Valuing the Option to Invest in an Incomplete Market-Reference-Cited by-同舟云学术

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Valuing the Option to Invest in an Incomplete Market

Published:2006 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Henderson Vicky

Publisher

Elsevier BV

Reference21 articles.

1. General properties of option prices;Y Z Bergman;Journal of Finance,1996

2. Optimal investment, growth options and security returns;J B Berk;Journal of Finance,1999

3. Evaluating natural resource investments;M J Brennan;Journal of Business,1985

4. Stochastic capital theory;W Brock;John Robinson and Modern Economic Theory, G. Feiwel,1989

5. Nontraded asset valuation with portfolio constraints: A binomial approach;J Detemple;Review of Financial Studies,1999

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Irreversible investment with Cox–Ingersoll–Ross type mean reversion;Mathematical Social Sciences;2010-05

2. Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance;Special Volume: Mathematical Modeling and Numerical Methods in Finance;2009

3. Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates;Insurance: Mathematics and Economics;2008-02

4. Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk;Mathematical Methods of Operations Research;2007-12-08

5. Missed Opportunities: Optimal Investment Timing When Information is Costly;Journal of Financial and Quantitative Analysis;2007-06

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