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dc.contributor.authorRalph, Danielen
dc.contributor.authorLange, R-Jen
dc.contributor.authorStore, Ken
dc.date.accessioned2019-01-22T00:32:03Z
dc.date.available2019-01-22T00:32:03Z
dc.date.issued2020-03en
dc.identifier.issn0022-1090
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/288343
dc.description.abstractWe provide a new framework for valuing multidimensional real options where opportunities to exercise the option are generated by an exogenous Poisson process; this can be viewed as a liquidity constraint on decision times. This approach, which we call the Poisson optional stopping times (POST) method, finds the value function as a monotone sequence of lower bounds. In a case study, we demonstrate that the frequently used quasi-analytic method yields a suboptimal policy and an inaccurate value function. The proposed method is demonstrably correct, straightforward to implement, reliable in computation and broadly applicable in analyzing multidimensional option-valuation problems.
dc.description.sponsorshipUniversity of Cambridge Judge Business School small research grant 2016
dc.publisherCambridge University Press
dc.titleReal-option valuation in multiple dimensions using Poisson optional stopping timesen
dc.typeArticle
prism.endingPage677
prism.issueIdentifier2en
prism.publicationDate2020en
prism.publicationNameJournal of Financial and Quantitative Analysisen
prism.startingPage653
prism.volume55en
dc.identifier.doi10.17863/CAM.35657
dcterms.dateAccepted2018-12-28en
rioxxterms.versionofrecord10.1017/S0022109019000048en
rioxxterms.versionAM
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserveden
rioxxterms.licenseref.startdate2020-03en
dc.contributor.orcidRalph, Daniel [0000-0002-1079-4081]
dc.identifier.eissn1756-6916
rioxxterms.typeJournal Article/Reviewen
cam.issuedOnline2019-01-15en


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