Valuing the option to invest in an incomplete market
By Vicky Henderson. 2007
181 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/650c3f161b771489a93845c68c4e7f7b70e3b31c
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- David Hobson *
- Vicky Henderson
- P. M. Kort
- M. Trojanowska
- Dimitris Papanikolaou
- Vasia Panousi
- Jeffrey J. Reuer
- Lenos Trigeorgis
In Finance
- David Hobson *
- Vicky Henderson
- Lenos Trigeorgis
- Jeffrey J. Reuer
- P. M. Kort
- M. Trojanowska
- Dimitris Papanikolaou
- Vasia Panousi
Citations in the corpus
- Investment, Consumption, and Hedging Under Incomplete Markets (2007, unknown): “Hugonnier and Morellec (2005) apply a concave utility function to both the payoff and the interest cost of investment, and show that risk aversion further delays investment compared with the standard real options prediction.”
- Horizon-unbiased utility functions (2007, methodology): “Both [8] and [6] consider the perpetual version of the problem, and hence it is important that they use a horizon-unbiased utility function.”
- Real options theory in strategic management (2017, background): “…of a real option’s value, including the underlying asset value (i.e., the value of the cash flows associated with the investment) or exercise cost (i.e., 3 For a discussion on incomplete markets or subjective utility-based risk averse entrepreneurial preferences see Henderson (2002, 2007).”
- The Worst Case for Real Options (2010, background): “For an extensive discussion on the real options models in incomplete markets (with partly spanning assets) the reader is referred to [ 33 ]a nd [34].”
- Utility indifference pricing : an overview (2009, background): “Henderson [37] obtains indifference prices in closed form for perpetual American options on a non-traded asset under exponential utility.”
- Investment, Idiosyncratic Risk, and Ownership (2011, background): “More recently, a number of papers explore the effect of managerial risk aversion and idiosyncratic risk on the timing of investment decisions in real option models [Hugonnier and Morellec, 2007b; Hugonnier and Morellec, 2007a; Henderson, 2007; Miao and Wang, 2007; Chen, Miao and Wang, 2009].”