Valuation techniques for infrastructive investment decisions

Construction Management and Economics

Volumn 22, Issue 4, 2004, Pages 373-383

  Garvin, Michael J ^a   Cheah, Charles Y J ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

Author keywords

Infrastructure investments; Real options; Risk neutrality; Valuation techniques

Indexed keywords

DECISION MAKING; INDUSTRIAL ECONOMICS; MATHEMATICAL MODELS; PROJECT MANAGEMENT;

INFRASTRUCTURES; PRIVATE SECTORS; PROJECT EVALUATION; VALUATION TECHNIQUES;

INVESTMENTS;

INFRASTRUCTURAL DEVELOPMENT; INVESTMENT; METHODOLOGY; PROJECT MANAGEMENT; ROAD CONSTRUCTION;

EID: 2942652733     PISSN: 01446193     EISSN: None     Source Type: Journal    
DOI: 10.1080/01446190310001649010     Document Type: Article

References (26)

1. Amram, M. and Kulatilaka, N. (1999) Real Options: Managing Strategic Investment in an Uncertain World, Harvard Business School Press, Cambridge, MA.
2. Bailey, E. (1996) Driving up the learning curve. Infrastructure Finance, July-August, 9-10.
3. Barraquand, J. and Martineau, D. (1995) Numerical valuation of high dimensional multivariate American securities. Journal of Financial and Quantitative Analysis, 30(3), 383-405.
4. Boyle, P.P. (1988) A lattice framework for option pricing with two state variables. Journal of Financial and Quantitative Analysis, 23(1), 1-12.
5. Brealey, R. and Myers, S. (2000) Principles of Corporate Finance, McGraw-Hill, New York.
6. Brennan, M. and Schwartz, E. (1978) Finite difference methods and jump processes arising in the pricing of contingent claims: a synthesis. Journal of Financial and Quantitative Analysis, 13(9), 461-74.
7. Broadie, M. and Glasserman, P. (1997) Monte Carlo methods for pricing high-dimensional American options: an overview. Working Paper, Columbia University.
8. Cox, J., Ross, S. and Rubinstein, M. (1979) Option pricing: a simplified approach. Journal of Financial Economics, 7(3), 229-63.
9. Dixit, A. and Pindyck, R. (1994) Investment Under Uncertainty, Princeton University Press, Princeton, NJ.
10. Finnerty, J. (1996) Project Financing: Asset-based Financial Engineering, John Wiley & Sons, New York.
11. Ford, D., Lander, D. and Voyer, J. (2002) A real option approach to valuing strategic flexibility in uncertain construction projects. Construction Management and Economics, 20(4), 343-51.
12. Grinblatt, M. and Titman, S. (1998) Financial Markets and Corporate Strategy, Irwin/McGraw-Hill, Boston, MA.
13. Ho, S. and Liang, Y. (2002) An option pricing-based model for evaluating the financial viability of privatized infrastructure projects. Construction Management and Economics, 20(2), 143-56.
14. Hull, J. (2000) Options, Futures, and Other Derivatives, Prentice Hall, Upper Saddle River, NJ.
15. Hull, J. and White, A. (1990) Valuing derivative securities using the explicit finite difference method. Journal of Financial and Quantitative Analysis, 25(3), 87-100.
16. Luehrman, T. (1997) What's it worth? A general managers guide to valuation. Harvard Business Review, 75(3), 132-42.
17. McDonald, R.L. (2002) Derivatives Markets, Addison-Wesley, Boston, MA.
18. Mikosch, T. (2000) Elementary Stochastic Calculus - With Finance in View, World Scientific, Singapore.
19. Myers, S. (1984) Finance theory and financial strategy. Interfaces, 14(1), 126-37.
20. Pae, P. (1995) Drivers put the brake on toll road's promise. Washington Post, 26 December, A1, A18-19.
21. Pindyck, R. (1991) Irreversibility, uncertainty, and investment. Journal of Economic Literature, 29(3), 1110-48.
22. Ross, S. (1976) The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(12), 341-60.
23. Toll Road Corporation of Virginia (1993) Financial Model for the Final Financing. Application to the Virginia State Corporation Commission for Dulles Greenway, Exhibit 3, Case No. PUA900013.
24. Trigeorgis, L. (1999) Real Options: Managerial Flexibility and Strategy in Resource Allocation, MIT Press, Cambridge, MA.
25. Wey, L. (1993) Effects of mean-reversion on the valuation of offshore oil reserves and optimal investment rules. Unpublished Undergraduate Thesis, Massachusetts Institute of Technology.
26. Wilmott, P. (1998) Derivatives: The Theory and Practice of Financial Engineering, John Wiley, Chichester.