Arbeitspapier
The valuation of N-phased investment projects under jump-diffusion processes
In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second case we consider cost uncertainty and assume that investment costs follow a jump-diffusion process.
- Language
-
Englisch
- Bibliographic citation
-
Series: Quaderni - Working Paper DSE ; No. 697
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
Corporate Finance and Governance: General
Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
- Event
-
Geistige Schöpfung
- (who)
-
Andergassen, Rainer
Sereno, Luigi
- Event
-
Veröffentlichung
- (who)
-
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
- (where)
-
Bologna
- (when)
-
2010
- DOI
-
doi:10.6092/unibo/amsacta/4544
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Andergassen, Rainer
- Sereno, Luigi
- Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
Time of origin
- 2010
Other Objects (12)
Valuing R & D Investments With A Jump-Diffusion Process
Option Valuation with Observable Volatility and Jump Dynamics
Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation
Simulation-based valuation of project finance investments : crucial aspects of power plant projects
Valuation and investment profession
A two-tiered approach to the valuation of investment projects adjusted for governance risk
An efficient sparse grid Galerkin approach for the numerical valuation of basket options under Kou's jump-diffusion model
Perpetual Barrier Options in Jump-Diffusion Models
Perpetual barrier options in jump-diffusion models
Real Estate Valuation and Investment
Financial Ex-ante Valuation of IT Projects
Which drift/diffusion formulas for velocity-jump processes?
Valuing R & D Investments With A Jump-Diffusion Process
Option Valuation with Observable Volatility and Jump Dynamics
Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation
Simulation-based valuation of project finance investments : crucial aspects of power plant projects
Valuation and investment profession
A two-tiered approach to the valuation of investment projects adjusted for governance risk
An efficient sparse grid Galerkin approach for the numerical valuation of basket options under Kou's jump-diffusion model
Perpetual Barrier Options in Jump-Diffusion Models
Perpetual barrier options in jump-diffusion models
Real Estate Valuation and Investment
Financial Ex-ante Valuation of IT Projects
Which drift/diffusion formulas for velocity-jump processes?
Valuing R & D Investments With A Jump-Diffusion Process
Option Valuation with Observable Volatility and Jump Dynamics
Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation
Simulation-based valuation of project finance investments : crucial aspects of power plant projects
Valuation and investment profession
A two-tiered approach to the valuation of investment projects adjusted for governance risk
An efficient sparse grid Galerkin approach for the numerical valuation of basket options under Kou's jump-diffusion model
Perpetual Barrier Options in Jump-Diffusion Models
Perpetual barrier options in jump-diffusion models
Real Estate Valuation and Investment
Financial Ex-ante Valuation of IT Projects