On the Value–Volatility Relationship in a Real Options Model

スポンサーリンク

概要

• 論文の詳細を見る

• In the analytical real options approach, the most important proposition that the value of the investment opportunity increases as the volatility increases has been proved by assuming the convexity of the drift of the stochastic differential equationdefined as the state variable. This paper demonstrates numerically that the convexity of the drift is not necessary for that proposition in the real options approach.

• 国立大学法人 京都大学大学院経済学研究科の論文

著者

• Shibata Takashi

  Graduate School of Economics, Kyoto University

関連論文

• Data of Project on Atmospheric Circulation and Material Cycle in the Antarctic, Part 3. Backscattering Properties of Tropospheric Clouds and Aerosols Observed by a Lidar at Dome Fuji Station in 1997
• Lidar Observations of Polar Stratospheric Clouds over Ny-Aalesund in the Winters of 1994/95-1996/97: Impact of the Temperature and the Temperature History on the PSC Structure
• 1. Determination of the Mixing State of PSC Particles(The Mixing State of Polar Stratospheric Cloud Particles in "Sandwich Structure" Observed by Lidar)
• アジア大陸の砂漠地域上空のエアロゾル数密度-サイズ分布--中国敦煌で2001年夏と秋に行われた自由大気中での気球観測
• 2. Numerical Simulations of the Optical Properties of the Liquid and Solid Particles with External Mixture of STS and NAT Particles(The Mixing State of Polar Stratospheric Cloud Particles in \"Sandwich Structure\" Observed by Lidar)
• D403 Vertical distribution of optical and microphysical properties of aerosol over Indo-Gangetic basin (IGB)
• Comparative analysis of measurements of stratospheric aerosol by lidar and aerosol sonde above Ny-Alesund in the winter of 1995 [Comparative analysis of lidar and OPC observations]
• On the Value–Volatility Relationship in a Real Options Model

スポンサーリンク