REAL OPTIONS VOLATILITY ESTIMATION WITH CORRELATED INPUTS

@article{Cobb2004REALOV,
  title={REAL OPTIONS VOLATILITY ESTIMATION WITH CORRELATED INPUTS},
  author={Barry R. Cobb and John M. Charnes},
  journal={The Engineering Economist},
  year={2004},
  volume={49},
  pages={119 - 137}
}
  • B. Cobb, J. Charnes
  • Published 1 January 2004
  • Business, Economics
  • The Engineering Economist
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… 

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BIOGRAPHICAL SKETCHES BARRY R. COBB is a Ph.D. student in decision sciences at The University of Kansas School of Business in Lawrence, Kansas (brcobb@ku.edu)

  • 1997