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Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk

https://doi.org/10.1007/s00186-007-0190-9
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Deterministic and Stochastic Optimal Control
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Valuing the option to invest in an incomplete market
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Investment under alternative return assumptions Comparing random walks and mean reversion
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Determinants of corporate borrowing
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Horizon-unbiased utility functions
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Real options with constant relative risk aversion
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A new technique for calibrating stochastic volatility models: the Malliavin gradient method
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Arbitrage Theory in Continuous Time
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VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
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Handbook of Mathematical Functions
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OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
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Local volatility in the Heston model: a Malliavin calculus approach
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Investment under Uncertainty
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Malliavin Differentiability of the Heston Volatility and Applications to Option Pricing
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Geometric Mean Reversion: Formulas for the Equilibrium Density and Analytic Moment Matching
inferredcites →https://doi.org/10.2307/1884175openalex-snapshot
The Value of Waiting to Invest
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Investment Under Uncertainty.
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Deterministic and Stochastic Optimal Control.

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information
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The Pricing and Timing of the Option to Invest for Cash Flows with Partial Information
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