Please use this identifier to cite or link to this item: https://hdl.handle.net/1822/65728

TitleInvesting in a random start American option under competition
Author(s)Pereira, Paulo J.
Rodrigues, Artur
KeywordsRandom start options
Real options
Uncertainty
Competition
Issue date1-Mar-2019
PublisherElsevier
JournalFINANCE RESEARCH LETTERS
CitationPereira, P. J., & Rodrigues, A. (2019). Investing in a random start American option under competition. Finance Research Letters, 28, 388-397
Abstract(s)In this paper we develop a model to determine the value of the opportunity to invest in a random start American real option. In contrast to a typical American option, the random start option only exists if an exogenous event occurs materializing the American option to invest. In addition, the effect of competition is also considered in the model. A higher risk of competition and a higher probability of the exogenous event promotes investment. Uncertainty has a non-monotonic effect on investment timing.
TypeArticle
URIhttps://hdl.handle.net/1822/65728
DOI10.1016/j.frl.2018.06.013
ISSN1544-6123
Publisher versionhttps://www.sciencedirect.com/science/article/pii/S1544612318302873
Peer-Reviewedyes
AccessEmbargoed access (2 Years)
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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