identified as three significant breaks. -- real options ; oil ; volatility ; CAPM ; comparative statics … market is nonpositive and not invariant to changes in volatility. For crude oil during 1993-2008, these changes are … volatility need not be increased value and postponed investment. This depends on signs of correlations and what parameters are …

market is nonpositive and not invariant to changes in volatility. For crude oil during 1993–2008, these changes are … volatility need not be increased value and postponed investment. This depends on signs of correlations and what parameters are … held constant. For real options, the rate-of-return shortfall may change. The CAPM is commonly used to determine this. In …

We value two real options related to offshore petroleum production. We consider expansion of an offshore oil field by … develop at current oil prices, the option to tie in such satellites can have a significant value if the oil price increases …: oil price risk and production uncertainty. The option valuation is based on the Least-Squares Monte Carlo algorithm …

. First, empirical data are often characterized by time-varying volatility and fat tails; therefore we use Gaussian GAS …

volatility risk that illiquidity and virtually all impediments to trade cannot be priced in the absence of excess short …, to show that market volatility is systematically priced. Moreover, only in the presence of non-binding but higher short …

This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with … changing volatility. During cash flow simulation, present value of the future cash flows and their corresponding cash flow … provide all the information required for estimating how the standard deviation and volatility of the stochastic process change …