A gene to drug venture: Poisson options analysis

R and D Management

Volumn 31, Issue 2, 2001, Pages 203-214

  Brach, Marion A ^a   Paxson, Dean A ^a  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035594305     PISSN: 00336807     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9310.00210     Document Type: Article

References (30)

1. Aase, K.K. (1988) Contingent claims valuation when the security price is a combination of an Ito process and a random point process. Stochastic Processes and their Applications, 28, 185-220.
2. Amin, K.I. (1993) Jump diffusion option valuation in discrete time. Journal of Finance, 48, 1833-1863.
3. Bakshi, G., Cao, C. and Chen, Z. (1997) Empirical performance of alternative option pricing models. Journal of Finance, 52, 2003-2049.
4. Bates, D. (1996) Jumps and stochastic volatility: exchange rate processes implicit in Deutschemark options. Review of Financial Studies, 9, 69-108.
5. Cox, D.R. and Miller, H.D. (1965) The Theory of Stochastic Processes. London: Chapman & Hall.
6. Cox, J.C. and Ross, S.A. (1976) The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3, 145-166.
7. Dixit, A.K. and Pindyck, R.S. (1994) Investment under Uncertainty. Princeton NJ: Princeton University Press.
8. Huchzermeier, A. and Loch, C.H. (1997) Evaluating R&D projects as real options: why more variability is not always better. Working Paper, WHU & INSEAD.
9. Jiang, G.J. (2001) Implementing option pricing models when asset returns are predictable and discontinuous. In J. Knight and S. Satchell (eds), Return Distributions in Finance. Oxford: Butterworth-Heinemann, 165-228.
10. Johnson, N.L., Kotz, S. and Kemp, A.W. (1993) Univariate Discrete Distributions, second edition. New York: John Wiley & Sons.
11. Kallberg, G. and Laurin, P. (1997) Real options in R&D capital budgeting, a case study of Pharmacia & Upjohn. Master thesis. Gothenburg School of Economics and Commercial Law.
12. Karlin, S. and Taylor, H. (1981) A Second Course in Stochastic Processes. New York: Academic Press.
13. Kellogg, D. and Charnes, J.M. (2000) Real-options valuation for a biotechnology company. Financial Analysts Journal, May/June, 76-84.
14. Lambrecht, B. (2000) Strategic sequential investments and sleeping patents. In M. Brennan and L. Trigeorgis (eds), Project Flexibility, Agency and Competition. Oxford: Oxford University Press, 297-323.
15. Merton, R.C. (1976a) Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, 125-144.
16. Merton, R.C. (1976b) The impact on option pricing of specification error in the underlying stock returns. Journal of Finance, 31, 333-350.
17. Micalizzi, A. (1999) Timing to invest and value of managerial flexibility. Schering Plough case study. Working Paper, Bocconi University.
18. Naik, V. and Lee, M. (1990) General equilibrium pricing of options on the market portfolio with discontinuous returns. Review of Financial Studies, 3, 493-522.
19. Newton, D.P. and Pearson, A.W. (1994) Application of option pricing theory to R&D. R&D Management, 24, 83-89.
20. Newton, D.P., Paxson, D.A. and Pearson, A.W. (1996) Real R&D options. In A. Belcher, J. Hassard and S.J. Procter (eds), R&D Decisions and Management: Strategy, Policy and Disclosure. London: Routledge, 273-282.
21. Ott, S.H. (1992) Valuing and timing R&D using a real options pricing framework; including an application to the development of Lunar Helium-3 fusion. Ph.D. dissertation, University of Wisconsin-Madison.
22. Ottoo, R.E. (1998) Valuation of internal growth opportunities: the case of a biotechnology company. The Quarterly Review of Economics and Finance, 38, 615-633.
23. Paxson, D.A. (1997) Real options. In D. Paxson and D. Wood (eds), The Blackwell Encyclopedic Dictionary of Finance. Oxford: Blackwell Publishers, 150-152.
24. Pharma Survey 1999, www.pharma.org.
25. Pindyck, R.S. (1993) Investment of uncertain cost. Journal of Financial Economics, 34, 53-76.
26. Schwartz, E.S. and Moon, M. (2000) Evaluating research and development investments. In M. Brennan and L. Trigeorgis (eds), Project Flexibility, Agency and Competition. Oxford: Oxford University Press, 85-106.
27. Sick, G. (1989) Capital Budgeting with Real Options. New York University, Monograph Series in Finance and Economics.
28. Van Brunt, J. (1999) Year-end '98 financing numbers: a tale of two biotechs.www.signalsmag.
29. Willner, R. (1995) Valuing start-up venture growth options. In L. Trigeorgis (ed.), Real Options in Capital Investment. Westport CT: Praeger, 221-239.
30. Zhang, X.L. (1997) Valuation of American options in a jump-diffusion model. In L.C.G. Rogers and D. Talay (eds), Numerical Methods in Finance. Cambridge: Cambridge University Press, 93-114.