Pricing options on investment project expansions under commodity price uncertainty
In this work we develop PDE-based mathematical models for valuing real options on investment project expansions when the underlying commodity price follows a geometric Brownian motion. The models developed are of a similar form as the Black-Scholes model for pricing conventional European call option...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
American Institute of Mathematical Sciences
2019
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| Online Access: | http://hdl.handle.net/20.500.11937/74514 |