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

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Resumen

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.

Idioma original	Inglés
Título de la publicación alojada	Studies in Computational Intelligence
Editores	Marco A. C. Pacheco, Marley M. B. R. Vellasco
Lugar de publicación	Berlin, Heidelberg
DOI	https://doi.org/10.1007/978-3-540-93000-6_14
Estado	Publicada - 2009

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