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SCOPUS (1996,1998-2000,2002-2025)SSCI-ISI
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Lĩnh vực:
Economics, Econometrics and Finance (miscellaneous)Finance
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Các bài báo tiêu biểu
Option pricing when correlations are stochastic: an analytical framework
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Optimal investment and production decisions and the value of the firm
- 1998
We explore the effects of uncertainty on a firm that can respond by modifying
its investment or production schedule (or both simultaneously) to variations in
output price. Investment may increase capacity and/or reduce costs. We consider
a firm with finite resources. Our model uses option theory instead of the more
traditional net present value framework. One of the early papers using this
approac...