Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/25930
Título: | Optimal investment with two-factor uncertainty |
Autor(es): | Armada, Manuel José da Rocha Pereira, Paulo Jorge Rodrigues, Artur |
Palavras-chave: | Multiple stochastic factors Uncertainty Real options |
Data: | Set-2013 |
Editora: | Springer |
Revista: | Mathematics and financial economics |
Resumo(s): | This paper presents a real options model to value the option to invest in a project contingent on two stochastic factors. A general sensitivity analysis is conducted highlighting the importance of the variance and correlation between the two variables. A higher correlation is shown to increase always the values of the trigger, the active project and the option. The impact of uncertainty is more complex and depends on the assumption about which variables adjust and the correlation between the variables and the market. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/25930 |
DOI: | 10.1007/s11579-013-0101-1 |
ISSN: | 1862-9679 1862-9660 |
Versão da editora: | http://link.springer.com/article/10.1007%2Fs11579-013-0101-1#page-1 |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Optimal investment_ MRArmada.pdf Acesso restrito! | Optimal investment with twofactor uncertainty | 6,5 MB | Adobe PDF | Ver/Abrir |