𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Real options and preemption under incomplete information

✍ Scribed by Bart Lambrecht; William

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
279 KB
Volume
27
Category
Article
ISSN
0165-1889

No coin nor oath required. For personal study only.

✦ Synopsis

This paper introduces incomplete information and preemption into an equilibrium model of ΓΏrms facing real investment decisions. The optimal investment strategy may lie anywhere between the zero-NPV trigger level and the optimal strategy of a monopolist, depending on the distribution of competitors' costs and the implied fear of preemption. Our model implies that the equity returns of ΓΏrms which hold real options and are subject to preemption will contain jumps and positive skewness.

πŸ“œ SIMILAR VOLUMES

Pricing real options under the constant
Pricing real options under the constant elasticity of variance diffusion
✍ JosΓ© Carlos Dias; JoΓ£o Pedro Vidal Nunes πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 149 KB πŸ‘ 1 views

## Abstract Much of the work on real options assumes that the underlying state variable follows a geometric Brownian motion with constant volatility. This paper uses a more general assumption for the state variable process that better captures the empirical regularities found in commodity markets.

Managing tourism investment opportunitie
Managing tourism investment opportunities under uncertainty: a real options approach
✍ Anastasios Michailidis πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 153 KB

This paper provides an empirical example of the valuation of real options in a largescale tourism project. The main aim of this article is to elaborate the investment decision process in the evaluation of a ski centre enlargement project by employing elements of the real options methodology. Monte C