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Journals and Conferences
This work presents a real options approach to the valuation of multiple investment projects, focusing on the case of option to expand and/or to contract. Proper valuation formulas are obtained by solving Black–Scholes PDE and the impact of strategic interaction among multiple options is studied. c © 2006 Elsevier Ltd. All rights reserved.
A model is proposed to study optimal trading strategies in a limit order book, as typically arise when a trader has a block of shares to liquidate and she submits limit orders. The execution of limit orders is uncertain, which leads to a stochastic control problem. In contrast to previous literature, we allow the trader to choose both the quotes and the… (More)
We relax the classical price-taking assumption and study the impact of orders of arbitrary size on price when the availability of liquidity is a concern in hedging. Our paper extends the earlier literature, in that illiquidity is modeled both in terms of depth and resilience. Some of our results hold for more general stochastic processes for the underlying,… (More)
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versions arising in option pricing theory.
The vague notion of "probabilistic patents" (Lemley and Shapiro, 2005) is formalized through a model which combines real option theory and a fuzzy methodology. The imprecise ideas the patent holder possesses about her future profits, the validity and scope of the patent, the litigation costs, the court’s decision. etc. under a regime of imperfect… (More)