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Alternative Approaches for Solving Real-Options Problems

Citations

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Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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 & 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.
    • 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.
  13. 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.
  14. 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.
  15. 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.
  16. Secomandi, Nicola, 2022. "Quadratic hedging of risk neutral values," Energy Economics, Elsevier, vol. 112(C).
  17. 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.
  18. 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.
  19. Alain Bensoussan & Benoit Chevalier-Roignant & Alejandro Rivera, 2022. "A model for wind farm management with option interactions," Post-Print hal-04325553, HAL.
  20. 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.
  21. Carol Alexander & Xi Chen, 2021. "Model risk in real option valuation," Annals of Operations Research, Springer, vol. 299(1), pages 1025-1056, April.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. Nicola Secomandi, 2010. "Optimal Commodity Trading with a Capacitated Storage Asset," Management Science, INFORMS, vol. 56(3), pages 449-467, March.
  31. 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.
  32. 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, August.
  33. 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.
  34. Jafarizadeh, Babak, 2012. "Information acquisition as an American option," Energy Economics, Elsevier, vol. 34(3), pages 807-816.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. Nicola Secomandi, 2020. "Quadratic Hedging and Optimization of Option Exercise Policies," Papers 2001.05788, arXiv.org, revised May 2022.
  41. 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.
  42. repec:vuw:vuwscr:19098 is not listed on IDEAS
  43. 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.
  44. 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.
  45. 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.
  46. 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.
  47. 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.
  48. 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.
  49. 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.
  50. L. Robin Keller & Kelly M. Kophazi, 2010. "From the Editors..," Decision Analysis, INFORMS, vol. 7(2), pages 151-154, June.
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