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“An inter-temporal general equilibrium model of asset prices.”, Cranley, R. and Patterson, T.N.L. “Good lattice points, discrepancy and numerical integration.”, © Springer Science+Business Media New York 2013, https://doi.org/10.1007/978-1-4614-5360-4, Reference Module Humanities and Social Sciences, A Critical Evaluation of the Portfolio Performance Indices Under Rank Transformation, Corporate Failure: Definitions, Methods, and Failure Prediction Models, Experimental Economics and the Theory of Finance, Merger and Acquisition: Definitions, Motives, and Market Responses, Multistage Compound Real Options: Theory and Application, The Microstructure/Micro-Finance Approach to Exchange Rates, Fundamental Tradeoffs in the Publicly Traded Corporation. Keeley, R.H., Punjabi, S., and Turki, L. (1996). ScienceDirect ® is a registered trademark of Elsevier B.V. ScienceDirect ® is a registered trademark of Elsevier B.V. It is found that secant method for finding critical values combined with Lattice method and run by Fortran gave the fastest computing speed, taking only 1 s to perform the computation. Copyright © 2020 Elsevier B.V. or its licensors or contributors. “Finance theory and financial strategy.”, Myers, S.C. (1987). “The approximate calculation of multiple integral using number-theoretic methods.”, Lin, W.T. “Finding a zero by means of successive linear interpolation,” in Dejon and Henrici (eds. “Determinants of corporate borrowing.”, Myers, S.C. (1984). “Computing a multivariate normal integral for valuing compound real options.”, Luehrman, T.A. The worldwide average sales price is the underlying variable and the average production cost of the new DRAM foundry is the exercise price. This is a preview of subscription content, Amram, M.H. Geske, R. (1977). It has been found that there is only a 4.6% difference between the market IPO price and the estimated one. Over 10 million scientific documents at your fingertips. (2002). Ibbotson, R.G. (1978). (1973) “An intertemporal capital asset pricing model.”, Myers, S.C. (1977). “Randomization of number theoretic methods for multiple integration.”, Dekker, T.J. (1969). 0000004828 00000 n
Volatility, which is calculated by means of a Monte Carlo simulation according to the logarithmic-present-value-returns approach, shows predominant sensitivity to the capacity factor simulated with the rescaled Weibull's probability distribution. “Stocks Bonds, Bills, and Inflation Yearbook.” Chicago: Ibbotson Associates. Compound Real Options with the Pay-off Method: a Three-Stage R&D Case Illustration Compound real options are combinations of real options, where an exercise of a real option opens another real option. “Real Options: A Practitioner’s Guide.” New York: Texere, LLC. 0000001919 00000 n
(1969). Brent, R.P. “Comparison of methods for the computation of multivariate normal probabilities.” Working Paper. By continuing you agree to the use of cookies. and Kulatilaka, N.H. (1999). We compared computing speeds and errors of three numerical integration methods. “Time to build, option value, and investment decisions.”, McDonald, R. and Siegel, D. (1984). (1971). (1976). (1993). 0000001078 00000 n
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(1999). and Antikarov, V. (2001). We estimate the dividend-like yield with two methods, and find the yield to be negative.
Trigeorgis, L. (1996). The negative dividend-like yield results from the negative correlation between the newly constructed DRAM foundry and its twin security, implying the diversification advantage of a new generation of DRAM foundry with a relative low cost of investment opportunity.
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