Getting real with real options

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dc.creatorGrasselli, M. R
dc.date2006-04-13
dc.date.accessioned2026-07-07T12:11:16Z
dc.date.available2026-07-07T12:11:16Z
dc.descriptionWe apply a utility-based method to obtain the value of a finite-time investment opportunity when the underlying real asset is not perfectly correlated to a traded financial asset. Using a discrete-time algorithm to calculate the indifference price for this type of real option, we present numerical examples for the corresponding investment thresholds, in particular highlighting their dependence with respect to correlation and risk aversion.
dc.description11 pages, 4 pictures
dc.identifierhttps://arxiv.org/abs/math/0604302
dc.identifierhttp://arxiv.org/abs/math/0604302
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210171
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectPricing of Securities
dc.subject91B16, 91B28
dc.titleGetting real with real options
dc.typetext

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