Multiple Volatility Real Options Approach to Investment Decisions Under Uncertainty
Published Online:23 Mar 2022https://doi.org/10.1287/deca.2021.0449
References
- (2010) Valuing the option to enter a new market: The Belvedere coal project acquisition in Australia. Presentation, 34th Meeting of the National Association of Postgraduation and Research in Adminstration (ANPAD), Rio De Janeiro, Brazil.Google Scholar
- (1999) Real Options (Harvard Business School Press, Boston).Google Scholar
- (2009) Disciplined decisions. Harvard Business Review on Managing External Risk (Harvard Busines School Publishing, Boston), 99–125.Google Scholar
- (2005) The option value of acquiring information in an oilfield production enhancement project. J. Appl. Corporate Finance 17(2):99–104.Crossref, Google Scholar
- (1900) Théorie de la spéculation. Unpublished doctoral dissertation, Sorbonne University, Paris.Crossref, Google Scholar
- (1973) The pricing of options and corporate liabilities. J. Political Econom. 81(3):637–654.Crossref, Google Scholar
- (2005) Real options analysis: Where are the emperor’s clothes? J. Appl. Corporate Finance 17(2):17–31.Crossref, Google Scholar
- (2005a) Response to comments on Brandao et al. (2005). Decision Anal. 2(2):103–109.Link, Google Scholar
- (2005b) Using binomial decision trees to solve real-option valuation problems. Decision Anal. 2(2):69–88.Link, Google Scholar
- (2018) Multiple volatility real option approach to investment under uncertainty. Unpublished doctoral dissertation, The University of Western Australia, Perth. https://research-repository.uwa.edu.au.Google Scholar
- (2011) Competitive Strategy: Options and Games (MIT Press, Cambridge, MA).Crossref, Google Scholar
- (2002) Valuation of petroleum reserves with quantity and price uncertainties: The case of Woodside Energy. Ronn EI, ed. Real Options and Energy Management: Using Options Methodology to Enhance Capital Budgeting Decisions (Risk Books, London), 505–521.Google Scholar
- (2010) From expected cash flows to real options. Multinational Finance J. 14(1/2):1–27.Crossref, Google Scholar
- (2003) Real Options: A Practitioner’s Guide (Cengage Learning, New York).Google Scholar
- (2005) Real options: Meeting the Georgetown challenge. J. Appl. Corp. Finance 17(2):32–51.Crossref, Google Scholar
- (1998) How much is flexibility worth? McKinsey Quart. 1998(2):38–49.Google Scholar
- (2004) A real-world way to manage real options. Harvard Bus. Rev. 82(3):90–99.Google Scholar
- (1990) Valuation: Measuring and Managing the Value of Companies (John Wiley & Sons, Hoboken, NJ).Google Scholar
- (1979) Option pricing: A simplified approach. J. Financial Econom. 7(3):229–263.Crossref, Google Scholar
- (2004) Valuation of exploration and production assets: An overview of real options models. J. Petroleum Sci. Engrg. 44(1):93–114.Crossref, Google Scholar
- (2004) Asymptotics of the price oscillations of a European call option in a tree model. Math. Finance 14(2):271–293.Crossref, Google Scholar
- (1994) Investment Under Uncertainty (Princeton University Press, Princeton, NJ).Crossref, Google Scholar
- (2021) Valuing real options in the volatile real world. Production Oper. Management 30(1):171–189.Crossref, Google Scholar
- (2012) Options, Futures, and Other Derivatives, 8th ed. (Prentice-Hall, Upper Saddle River, NJ).Google Scholar
- (1996) Generalized binomial trees. J. Derivatives 5(2):7–17.Crossref, Google Scholar
- (2001) Valuing American options by simulation: A simple least-squares approach. Rev. Financial Stud. 14(1):113–147.Crossref, Google Scholar
- (2001) Valuing PUD reserves: A practical application of real option techniques. J. Appl. Corporate Finance 13(4):110–115.Crossref, Google Scholar
- (2000) The history of finance: An eyewitness account. J. Appl. Corporate Finance 13(2):8–14.Crossref, Google Scholar
- (1966) Some estimates of the cost of capital to the electric utility industry, 1954-57. Amer. Econom. Rev. 56(3):333–391.Google Scholar
- (2006) Real Options Analysis (John Wiley and Sons, Inc., Hoboken, NJ).Google Scholar
- (1984) Finance theory and financial strategy. INFORMS J. Applied Anal. 14(1):126–137.Link, Google Scholar
- (1975) Decision Analysis for Petroleum Exploration (Petroleum Publishing Company, Tulsa, OK).Google Scholar
- (2010) Simulation and Optimization in Finance (John Wiley & Sons Inc., Hoboken, NJ).Crossref, Google Scholar
- (1999) The long-run evolutions of energy prices. Energy J. 20(2):1–27.Crossref, Google Scholar
- (2001) The dynamics of commodity spot and futures markets: A primer. Energy J. 22(3):1–29.Crossref, Google Scholar
- (1996) Derivative Markets: Theory, Strategy, and Applications (HarperCollins College Publishers, New York).Google Scholar
- (1994) Implied binomial trees. J. Finance 49(3):771–818.Crossref, Google Scholar
- (1965a) Proof that properly anticipated prices fluctuate randomly. Indust. Management Rev. 6(2):41–49.Google Scholar
- (1965b) Rational theory of warrant pricing. Indust. Management Rev. 6(2):13–31.Google Scholar
- (2001) Risk and Decision Analysis in Projects (Project Management Institute, Newtown Square, PA).Google Scholar
- (1997) The stochastic behavior of commodity prices: Implications for valuation and hedging. J. Finance 52(3):923–973.Crossref, Google Scholar
- (2010) Some important issues involving real options: An overview. Multinational Finance J. 14(1/2):73–123.Google Scholar
- (2004) Strategic Investment: Real Options and Games (Princeton University Press, Princeton, NJ).Crossref, Google Scholar
- (2005) Alternative approaches for solving real-options problems. Decision Anal. 2(2):89–102.Link, Google Scholar
- (1998) Valuing oil properties: Integrating option pricing and decision analysis approaches. Oper. Res. 46(2):198–217.Link, Google Scholar
- (1999) Options in the real world: Lessons learned in evaluating oil and gas investments. Oper. Res. 47(1):1–15.Link, Google Scholar
- (1995) Valuing risky projects: Option pricing theory and decision analysis. Management Sci. 41(5):795–816.Link, Google Scholar
- (1995) Managing Financial Risk: A Guide to Derivative Products, Financial Engineering and Value Maximization (Irwin Publishers, Burr Ridge, IL).Google Scholar
- (1995) Real Options in Capital Investment: Models, Strategies, and Applications. (Greenwood Publishing Group, Boston).Google Scholar
- (1996) Real Options: Managerial Flexibility and Strategy in Resource Allocation (MIT Press, Cambridge, MA).Google Scholar
- (2018) Real options in operations research: A review. Eur. J. Oper. Res. 270(1):1–24.Crossref, Google Scholar
- (2013) Real option analysis in a replicating portfolio perspective. Working paper, University of Twente, Enschede, Netherlands.Google Scholar
- (2010) Valuing multifactor real options using an implied binomial tree. Decision Anal. 7(2):185–195.Link, Google Scholar
- (2012) A copulas-based approach to modeling dependence in decision trees. Oper. Res. 60(1):225–242.Link, Google Scholar
- (2016) Modeling correlated discrete uncertainties in event trees with copulas. Risk Anal. 36(2):396–410.Crossref, Google Scholar

