Pricing options on investment project expansions under commodity price uncertainty

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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...

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Bibliographic Details
Main Authors:	Li, N., Wang, Song
Format:	Journal Article
Published:	American Institute of Mathematical Sciences 2019
Online Access:	http://hdl.handle.net/20.500.11937/74514

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