Revisiting corporate growth options in the presence of state-dependent cashflow risk

Alessandro Sbuelz; M. Caliari

doi:10.1016/j.ejor.2011.10.003

Revisiting corporate growth options in the presence of state-dependent cashflow risk

Alessandro Sbuelz^*
, M. Caliari

^*Corresponding author

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

Given a non-trivial market price of risk, we study the impact of state-dependent cashflow risk on the optimal investment policy and on the ensuing value of an unlevered firm that holds the option of scaling up cashflows from its assets in place upon incurring an irreversible cost. The firm’s investment decision and value are studied as a function of the market price of risk and of the degree of state dependence in cashflow risk.

Original language	English
Pages (from-to)	286-294
Number of pages	9
Journal	European Journal of Operational Research
Volume	220
Issue number	1
DOIs	https://doi.org/10.1016/j.ejor.2011.10.003
Publication status	Published - 2012

All Science Journal Classification (ASJC) codes

General Computer Science
Modelling and Simulation
Management Science and Operations Research
Information Systems and Management

Keywords

Corporate growth options
Market price of risk
State-dependent risk
Stock pricing

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10.1016/j.ejor.2011.10.003

Cite this

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KW - Corporate growth options

KW - Market price of risk

KW - State-dependent risk

KW - Stock pricing

KW - Corporate growth options

KW - Market price of risk

KW - State-dependent risk

KW - Stock pricing

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ER -

Revisiting corporate growth options in the presence of state-dependent cashflow risk

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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