Sergio Vergalli 
 

Dept. of Economics 

University of Brescia 

Via San Faustino, 74/b 

25122 Brescia, Italy 

Phone:  

+39 030.298.88.10  

Fax:  

+39 030.298.88.37  

E-mail:  

vergalli@eco.unibs.it 

 

 

REAL OPTIONS - OPZIONI REALI   
Publications    Authors    Books    Links    Homepage   

Publications and Working Papers on Real Options
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

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