RISK-NEUTRAL OPTION PRICING METHODS FOR ADJUSTING CONSTRAINED CASH FLOWS

REFERENCES

• S.A. ANDREOU , “ A capital budgeting model for product-mix flexibility ,” Journal of Manufacturing and Operations Management 3 ( 1990 ) 5 – 23 .
   Google Scholar
• J.R. BIRGE , “ Option methods for incorporating risk into linear planning models ,” Technical Report 95-8 , Department of Industrial and Operations Engineering, University of Michigan ( Ann Arbor , Mich. , 1995 ).
   Google Scholar
• J.R. BIRGE , “ Stochastic programming computation and applications State-of-the-art survey ,” INFORMS Journal on Computing 9 ( 1997 ) 111 – 133 .
   Google Scholar
• F. BLACK and M. SCHOLES , “ The pricing of options and corporate liabilities ,” Journal of Political Economy 81 ( 1973 ), 737 – 654 .
   Google Scholar
• G.M. CONSTANTINIDES , “ Market risk adjustment in project valuation ,” Journal of Finance 33 ( 1978 ), 603 – 616 .
   Web of Science ®Google Scholar
• J.C. Cox , S.A. Ross , and M. RUBINSTEIN , “ Option pricing A simplified approach ,” Journal of Financial Economics 7 ( 1979 ), 229 – 263 .
   Web of Science ®Google Scholar
• A.K. DIXIT and R.S. PINDYCK , Investment Under Uncertainty , Princeton University Press Princeton , N.J. , 1994 .
   Google Scholar
• D. DUFFIE , Dynamic Asset Pricing , Princeton University Press Princeton , N.J. , 1992 .
   Google Scholar
• H. HE and R.S. PINDYCK , “ Investments in flexible production capacity ,” Journal of Economic Dynamics and Control 16 ( 1992 ), 575 – 599 .
   Web of Science ®Google Scholar
• R.A. JARROW and A. RUDD , Option Pricing , Irwin , Homewood , Ill. , 1983 .
   Google Scholar
• J. LINTNER , “ The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets ,” Review of Economics and Statistics 47 ( 1965 ) 12 – 37 .
   Google Scholar
• S. MAJD and R.S. PINDYCK , “; Time to build, option value, and investment decisions ,” Journal of Financial Economics 18 ( 1987 ), 7 – 27 .
   Web of Science ®Google Scholar
• R. MCDONALD and D. SIEGEL , “ Investment and the valuation of firms when there is an option to shut down ,” International Economic Review 26 ( 1985 ), 331 – 349 .
   Web of Science ®Google Scholar
• R.C. MERTON , “ An intertemporal capital asset pricing model ,” Econometrica 41 ( 1973 ), 867 – 887 .
   Web of Science ®Google Scholar
• S.C. MYERS , “ Finance theory and financial strategy ,” Interfaces 14 ( 1984 ) Number 1 , 126 – 137 .
   Web of Science ®Google Scholar
• W.F. SHARPE , “ Capital asset prices A theory of market equilibrium under conditions of risk ,” Journal of Finance 19 ( 1964 ), 425 – 442 .
   Web of Science ®Google Scholar
• V.R. SlNGHAL , “ Inventories, risk, and the value of the firm ,” Journal of Manufacturing and Operations Management 1 ( 1988 ), 4 – 43 .
   Google Scholar
• J.E. SMITH and R.F. NAU , “ Valuing risky projects Option pricing theory and decision analysis ,” Management Science 41 ( 1995 ), 795 – 816 .
   Web of Science ®Google Scholar
• A.J. TRIANTIS and J.E. HODDER , “ Valuing managerial flexibility ,” Journal of Finance 45 ( 1990 ), 549 – 565 .
   Web of Science ®Google Scholar
• L. TRIGEORGIS , Real Options Managerial Flexibility and Strategy in Resource Allocation , MIT Press , Cambridge , Mass. , 1996 .
   Google Scholar