# REAL OPTIONS VOLATILITY ESTIMATION WITH CORRELATED INPUTS

@article{Cobb2004REALOV, title={REAL OPTIONS VOLATILITY ESTIMATION WITH CORRELATED INPUTS}, author={B. Cobb and J. Charnes}, journal={The Engineering Economist}, year={2004}, volume={49}, pages={119 - 137} }

Real Options Analysis (ROA) provides a framework for valuing reactive and proactive managerial flexibility in investment decisions. Estimating the volatility parameter for a real options model is challenging because there are typically no historical returns for the underlying asset and no current market prices. A previously developed method of using simulation to estimate the volatility parameter for a real investment is demonstrated. The effects of serial price correlation and price-demand… Expand

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