The limitations of no-arbitrage arguments for real options

We consider an option c which is contingent on an underlying (tilde S) that is not a traded asset. This situation typically arises in the context of real options. We investigate the situation when there is a "surrogate" traded asset S whose price process is highly correlated with that of (tilde S)....

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Year of publication:	1999-10-25
Authors:	Hubalek, Friedrich ; Schachermayer, Walter
Publisher:	Institut für Informationsverarbeitung und -wirtschaft <Wien>
Subject:	Finanzierungstheorie \| Optionspreistheorie \| Optionsschein \| warrants

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Extent:	153600 bytes 13 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Forschungsbezogene elektronische Publikationen Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science ; 58
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841724