Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
Christian-Oliver Ewald; Zhaojun Yang
| Year of publication: |
2008
|
|---|---|
| Authors: | Ewald, Christian-Oliver ; Yang, Zhaojun |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 68.2008, 1, p. 97-123
|
| Subject: | Realoptionsansatz | Real options analysis | Mean Reversion | Mean reversion | Risikoaversion | Risk aversion | Unvollkommener Markt | Incomplete market | CAPM | Theorie | Theory |
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