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Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk

Ewald, Christian-Oliver; Yang, Zhaojun - In: Computational Statistics 68 (2008) 1, pp. 97-123

We study the classical real option problem in which an agent faces the decision if and when to invest optimally into a project. The investment is assumed to be irreversible. This problem has been studied by Myers and Majd (Adv Futures Options Res 4:1–21, 1990) for the case of a complete...

Persistent link: https://www.econbiz.de/10010847880

Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk

Ewald, Christian-Oliver; Yang, Zhaojun - In: Mathematical Methods of Operations Research 68 (2008) 1, pp. 97-123

Persistent link: https://www.econbiz.de/10010999885

Privatization of businesses and flexible investment: a real option approach

Chavanasporn, Walailuck; Ewald, Christian-Oliver - In: Decisions in Economics and Finance 35 (2012) 1, pp. 75-89

Persistent link: https://www.econbiz.de/10010539221

On the impact of feeding cost risk in aquaculture valuation and decision making

Ewald, Christian; Kamm, Kevin - In: Quantitative finance 24 (2024) 9, pp. 1341-1352

Persistent link: https://www.econbiz.de/10015196927

Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk

Ewald, Christian-Oliver; Zhang, Hai - In: Journal of economic dynamics & control 71 (2016), pp. 45-59

Persistent link: https://www.econbiz.de/10011708768

Real options, risk aversion and markets : a corporate finance perspective

Ewald, Christian; Taub, Bart - In: The journal of corporate finance : contracting, … 72 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013209828