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The Engineering Economist
A Journal Devoted to the Problems of Capital Investment
Volume 53, 2008 - Issue 3: Special Issue on Financial Engineering
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Original Articles

Can We Capture the Value of Option Volatility?

Neal A. Lewis University of Bridgeport, Bridgeport, Connecticut, USA
,
Ted G. Eschenbach TGE Consulting, Anchorage, Alaska, USA
&
Joseph C. Hartman University of Florida, Gainesville, Florida, USA
Pages 230-258 | Published online: 22 Aug 2008

Citations (18)

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Tom Arnold, Timothy Falcon Crack, Cassandra D. Marshall & Adam Schwartz. (2023) Introducing a real option framework for EVA/MVA analysis. The Engineering Economist 68:4, pages 190-210.
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Gillian M. Nicholls, Neal A. Lewis, Liang Zhang & Zhuoyuan Jiang. (2014) Breakeven Volatility for Real Option Valuation. Engineering Management Journal 26:2, pages 49-61.
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DavidG. Carmichael, ArielM. Hersh & Praneeth Parasu. (2011) Real Options Estimate Using Probabilistic Present Worth Analysis. The Engineering Economist 56:4, pages 295-320.
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Kelsey Barton & Yuri Lawryshyn. (2011) Integrating Real Options with Managerial Cash Flow Estimates. The Engineering Economist 56:3, pages 254-273.
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TomW. Miller. (2011) Active Management of Real Options. The Engineering Economist 56:3, pages 205-230.
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PaulR. Gradl, AlishaD. Youngblood, PaulJ. Componation & SampsonE. Gholston. (2009) Considering Risk Within Net Present Value: Calculations for Government Projects. The Engineering Economist 54:2, pages 152-174.
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TedG. Eschenbach, NealA. Lewis & JosephC. Hartman. (2009) Technical Note: Waiting Cost Models for Real Options. The Engineering Economist 54:1, pages 1-21.
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Articles from other publishers (11)

G. D’Amico, R. De Blasis & V. Vigna. (2024) Advertising investments on television: real option estimation through Markov chains. Quality & Quantity.
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Rosa-Isabel González-Muñoz, Jesús Molina-Muñoz, Andrés Mora-Valencia & Javier Perote. (2024) Real Options Volatility Surface for Valuing Renewable Energy Projects. Energies 17:5, pages 1225.
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David G. CarmichaelDavid G. Carmichael. 2020. Future-proofing—Valuing Adaptability, Flexibility, Convertibility and Options. Future-proofing—Valuing Adaptability, Flexibility, Convertibility and Options 77 97 .
David G. CarmichaelDavid G. Carmichael. 2020. Future-proofing—Valuing Adaptability, Flexibility, Convertibility and Options. Future-proofing—Valuing Adaptability, Flexibility, Convertibility and Options 13 29 .
Jan M. Smolarski, Neil Wilner & Jose G. Vega. (2019) Dynamic transfer pricing under conditions of uncertainty – the use of real options. Journal of Accounting & Organizational Change 15:4, pages 535-556.
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David G. CarmichaelTuan Anh NguyenXuesong Shen. (2019) Single Treatment of PPP Road Project Options. Journal of Construction Engineering and Management 145:2.
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Mohammad Saied Andalib, Mehdi Tavakolan & Behrouz Gatmiri. (2018) Modeling managerial behavior in real options valuation for project-based environments. International Journal of Project Management 36:4, pages 600-611.
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Steven Richardson, Adrian Kefford & Melinda Hodkiewicz. (2013) Optimised asset replacement strategy in the presence of lead time uncertainty. International Journal of Production Economics 141:2, pages 659-667.
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Shahrokhshahi Zahra & Raei Reza. (2012) Asian real option: New approach to project economic valuation. Asian real option: New approach to project economic valuation.
H. Kent Baker & Philip EnglishTom Arnold & Bonnie Buchanan. 2011. Capital Budgeting Valuation. Capital Budgeting Valuation 299 320 .
James J. Cochran, Louis A. CoxJr.Jr., Pinar Keskinocak, Jeffrey P. Kharoufeh & J. Cole SmithJeffrey M. Keisler & Paul Y. Mang. 2011. Wiley Encyclopedia of Operations Research and Management Science. Wiley Encyclopedia of Operations Research and Management Science.

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