This paper studies the value and optimal timing for investment in finite-lived monopolies, extending the literature on real option games by considering the cases of random and certain-lived monopolies. Under these settings, firms face the risk of demonopolization, that can occur as a random or a...

This paper studies the effect of discrete dividends on the FTSE-100 index options valuation, following closely Harvey and Whaley's [<italic>J. Fut. Mkts</italic>, 1992, <bold>12</bold>(2), 123-137] study on the S&P-100 index. To the best of our knowledge, no such study has ever been performed on FTSE-100 options, where the...

In this paper, we analyse how certain subsidies and guarantees given to private firms in public--private partnerships should be optimally arranged to promote immediate investment in a real options framework. We show how an investment subsidy, a revenue subsidy, a minimum demand guarantee, and a...

Chen and Shen [Chen, A.-S., and P.-F. Shen. 2003. Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives. Applied Economics Letters 10: 223-9] argue that we can improve the least squares Monte Carlo method (LSMC) to value American options by removing the...