Appendix G – Analytical Model of the Expansion Option Problem

Juan Guillermo Lazo Lazo

doi:10.1007/978-3-540-93000-6_14

Appendix G – Analytical Model of the Expansion Option Problem

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

This appendix presents the analytical model of the expansion option problem shown in Chapter 5. The characteristics of this problem are similar to those of the problem analyzed by Batista in [1] and by Dixit and Pindyck in [2].

Dixit and Pindyck establish an analogy between a real option and a financial call option where the underlying asset price, the project value V, follows an exogenous stochastic process.

Original language	English
Title of host publication	Studies in Computational Intelligence
Editors	Marco A. C. Pacheco, Marley M. B. R. Vellasco
Place of Publication	Berlin, Heidelberg
DOIs	https://doi.org/10.1007/978-3-540-93000-6_14
State	Published - 2009

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10.1007/978-3-540-93000-6_14

Cite this

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title = "Appendix G – Analytical Model of the Expansion Option Problem",

abstract = "This appendix presents the analytical model of the expansion option problem shown in Chapter 5. The characteristics of this problem are similar to those of the problem analyzed by Batista in [1] and by Dixit and Pindyck in [2].Dixit and Pindyck establish an analogy between a real option and a financial call option where the underlying asset price, the project value V, follows an exogenous stochastic process.",

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AB - This appendix presents the analytical model of the expansion option problem shown in Chapter 5. The characteristics of this problem are similar to those of the problem analyzed by Batista in [1] and by Dixit and Pindyck in [2].Dixit and Pindyck establish an analogy between a real option and a financial call option where the underlying asset price, the project value V, follows an exogenous stochastic process.

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DO - 10.1007/978-3-540-93000-6_14

M3 - Capítulo de libro

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SN - 9783540930006

BT - Studies in Computational Intelligence

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