Real options with unknown-date events

Getting real with Real Options

We apply a utility–based method to obtain the value of a finite–time investment opportunity when the underlying real asset is not perfectly correlated to a traded financial asset. Using a discrete–time algorithm to calculate the indifference price for this type of real option, we present numerical examples for the corresponding investment thresholds, in particular highlighting their dependence ...

DATE Past Events

DATE Past Events

DATE Past Events

Mergers and market valuation: real options approach

This paper investigates the connection between market valuation anda type of the merger (stock, cash) using real options setup. I solveexplicitly for the timing and terms of cash mergers in two deferent settingsto demonstrate that cash mergers generally occur at low marketvaluations, whereas stock mergers that may be observed at both low andhigh valuations; the result holds with some dierences ...