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

^*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in rivista › Articolo › peer review

6 Citazioni (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.

Lingua originale	Inglese
pagine (da-a)	286-294
Numero di pagine	9
Rivista	European Journal of Operational Research
Volume	220
Numero di pubblicazione	1
DOI	https://doi.org/10.1016/j.ejor.2011.10.003
Stato di pubblicazione	Pubblicato - 2012

All Science Journal Classification (ASJC) codes

Informatica Generale
Modellazione e Simulazione
Scienze della Gestione e Ricerca Operativa
Sistemi Informativi e Gestione dell’Informazione

Keywords

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

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10.1016/j.ejor.2011.10.003

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KW - Stock pricing

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

Abstract

All Science Journal Classification (ASJC) codes

Keywords

Accesso al documento

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