Valuing lease contracts under incomplete information: A real-options approach

Engineering Economist

Volumn 47, Issue 2, 2002, Pages 194-212

  Bellalah, Mondher ^a,b  

^a UNIVERSITÉ DE CERGY PONTOISE   (France)

^b UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

[No Author keywords available]

Indexed keywords

CAPITAL MARKETS; INCOMPLETE INFORMATION; INFORMATION COSTS; INSURANCE CONTRACTS; INTEREST RATE MODELS; LEASING CONTRACTS; SIMPLE MODELING; UNIFIED FRAMEWORK;

ENGINEERING; INDUSTRIAL ECONOMICS;

COSTS;

EID: 19844376566     PISSN: 0013791X     EISSN: 15472701     Source Type: Journal    
DOI: 10.1080/00137910208965032     Document Type: Article

References (13)

1. BELLALAH, M., "The valuation of futures and commodity options with information costs," Journal of Futures Markets, September 1999.
2. BELLALAH, M, "Market imperfections, information costs and the valuation of derivatives: Some general results," The International Journal of Finance, Vol. 13, No. 3, 2001, pp. 1895-1927.
3. BELLALAH, M., "Irreversibility, Sunk costs and investment under incomplete information," R&D Management, 2001.
4. Cox J. and ROSS S., "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Vol. 3, 1976, pp. 145-166.
5. STEVEN R. GRENADIER, "Valuing lease contracts: A real-options approach," Journal of Financial Economics, Vol. 38, 1995, pp. 297-331.
6. JAMES SHALLHEIM and JOHN MCCONNELL, "A Model for the determination of 'fair' premiums on lease cancellation insurance policies," Journal of Finance, Vol. 40, 1985, pp. 1439-1457.
7. JOHN MCCONNELL and JAMES SHALLHEIM, "Valuation of Asset leasing contracts," Journal of Financial Economics, Vol. 12, 1983, pp. 237-261.
8. MERTON R.C., "An Intertemporal capital asset pricing model," Econometrica, Vol. 41, 1973, pp. 867-887.
9. MERTON R.C., "A Simple model of capital market equilibrium with Incomplete Information," Journal of Finance, Vol. 42, 1987, pp. 483-510.
10. MILLER M. and C. UPTON, "Leasing, Buying and the cost of capital services," Journal of Finance, Vol. 31, 1976, pp. 761-786.
11. SHALLHEIM J. and J. MCCONNELL, "A Model for the determintion of 'fair' premiums on lease cancellation insurance policies," Journal of Finance, Vol. 40, 1985, pp. 1439-1457.
12. SMITH C.W., Applications of option pricing analysis, in J.L. Bicksler ed., Handbook of Financial Economics, North Holland, Amsterdam, 1979.
13. SONG J, "Modelling real options:A first passage time approach," Real Options Group website, www.realoptions.org, 5th International Conference on Real Options, UCLA, July 13-15, 2001.