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• W1517921471 abstract "Traditional tools based on DCF methods fail to capture the value ofR&D projects because of their dependence on future events that are uncertain at the time of the initial decision. We consider a continuous-timeframework where information arrives both continuously and discontinu-ously. This is modelled by a jump-di¤usion process. This assumptionbetter decribes the evolution of asset value due to the risky nature ofmany real investments. The main contribution of this paper is to derivea closed-form solution for the multicompound option to value sequentialinvestment opportunities when the underlying asset may reasonably undergo the possibility of jumps in value." @default.
• W1517921471 created "2016-06-24" @default.
• W1517921471 creator A5010885700 @default.
• W1517921471 date "2006-01-01" @default.
• W1517921471 modified "2023-09-27" @default.
• W1517921471 title "Valuing R & D Investments With A Jump-Diffusion Process" @default.
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• W1517921471 doi "https://doi.org/10.6092/unibo/amsacta/4718" @default.
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