2 papers
q-fin.GN2021
Risk-Adjusted Valuation for Real Option Decisions
Carol Alexander, Xi Chen, Charles Ward
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash…
q-fin.GN2018
Model Risk in Real Option Valuation
Carol Alexander, Xi Chen
We introduce a general decision tree framework to value an option to invest/divest in a project, focusing on the model risk inherent in the assumptions made by standard real option…