol Alexander & Xi Chen, 2021. "Model risk in real option valuation," Annals of Operations Research, Springer, vol. 299(1), pages 1025-1056, April.
  14. Secomandi, Nicola, 2022. "Quadratic hedging of risk neutral values," Energy Economics, Elsevier, vol. 112(C).
  15. Fedorov, Semyon & Hagspiel, Verena & Rogstad, Richard W.H. & Haseldonckx, Sophie & Haugsgjerd, Johannes H. & Rønning, Anders, 2024. "Evaluation of tieback developments for marginal oil fields with timing flexibility," Energy Economics, Elsevier, vol. 131(C).
  16. Jorge Tarifa-Fernández & Ana María Sánchez-Pérez & Salvador Cruz-Rambaud, 2019. "Internet of Things and Their Coming Perspectives: A Real Options Approach," Sustainability, MDPI, vol. 11(11), pages 1-15, June.
  17. L. Robin Keller & Ali Abbas & Manel Baucells & Vicki M. Bier & David Budescu & John C. Butler & Philippe Delquié & Jason R. W. Merrick & Ahti Salo & George Wu, 2010. "From the Editors..," Decision Analysis, INFORMS, vol. 7(4), pages 327-330, December.
    • L. Robin Keller & Manel Baucells & John C. Butler & Philippe Delquié & Jason R. W. Merrick & Gregory S. Parnell & Ahti Salo, 2009. "From the Editors ..," Decision Analysis, INFORMS, vol. 6(4), pages 199-201, December.
    • L. Robin Keller & Manel Baucells & Kevin F. McCardle & Gregory S. Parnell & Ahti Salo, 2007. "From the Editors..," Decision Analysis, INFORMS, vol. 4(4), pages 173-175, December.
    • L. Robin Keller & Manel Baucells & John C. Butler & Philippe Delquié & Jason R. W. Merrick & Gregory S. Parnell & Ahti Salo, 2008. "From the Editors..," Decision Analysis, INFORMS, vol. 5(4), pages 173-176, December.
  18. Cao, Bin & Chen, Xin & Cheng, T. C. Edwin & Zhong, Yuan-Guang & Zhou, Yong-Wu, 2020. "Inventory and Financial Strategies with Capital Constraints and Limited Joint Liability," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 44-59, October.
  19. B R Cobb & J M Charnes, 2010. "A graphical method for valuing switching options," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(11), pages 1596-1606, November.
  20. Kim, Amy M. & Li, Huanan, 2020. "Incorporating the impacts of climate change in transportation infrastructure decision models," Transportation Research Part A: Policy and Practice, Elsevier, vol. 134(C), pages 271-287.
  21. Shao, Lusheng & Anderson, Edward & Chen, Bo, 2020. "Achieving Efficiency in Capacity Procurement," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 138-154., October.
  22. Warren J. Hahn & James S. Dyer, 2011. "A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes," Decision Analysis, INFORMS, vol. 8(3), pages 220-232, September.
  23. Sungchul Kim & Ronald Giachetti & Sangsung Park, 2018. "Real Options Analysis for Acquisition of New Technology: A Case Study of Korea K2 Tank’s Powerpack," Sustainability, MDPI, vol. 10(11), pages 1-18, October.
  24. Ashish K. Rathore & Arpan K. Kar & P. Vigneswara Ilavarasan, 2017. "Social Media Analytics: Literature Review and Directions for Future Research," Decision Analysis, INFORMS, vol. 14(4), pages 229-249, December.
  25. Carlos Andrés Zapata Quimbayo, 2020. "OPCIONES REALES Una guía teórico-práctica para la valoración de inversiones bajo incertidumbre mediante modelos en tiempo discreto y simulación de Monte Carlo," Books, Universidad Externado de Colombia, Facultad de Finanzas, Gobierno y Relaciones Internacionales, number 138.
  26. Sebastian Maier, 2021. "Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches," Annals of Operations Research, Springer, vol. 299(1), pages 907-937, April.
  27. Sönmez, Erkut & Kekre, Sunder & Scheller-Wolf, Alan & Secomandi, Nicola, 2013. "Strategic analysis of technology and capacity investments in the liquefied natural gas industry," European Journal of Operational Research, Elsevier, vol. 226(1), pages 100-114.
  28. Lin, Tiantian & Zhou, Weihua & Cai, Gangshu (George), 2020. "Guarantor Financing Selection Under Influence of Supply Chain Leadership and Economies of Scale," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 23-43, October.
  29. Luiz E. Brandão & James S. Dyer & Warren J. Hahn, 2005. "Response to Comments on Brandão et al. (2005)," Decision Analysis, INFORMS, vol. 2(2), pages 103-109, June.
  30. Tianyang Wang & James S. Dyer, 2012. "A Copulas-Based Approach to Modeling Dependence in Decision Trees," Operations Research, INFORMS, vol. 60(1), pages 225-242, February.
  31. Atul Chandra & Peter R. Hartley & Gopalan Nair, 2022. "Multiple Volatility Real Options Approach to Investment Decisions Under Uncertainty," Decision Analysis, INFORMS, vol. 19(2), pages 79-98, June.
  32. Yang, S. Alex & Birge, John R., 2020. "Trade Credit in Supply Chains: Multiple Creditors and Priority Rules," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 5-22, October.
  33. Secomandi, Nicola, 2016. "A tutorial on portfolio-based control algorithms for merchant energy trading operations," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 1-13.
  34. Glinsky, Vadim & Chopra, Sunil & Lücker, Florian, 2020. "Managing Disruption Risk Over the Product Life Cycle," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 101-120, October.
  35. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  36. Pedro Godinho, 2015. "Estimating State-Dependent Volatility of Investment Projects: A Simulation Approach," GEMF Working Papers 2015-02, GEMF, Faculty of Economics, University of Coimbra.
  37. Pedro Godinho, 2015. "Estimating State-Dependent Volatility of Investment Projects: A Simulation Approach," GEMF Working Papers 2015-02, GEMF, Faculty of Economics, University of Coimbra.
  38. L. Robin Keller, 2011. "From the Editor ---Multiattribute and Intertemporal Preferences, Probability, and Stochastic Processes: Models and Assessment," Decision Analysis, INFORMS, vol. 8(3), pages 165-169, September.
  39. Milanesi, Gastón, 2021. "Modelo de valoración con opciones reales, rejillas trinomial, volatilidad cambiante, sesgo y función isoelástica de utilidad || Valuation model with real options, trinomial lattice, changing volatilit," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 257-273, December.
  40. Guiotto, Paolo & Roncoroni, Andrea & Turcic, Danko, 2020. "The Term Structure of Optimal Operations," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 155-177, October.
  41. de Braganca, Gabriel Fiuza & Rocha, Katia & Moreira, Rafael Henrique Rodrigues, 2008. "Real Options and the Regulation of Brazilian Fixed-Line Telephone Operators: The Mark-up on the Cost of Capital," Working Paper Series 3997, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  42. Nicola Secomandi & Sunder Kekre, 2014. "Optimal Energy Procurement in Spot and Forward Markets," Manufacturing & Service Operations Management, INFORMS, vol. 16(2), pages 270-282, May.
  43. Nicola Secomandi, 2020. "Quadratic Hedging and Optimization of Option Exercise Policies," Papers 2001.05788, arXiv.org, revised May 2022.
  44. Nicola Secomandi, 2010. "Optimal Commodity Trading with a Capacitated Storage Asset," Management Science, INFORMS, vol. 56(3), pages 449-467, March.
  45. Nadarajah, Selvaprabu & Margot, François & Secomandi, Nicola, 2017. "Comparison of least squares Monte Carlo methods with applications to energy real options," European Journal of Operational Research, Elsevier, vol. 256(1), pages 196-204.
  46. L. Robin Keller & Kelly M. Kophazi, 2010. "From the Editors..," Decision Analysis, INFORMS, vol. 7(2), pages 151-154, June.
  47. Carol Alexander & Xi Chen, 2012. "A General Approach to Real Option Valuation with Applications to Real Estate Investments," ICMA Centre Discussion Papers in Finance icma-dp2012-04, Henley Business School, University of Reading.
  48. Ghoddusi, Hamed, 2020. "Renewable Identification Numbers: A Supply-Chain Risk View," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 77-100, October.
  49. Guoming Lai & Mulan X. Wang & Sunder Kekre & Alan Scheller-Wolf & Nicola Secomandi, 2011. "Valuation of Storage at a Liquefied Natural Gas Terminal," Operations Research, INFORMS, vol. 59(3), pages 602-616, June.
  50. Chandra, Atul & Hartley, Peter R., 2024. "Sequential investment decisions for mining projects using compound multiple volatility real options approach," Resources Policy, Elsevier, vol. 97(C).
  51. Jing Ai & Patrick L. Brockett & Tianyang Wang, 2017. "Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(4), pages 1127-1169, December.
  52. Alain Bensoussan & Benoit Chevalier-Roignant & Alejandro Rivera, 2022. "A model for wind farm management with option interactions," Post-Print hal-04325553, HAL.
  53. Jafarizadeh, Babak, 2012. "Information acquisition as an American option," Energy Economics, Elsevier, vol. 34(3), pages 807-816.
  54. Gastón Silverio Milanesi, 2022. "Opciones reales secuenciales cuadrinomiales y volatilidad cambiante: incertidumbres tecnológicas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(1), pages 1-26, Enero - M.
  55. Gan, Rowena Jingxing & Tsoukalas, Gerry & Netessine, Serguei, 2020. "Financing Inventory Through Initial Coin Offerings (ICOs)," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 60-76, October.
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