Investing in a random start American option under competition

doi:10.1016/j.frl.2018.06.013

Utilize este identificador para referenciar este registo: https://hdl.handle.net/1822/65728

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Campo DC	Valor	Idioma
dc.contributor.author	Pereira, Paulo J.	por
dc.contributor.author	Rodrigues, Artur	por
dc.date.accessioned	2020-06-23T09:39:40Z	-
dc.date.available	2021-03-01T07:00:21Z	-
dc.date.issued	2019-03-01	-
dc.date.submitted	2018-04	-
dc.identifier.citation	Pereira, P. J., & Rodrigues, A. (2019). Investing in a random start American option under competition. Finance Research Letters, 28, 388-397	por
dc.identifier.issn	1544-6123	por
dc.identifier.uri	https://hdl.handle.net/1822/65728	-
dc.description.abstract	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.	por
dc.description.sponsorship	- This work was carried out within the funding with COMPETE reference n. POCI-01-0145-FEDER-006683 (Artur Rodrigues) and POCI-01-0145-FEDER-006890 (Paulo J. Pereira), FCT/MEC's (Fundacao pars a Ciencia e a Tecnologia, I.P.) financial support through national funding and by ERDF through the Operational Programme on Competitiveness and Internationalization - COMPETE 2020 under the PT2020 Partnership Agreement.	por
dc.language.iso	eng	por
dc.publisher	Elsevier 1	por
dc.rights	openAccess	por
dc.subject	Random start options	por
dc.subject	Real options	por
dc.subject	Uncertainty	por
dc.subject	Competition	por
dc.title	Investing in a random start American option under competition	por
dc.type	article	-
dc.peerreviewed	yes	por
dc.relation.publisherversion	https://www.sciencedirect.com/science/article/pii/S1544612318302873	por
oaire.citationStartPage	388	por
oaire.citationEndPage	397	por
oaire.citationVolume	28	por
dc.date.updated	2020-06-23T09:00:49Z	-
dc.identifier.doi	10.1016/j.frl.2018.06.013	por
dc.subject.fos	Ciências Sociais::Economia e Gestão	por
dc.subject.wos	Social Sciences	-
sdum.export.identifier	5598	-
sdum.journal	FINANCE RESEARCH LETTERS	por
Aparece nas coleções:	NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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