Theoretical Papers
|
[2000] |
Downing, C. and N. Wallace,
"A Real Option Approach to Housing Investment" ,mimeo.
|
[2004] |
Ebenfeld, S. and D. Seidel,
"Buy or Not to Buy" ,mimeo.
|
[2004] |
Altomonte, c. and E. Perrings
"The Hazard Rate of Foreign Direct Investment: a Structural Estimation of a Real Option Model" ,Innocenzo Gasparini Institute Working Papers.
|
[2002] |
Shackleton, M. B., A. E.Tsekrekos, and R. Wojakowski
"Entry, exit and activation probability in a two—player real options game" ,mimeo.
|
[2002] |
Novy-Marx, R.
"An Equilibrium Model of Investment Under Uncertainty" ,mimeo.
|
[2007] |
Pyo, U.
"New Bounds on Real Option Values" ,mimeo.
|
[2004] |
Arnold, T. and T. F. Crack
"Real Option Valuation using NPV" ,mimeo.
|
[1999] |
Grenadier,S. R., and N. Wang
"Investment Timing, Agency and Information" ,The Bradley Policy Research Center, Working Paper.
|
[2003] |
Jing Chen
"An Analytical Theory of Project Investment. A Comparison with Real Option Theory" ,mimeo.
|
[2002] |
Moretto, M. and P. Rosato
"The Use of Common Property Resources: A Dynamic Model" ,Feem Working Paper.
|
[2000] |
Draho, J.
"The Timing of Initial Public Offerings: A Real Option Approach" ,mimeo.
|
[2005] |
Padalino, R.
"Strategie Competitive e Opzioni Reali" ,Department of Economic, Mathematical Sciences, Working Papers, University of Foggia.
|
[2002] |
Pawlina, G. and P. M. Kort
"The Strategic Value of Flexible Quality Choice: a Real Options Analysis" ,mimeo.
|
[2001] |
Bosetti, V. and E., Messina
"Quasi Option Value and Irreversible Choices" ,Feem Working Paper.
|
[2003] |
Samis, M, D., Laughton. and R., Poulin
"Risk Discounting: The Fundamental Difference between the Real Option and Discounted Cash Flow Project Valuation Methods" ,KMC Working Paper 2003-1.
|
[2006] |
Huang, P.H. and J. A. Grundfest
"The Unexpected Value of Litigation: A Real Options Perspective" ,Princeton Law and Public Affairs Working Paper Series.
|
[1999] |
Bessen, J.
"Real Options and the Adoption of New Technologies" ,mimeo.
|
[2002] |
Padalino, R.
"Opzioni reali e Investimenti in Ricerca e Sviluppo" ,mimeo.
|
[2002] |
Niemann, R. and C. Sureth
"Taxation Under Uncertainty – Problems of Dynamic Programming and Contingent Claims Analysis in Real Option Theory" ,CESifo Working Paper No. 709 (1).
|
[2002] |
Trigeorgis, L.
"Real Options and Investment Under Uncertainty: WHat Do We Know?" , National Bank of Belgium, WOrking Paper.
|
[1993] |
Trigeorgis, L
"The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options" ,The Journal of Financial and Quantitative Analysis, Vol. 28, No. 1., pp. 1-20.
|
[2006] |
Arnold, T., T. F. Crack, and A. Schwartz
"Valuing Real Options using Implied Binomial Trees and Commodity Futures Options" ,mimeo.
|
[2004] |
Arnold, T. and T. F. Crack
"Using the WACC to Value Real Options" ,mimeo.
|
[1989] |
Dixit, A.
"Hysteresis, Import Penetration, and Exchange Rate Pass-Through" ,The Quarterly Journal of Economics, Vol. 104, No. 2, pp. 205-228.
|
[2001] |
Pindyck, R. S.
"The dynamics of commodity spot and futures markets: A primer" ,The Energy Journal; 22.
|
[2000] |
Dixit, A. and R. S., Pindyck
"Expandability, Reversibility and Optimal Capacity Choice" ,in Brennan and Trigeorgis.
|
[1997] |
Dixit, A., R. S. Pindyck and S., Sodal
"A Mark-up Interpretation of Optimal Rules For Irreversible Investment" ,NBER WOrking Paper, 5871.
|
[2004] |
Pindyck, R. S.
"Volatility and Commodity Price Dynamics" ,The Journal of Futures Markets, Vol. 24, No. 11, 1029–1047.
|
[1995] |
Dixit, A., and R. S. Pindyck
"The Options Approach to Capital Investments" ,Harvard Business Review.
|
[1989] |
Dixit, A.
"Entry and Exit Decisions under Uncertainty" ,The Journal of Political Economy, Vol. 97, No. 3, pp. 620-638.
|
[2005] |
Anam, M., S-H, Chiang and L. Hua
"Uncertainty and International Migration: An Option cum Portfolio Model" ,mimeo.
|
Theoretical Papers: Labour
|
[2007] |
Badders, B., L. C. Clark and P. M. Wright
"Uncertainty and Human Capital Decisions: Traditional Valuation Methods and Real Options Logic" ,CAHRS Working Paper Series.
|
[2000] |
Bhattacharya, M. and P. M. Wright
"Recognizing Risk in Human Capital Investments: A Real Options Approach to Strategic Human Resource Management" ,CAHRS Working Paper Series.
|
[2007] |
Jacobs, B.
"Real Option and Human Capital Investment" ,CESifo Wworking Paper n. 1982.
|
[2007] |
Moretto, M.,and G., Rossini
"Are Workers’ Enterprises Entry Policies Conventional" ,Feem Working Paper, 31.2007.
|
Theoretical Papers: Migration
|
[2008] |
Moretto, M. and S. Vergalli
"Migration DYnamics" ,The Journal of Economics.
|
[2004] |
Anam, M., S-H. Chiang and L. Hua
"Uncertainty and International Migration: An Option cum Portfolio Model" ,mimeo.
|
[2008] |
Moretto, M. and S. Vergalli
"Managing Migration through Quotas: an Option-theory Perspective" ,Feem Working Paper.
|
[2007] |
S. Vergalli
"The Role of Community in Migration Dynamics" ,Feem Working Paper.
|
Environmental Economics
|
[1998] |
Dosi, C. and M. Moretto,
"Is Ecolabelling a Reliable Environmental Measure?" ,University of Padua Working Paper.
|
[1985] |
Sheridan Titman
"Urban Land Prices Under Uncertainty" ,The American Economic Review, Vol. 75, No. 3., pp. 505-514.
|
[2000] |
Robert S. Pindyck
"Irreversibilities and The Timing Of Environmental Policy" ,mimeo.
|
[2004] |
D'ALpaos, C. and M. Moretto
"The Value of Flexibility in the Italian Water Service Sector: A Real Option Analysis" ,Feem Working Paper, n. 140.2004 .
|
[2004] |
Dosi,C. and M., Moretto
"Environmental Innovation, War of Attrition and Investment Grants" ,Feem Working Paper, 156.2004.
|
[2001] |
Jones, G. and , K-H., Storchmann
"Wine market prices and investment under uncertainty: an econometric model for Bordeaux Crus Classés" ,Agricultural Economics 26, 115–133.
|
[2000] |
Pindyck, R. S.
"Irreversibilities and the timing of environmental policy" ,Resource and Energy Economics 22, pp. 233–259.
|
[2002] |
Pindyck, R. S.
"Optimal timing problems in environmental economics" ,Journal of Economic Dynamics & Control 26, 1677 – 1697.
|
[2006] |
Pindyck, R. S.
"Uncertainty in Environmental Economics" ,Review of Environmental Economics and Policy.
|
Applied Papers
|
[1999] |
Gonzalo, C.
"Simulation and Numerical Methods in Real Options Valuation" ,mimeo.
|
[1993] |
Quigg, L.
"Empirical Testing of Real Option-Pricing Models" ,The Journal of Finance, Vol. 48, No. 2., pp. 621-640.
|
[2001] |
Baudry, M.
"A Real Option Model with Bayesian Learning and its Application To Environmental Preservation" ,CREREG Working Paper.
|
[2004] |
Bosetti, V. and D. Tomberlin
"Real Options Analysis of Fishing Fleet Dynamics: A Test" ,Feem Working Paper, 102.2004.
|
[2003] |
Colwell, D., T., Henker and J., Ho
"Real Options Valuation of Australian Gold Mines and Mining Companies" ,mimeo.
|
[2000] |
Moel, A. and P. Tufano
"When are real options exercised? An empirical study of mine closings" ,mimeo.
|
[2007] |
Favato, G. and R. W. Mills
"Real Options for PlayStation" ,Henley Discussion Paper Series.
|
[2004] |
Lavoie, B. M.
"Real Options and the Management of R&D Investment: An Analysis of Comparative Advantage, Market Structure, and Industry Dynamics in Biotechnology" ,Dissertation.
|
[2004] |
Pindyck, R. S.
"Mandatory Unbundling and Irreversible Investment in Telecom Networks" ,NBER Working Paper, 10287.
|
[2003] |
Berndt, E. R., R. S.,Pindyck, and P., Azoulay
"Consumption Externalities and Diffusion in Pharmaceutical Markets: Antiulcer Drugs" ,Journal of Industrial Economics.
|
Energy
|
[1996] |
Dickens,R. N., and J. Lohrenz
"Evaluating Oil and Gas Assets: Option Pricing Methods Prove No Panacea" ,Journal Of Financial And Strategic Decisions, Volume 9 Number 2.
|
[1999] |
Lund, M. W.
"Real Options in Offshore Oil Field Development Projects" ,mimeo.
|
[2004] |
Davis, G. and R. Schantz
"Selling and Managing Offshore Oil Leases: A Real Options Analysis" ,mimeo.
|
[1988] |
James L. Paddock; Daniel R. Siegel; James L. Smith
"Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases" ,The Quarterly Journal of Economics, Vol. 103, No. 3., pp. 479-508.
|
[1998] |
Smith, J. E. and K. F. Mccardle
"Valuing Oil Properties: Integrationg Option Pricing and Decision Analysis Approach" ,Operations Research, Vol. 46, No. 2.
|
[1999] |
Pindyck, R. S.
"The long-run evolution of energy prices" ,The Energy Journal, 20 (2).
|
[2004] |
Pindyck, R. S.
"Volatility in Natural Gas and Oil Markets" ,The Journal of Energy and Development, Vol. 30, n. 1.
|
Industrial Economics
|
[2007] |
Dosi, C. and M. Moretto,
"Concession Bidding Rules and Investment Time Flexibility" ,Feem Nota di Lavoro.
|
[2005] |
Moretto, M. and G. Rossini
"Start-up Entry Strategies: Employer vs. Nonemployer firms" ,Feem Working Papers.
|
[2006] |
M. Moretto and P. Panteghini
"Preemption, Start-Up Decisions And The Firms’ Capital Structure" ,CeSifo Working Paper No. 2006.
|
[2003] |
Robert S. Pindyck
"Mandatory Unbundling And Irreversible Investment In Telecom Networks" ,mimeo.
|
[2003] |
Moretto, M., P. Panteghini and C., Scarpa
"Investment Size and Firm's Value under Profit Sharing Regulation" ,CESifo Wroking Paper Series No 1040.
|
[2005] |
Pindyck, Robert S.
"Sunk Costs and Real Options in Antitrust" ,MIT Sloan Working Paper 4545-05.
|
[2005] |
Chiara D.Alpaos, C. , C. Dosi
and M. Moretto
"Concession Length and Investment Timing Flexibility" ,Feem Working Paper, n. 32.2005.
|
[2000] |
Bloom, N.
"The Real Options Effect of Uncertainty on Investment and Labor Demand" ,IFS Working Paper.
|
[1996] |
Caballero, R. and R. S. Pindyck
"Uncertainty, Investment and Industry Evolution" ,International Economic Review, Vol. 37, No. 3..
|
Authors
|
[-] |
ROBERT S. PINDYCK
|
[-] |
AVINASH K. DIXIT
|
[-] |
LENOS TRIGEORGIS
|
[-] |
STEVEN GRENADIER
|
[-] |
NALIN KULATILAKA
|
[-] |
NENG WANG
|
[-] |
SIGBJORN SODAL
|
[-] |
MICHELE MORETTO
|
[-] |
ADAM SCHWARTZ
|
[-] |
PAULI MURTO
|
[-] |
MICHAEL FUNKE
|
[-] |
YU-FU CHEN
|
Books
|
[-] |
Dixit, A. and R. Pindyck,
Investment Under Uncertainty
|
Links
|
[-] |
ANNUAL CONFERENCE ON REAL OPTIONS
|
[-] |
CESifo: Operating Uncertainty Using Real Options
|
[-] |
MARCO DIAS PAGE ON REAL OPTIONS
|