Real options, risk aversion and markets: A corporate finance perspective
نویسندگان
چکیده
We analyze how the presence of financial markets affects optimal exercise real options for a risk averse agent. Extending results Shackleton and Sodal (2005), we characterize rule in terms benchmark portfolio, even case an incomplete market, facilitating minimal martingale measure. unambiguously effect idiosyncratic on speed option. further show that systematic can accelerate execution reduce value call-type option, contrast with standard view both threshold are increasing volatility.
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ژورنال
عنوان ژورنال: Journal of Corporate Finance
سال: 2022
ISSN: ['0929-1199', '1872-6313']
DOI: https://doi.org/10.1016/j.jcorpfin.2022.102164