Student's distribution and the value of real options

Real R & D Options

Volumn , Issue , 2003, Pages 91-110

  Rhys, Huw ^a   Tippett, Mark ^b  

^a ABERYSTWYTH UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF EXETER BUSINESS SCHOOL   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 8644221540     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-075065332-9.50006-9     Document Type: Chapter

References (30)

1. Apostol T. Calculus 1969, Vol. II. John Wiley & Sons, New York.
2. Barndorff-Nielsen O., Shephard N. Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in financial economics. Journal of the Royal Statistical Society, Series B 2001, 63:167-207.
3. Black F., Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy 1973, 81:637-654.
4. Blattberg R., Gonedes N. A comparison of the stable and Student distributions as statistical models for stock prices. Journal of Business 1974, 47:244-280.
5. Boyce W., DiPrima R. Elementary Differential Equations and Boundary Value Problems 1969, John Wiley & Sons, New York.
6. Carr P. The valuation of sequential exchange opportunities. Journal of Finance 1988, 43:1235-1256.
7. Carr P. The valuation of American exchange options with application to real options. Real Options in Capital Investment 1995, 109-120. Praeger, Westport, CT. L. Trigeorgis (Ed.).
8. Cox D., Miller H. The Theory of Stochastic Processes 1965, Chapman and Hall, London.
9. Cox J., Rubinstein M. Options Markets 1985, Prentice Hall, Englewood Cliffs, NJ.
10. Cox J., Ingersoll J., Ross S. A theory of the term structure of interest rates. Econometrica 1985, 53:385-407.
11. Crank J. The Mathematics of Diffusion 1975, Clarendon Press, Oxford.
12. Fama E. The behaviour of stock market prices. Journal of Business 1965, 38:34-105.
13. Harrison J., Kreps D. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory 1979, 20:381-408.
14. Heston S. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies 1993, 6:327-343.
15. Hoel P., Port S., Stone C. Introduction to Stochastic Processes 1972, Houghton Mifflin Co, Boston.
16. Hull J., White A. An analysis of the bias in option pricing caused by a stochastic volatility. Advances in Futures and Options Research 1988, Vol. 3:27-61. JAI Press, Greenwich, CT. F. Fabozzi (Ed.).
17. Karlin S., Taylor H. A Second Course in Stochastic Processes 1981, Academic Press, New York.
18. Kendall M., Stuart A. The Advanced Theory of Statistics 1977, Vol. I. Charles Griffin & Co, London.
19. Margrabe W. The value of an option to exchange one asset for another. Journal of Finance 1978, 33:177-186.
20. McDonald R.L., Siegel D.R. The value of waiting to invest. Quarterly Journal of Economics 1986, 101:707-727.
21. Merton R.C. Theory of rational option pricing. Bell Journal of Economics and Management Science 1973, 4:141-183.
22. Merton R. An asymptotic theory of growth under uncertainty. Review of Economic Studies 1975, 42:375-393.
23. Myers S., Majd S. Abandonment value and project life. Advances in Futures and Options Research 1990, Vol. 4:1-21. JAI Press, Greenwich, CT. F. Fabozzi (Ed.).
24. Olsen T., Stensland G. On the optimal timing of investment when cost components are additive and follow geometric diffusions. Journal of Economic Dynamics and Control 1992, 16:39-51.
25. Praetz P. The distribution of share price changes. Journal of Business 1972, 45:49-55.
26. Quigg L. Empirical testing of real option pricing models. Journal of Finance 1993, 48:621-640.
27. Schroder M. Changes of numeraire for pricing futures, forwards and options. Review of Financial Studies 1999, 12:1143-1163.
28. Smith C. Option pricing: a review. Journal of Financial Economics 1976, 3:3-51.
29. Theodossiou P. Financial data and the skewed generalized t distribution. Management Science 1998, 44:1650-1661.
30. Weinberger H. Partial Differential Equations 1965, Xerox College Publishing, Lexington, MA.