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- W2074493997 abstract "Investment opportunities that are deferrable over a finite period of time are finite-lived American exchange options. Although such investment opportunities can be valued using the Carr [Carr, P., 1988, The Valuation of Sequential Exchange Opportunities, Journal of Finance 43:5, 1235–1256.] model, the derivation of this model is not very accurate when correctly formulated. Furthermore, past applications (e.g., [Taudes, A. 1998, Software Growth Options, Journal of Management Information Systems 15: 1, 165–185.]) have implemented the model without correcting for an important typo in the Carr paper. While such investment opportunities are more accurately valued using the Carr [Carr, P. 1995, The Valuation of American Exchange Options with Application to Real Options, in: L.Trigeorgis, ed, Real Options in Capital Investment: Models, Strategies and Applications (Praeger, Westport, Connecticut, London).] model, this model suffers from the problem known as “non-uniform convergence”. This paper proposes a modified approach for estimating the Carr [Carr, P., 1988, The Valuation of Sequential Exchange Opportunities, Journal of Finance 43:5, 1235–1256.] model that emits more accurate output values with a minimal addition of mathematical and computational cost. The paper then demonstrates the superiority of this modified model for three real investment opportunities." @default.
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- W2074493997 date "2007-03-01" @default.
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- W2074493997 title "A modified finite-lived American exchange option methodology applied to real options valuation" @default.
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- W2074493997 doi "https://doi.org/10.1016/j.gfj.2006.05.006" @default.
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