Real options with constant relative risk aversion

Journal of Economic Dynamics and Control

Volumn 27, Issue 2, 2002, Pages 329-355

  Henderson, Vicky ^a   Hobson, David G ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b University of Bath   (United Kingdom)

Author keywords

Basis risk; Constant relative risk aversion; Incomplete markets; Non traded assets; Option pricing; Unhedgeable risks

Indexed keywords

EID: 0036887515     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(01)00052-5     Document Type: Article

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