The limitations of no-arbitrage arguments for real options
We consider an option c which is contingent on an underlying (tilde S) that is not a traded asset. This situation typically arises in the context of real options. We investigate the situation when there is a "surrogate" traded asset S whose price process is highly correlated with that of (...
| Main Authors: | , |
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| Format: | Others |
| Language: | en |
| Published: |
SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
1999
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/110/1/document.pdf |