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 originalInglés
Título de la publicación alojadaStudies in Computational Intelligence
EditoresMarco A. C. Pacheco, Marley M. B. R. Vellasco
Lugar de publicaciónBerlin, Heidelberg
EditorialSpringer
ISBN (versión impresa)9783540929994, 9783540930006
DOI
EstadoPublicada - 2009

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