Analytic solutions for the value of the option to (dis)invest

Real R & D Options

Volumn , Issue , 2003, Pages 67-90

  Biekpe, Nicholas ^a,b   Klumpes, Paul ^c   Tippett, Mark ^d  

^a UNIVERSITY OF STELLENBOSCH BUSINESS SCHOOL   (South Africa)

^b UNIVERSITY OF SALFORD   (United Kingdom)

^c UNIVERSITY OF WARWICK   (United Kingdom)

^d UNIVERSITY OF EXETER BUSINESS SCHOOL   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 8644263378     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-075065332-9.50005-7     Document Type: Chapter

References (22)

1. 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.
2. Boyce W., DiPrima R. Elementary Differential Equations and Boundary Value Problems 1997, John Wiley & Sons, New York.
3. Burgstahler D., Dichev I. Earnings, adaptation and equity value. Accounting Review 1997, 72:187-215.
4. Carnahan B., Luther H., Wilkes J. Applied Numerical Methods 1969, John Wiley & Sons, New York.
5. Cox J., Ross S. The valuation of options for alternative stochastic processes. Journal of financial Economics 1976, 3:145-166.
6. Cox J., Ingersoll J., Ross S. A theory of the term structure of interest rates. Econometrica 1985, 53:385-407.
7. Crank J. The Mathematics of Diffusion 1975, Clarendon Press, Oxford.
8. Dixit A. Entry and exit decisions under uncertainty. Journal of Political Economy 1989, 97:620-638.
9. Dixit A., Pindyck R. Investment under Uncertainty 1994, Princeton University Press, Princeton, NJ.
10. Egginton D., Forker J., Tippett M. Share option rewards and managerial performance: an abnormal performance index. Accounting and Business Research 1989, 19:255-266.
11. Feller W. Two singular diffusion, processes. Annals of Mathematics 1951, 54:173-182.
12. fisher I. The Rate of Interest 1907, Macmillan, New York.
13. Fisher I. The Theory of Interest 1930, Macmillan, New York.
14. Karlin S., Taylor H. A Second Course in Stochastic Processes 1981, Academic Press, New York.
15. Kendall M., Stuart A., Ord J. Kendall's Advanced Theory of Statistics 1987, Vol. 1. Charles Griffin & Co, London.
16. Kiselev A., Krasnov M., Makarenko G., Primrose E. Ordinary Differential Equations 1967, Leicester University Press, Leicester.
17. Praetz P. The distribution of share price changes. Journal of Business 1972, 45:49-55.
18. Rubinstein M. An aggregation theorem for securities markets. Journal of Financial Economics 1974, 1:225-244.
19. Rubinstein M. The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics and Management Science 1976, 7:407-425.
20. Spiegel M. Advanced Calculus 1974, McGraw-Hill, New York.
21. Trigeorgis L. Real Options: Managerial Flexibility and Strategy in Resource Allocation 1996, MIT press, Cambridge, MA.
22. Uhlenbeck G., Ornstein L. On the theory of the Brownian motion. Physical Review 1930, 36:823-841.