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Applied Economics Letters Volume 19, 2012 - Issue 2
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Original Articles

Investment under uncertainty and volatility estimation risk

George DotsisEssex Finance Centre, Essex Business School, Essex University, Colchester, CO4 3SQ, UK
,
Vasiliki MakropoulouDepartment of Management Science and Technology, Athens University of Economics and Business, 47A Evelpidon Street, Athens, GR, 113 62, Greece
&
Raphael Nicholas MarkellosDepartment of Management Science and Technology, Athens University of Economics and Business, 47A Evelpidon Street, Athens, GR, 113 62, Greece
Pages 133-137 | Published online: 06 Jun 2011

References

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  • Brennan, M. , and Schwartz, E. , 1985. Evaluating natural resource investments , Journal of Business 58 (1985), pp. 135–57.
  • Davis, G. , 1998. Estimating volatility and dividend yield when valuing real options to invest or abandon , Quarterly Review of Economics and Finance 38 (1998), pp. 725–54.
  • Dixit, A. , and Pindyck, R. , 1994. Investment under Uncertainty . Princeton, NJ: Princeton University Press; 1994.
  • Lo, A. W. , 1986. Statistical tests of contingent-claims asset pricing models , Journal of Financial Economics 17 (1986), pp. 143–73.
  • McDonald, R. , and Siegel, D. , 1986. The value of waiting to invest , Quarterly Journal of Economics 101 (1986), pp. 707–28.
  • Paddock, J. , Siegel, D. , and Smith, J. , 1988. Option valuation of claims on real assets: the case of offshore petroleum leases , Quarterly Journal of Economics 103 (1988), pp. 479–508.
  • Trigeorgis, L. , 1990. A real options application in natural resource investments , Advances in Futures and Options Research 4 (1990), pp. 153–64.

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