An R&D Investment Game under Uncertainty in Real Option Analysis
Author
Suggested Citation
Download full text from publisher
References listed on IDEAS
- repec:bla:jfinan:v:43:y:1988:i:5:p:1235-56 is not listed on IDEAS
- Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
- McDonald, Robert L & Siegel, Daniel R, 1985. "Investment and the Valuation of Firms When There Is an Option to Shut Down," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 331-349, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Giovanni Villani, 2008. "R&D Cooperation in Real Option Game Analysis," Quaderni DSEMS 19-2008, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Flavia Cortelezzi & Giovanni Villani, 2009.
"Valuation of R&D Sequential Exchange Options Using Monte Carlo Approach,"
Computational Economics, Springer;Society for Computational Economics, vol. 33(3), pages 209-236, April.
- Flavia Cortelezzi & Giovanni Villani, 2008. "Valuation of R&D Sequential Exchange Options using Monte Carlo approach," Quaderni DSEMS 04-2008, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
- Hartwick, John M., 1995. "Capital gains and asset switching," Economics Letters, Elsevier, vol. 47(1), pages 63-67, January.
- Giovanni Villani, 2004. "Valutazione di opzioni exchange attraverso la simulazione Monte Carlo e stima delle sensitivita'," Quaderni DSEMS 10-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
- de La Bruslerie, Hubert & Deffains-Crapsky, Catherine, 2005.
"Takeover bids, unconditional offer price and investor protection,"
Review of Financial Economics, Elsevier, vol. 14(2), pages 103-126.
- Hubert de la Bruslerie & Catherine Deffains‐Crapsky, 2005. "Takeover bids, unconditional offer price and investor protection," Review of Financial Economics, John Wiley & Sons, vol. 14(2), pages 103-126.
- Hubert de La Bruslerie & Catherine Deffains-Crapsky, 2005. "Takeover bids, unconditional offer price and investors protection," Post-Print hal-01947321, HAL.
- Li, Minqiang, 2008. "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper 6994, University Library of Munich, Germany.
- van den Goorbergh, R.W.J., 2004. "Essays on optimal hedging and investment strategies and on derivative pricing," Other publications TiSEM 4b4b16af-8621-463f-bbfa-0, Tilburg University, School of Economics and Management.
- Giovanni Villani, 2008. "An R&D Investment Game under Uncertainty in Real Option Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 199-219, September.
- Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 537-567.
- Giovanni Villani, 2004. "Valutazione di progetti di investimento e-commerce attraverso le opzioni reali," Quaderni DSEMS 06-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
- Bengtsson, Jens, 2001. "Manufacturing flexibility and real options: A review," International Journal of Production Economics, Elsevier, vol. 74(1-3), pages 213-224, December.
- Ephraim Clark & Patrick Rousseau & Magid Gadad, 2010.
"Investor Valuation of the Abandonment Option: Empirical Evidence from UK Divestitures 1985-1991,"
Multinational Finance Journal, Multinational Finance Journal, vol. 14(3-4), pages 291-317, September.
- Ephraim Clark & Magid Gadad & Patrick Rousseau, 2010. "Investor Valuation of the Abandonment Option: Empirical Evidence from UK Divestitures 1985-1991," Post-Print hal-01847055, HAL.
- Ephraim Clark & Patrick Rousseau, 2002.
"Strategic parameters for capital budgeting when abandonment value is stochastic,"
Applied Financial Economics, Taylor & Francis Journals, vol. 12(2), pages 123-130.
- Ephraim Clark & Patrick Rousseau, 2010. "Strategic parameters for capital budgeting when abandonment value is stochastic," Post-Print hal-01839329, HAL.
- Flavia Cortelezzi & Giovanni Villani, 2012. "Strategic R&D Investment Under Information Revelation," The Engineering Economist, Taylor & Francis Journals, vol. 57(1), pages 20-40.
- Shackleton, Mark B. & Wojakowski, Rafal, 2007. "Finite maturity caps and floors on continuous flows," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3843-3859, December.
- Decamps, Jean-Paul & Faure-Grimaud, Antoine, 2000. "Excessive continuation and dynamic agency costs of debt," LSE Research Online Documents on Economics 119106, London School of Economics and Political Science, LSE Library.
- Martzoukos, Spiros H., 2001. "The option on n assets with exchange rate and exercise price risk," Journal of Multinational Financial Management, Elsevier, vol. 11(1), pages 1-15, February.
- Decamps, Jean-Paul & Faure-Grimaud, Antoine, 2002.
"Excessive continuation and dynamic agency costs of debt,"
European Economic Review, Elsevier, vol. 46(9), pages 1623-1644, October.
- Decamps, J.-P. & Faure-Grimaud, A., 2000. "Excessive Continuation and Dynamic Agency Costs of Debt," Papers 00-533, Toulouse - GREMAQ.
- Faure-Grimaud, Antoine & Décamps, Jean Paul, 2000. "Excessive continuation and Dynamic Agency Costs of Debt," CEPR Discussion Papers 2504, C.E.P.R. Discussion Papers.
- Décamps, Jean-Paul & Faure-Grimaud, Antoine, 2000. "Excessive Continuation and Dynamic Agency Costs of Debt," IDEI Working Papers 99, Institut d'Économie Industrielle (IDEI), Toulouse.
- Jean-Paul Décamps, 2000. "Excessive Continuation and Dynamic Agency Costs of Debt," FMG Discussion Papers dp348, Financial Markets Group.
- Giovanni Villani, 2022. "A Neural Network Approach to Value R&D Compound American Exchange Option," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 305-324, June.
More about this item
Keywords
Real Options; Exchange Options; Option games; Information Revelation.;All these keywords.
JEL classification:
- C70 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
- L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-COM-2007-01-13 (Industrial Competition)
- NEP-MIC-2007-01-13 (Microeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ufg:qdsems:10-2006. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Luca Grilli (email available below). General contact details of provider: https://edirc.repec.org/data/emsfoit.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.