Revisiting the Tourinho real options model: outstanding issues 30 years later

References

• Adkins , R. and Paxson , D. 2011 . The Tourinho model: Neglected nugget or a receding relic? . European Journal of Finance , doi: 10.1080/1351847X.2011.601873
   Web of Science ®Google Scholar
• Brennan , M. and Schwartz , E. 1985 . Evaluating natural resource investments . Journal of Business , 58 ( 2 ) : 135 – 57 . (doi:10.1086/296288)
   Web of Science ®Google Scholar
• Carlson , M. , Kholer , Z. and Tilman , S. 2006 . “ Equilibrium exhaustible resource price dynamics ” . In NBER Working Paper no. 12000 , Cambridge, MA : National Bureau of Economic Research .
   Google Scholar
• Casassus , J. , Collinn-Dufresne , P. and Routledge , B. 2005 . “ Equilibrium commodity prices with irreversible investment and non-linear technology ” . In NBER Working Paper no. 11864 , Cambridge, MA : National Bureau of Economic Research .
   Google Scholar
• Copeland , T. and Antikarov , V. 2001 . Real options: A practitioner's guide , New York , NY : Texere .
   Google Scholar
• Dias , J. C. and Nunes , J. P. Pricing real options under the CEV diffusion . Proceedings of the 12th Annual International Real Options Conference . Rio de Janeiro , Brazil.
   Google Scholar
• Dixit , A. and Pindyck , R. 1994 . Investment under uncertainty , Princeton , NJ : Princeton University Press .
   Google Scholar
• Friedl , G. 2002 . Sequential investment and time to build . Schmalenbach Business Review , 54 : 56 – 79 .
   Google Scholar
• Gibson , R. and Schwartz , E. 1990 . Stochastic convenience yield and the pricing of oil contingent claims . The Journal of Finance , XLV ( 3 ) : 859 – 976 .
   Google Scholar
• Grenadier , S. 2002 . Option exercise games: An application to equilibrium investment strategies of firms . The Review of Financial Studies , 15 ( 3 ) : 691 – 721 . (doi:10.1093/rfs/15.3.691)
   Web of Science ®Google Scholar
• Heston , S. L. 1993 . A closed-form solution for options with stochastic volatility with applications to bond and currency options . The Review of Financial Studies , 6 ( 2 ) : 327 – 43 . (doi:10.1093/rfs/6.2.327)
   Web of Science ®Google Scholar
• Hotelling , H. 1931 . The economics of exhaustible resources . Journal of Political Economy , 39 ( 2 ) : 137 – 75 . (doi:10.1086/254195)
   Google Scholar
• Hugonnier , J. , Morellec , E. and Sundaresan , S. 2005 . “ Irreversible investment in general equilibrium ” . In Working Paper no. FR 05-10, Simon School of Business , Rochester , NY : University of Rochester .
   Google Scholar
• Lautier , D. 2003 . “ Term structure models of commodity prices ” . In Cahier de recherche du Cereg n°2003–9 , Paris , , France : Université de Paris IX .
   Google Scholar
• Mcdonald , R. and Siegel , D. 1985 . Investment and the valuation of firms when there is an option to shut down . International Economic Review , 26 ( 2 ) : 331 – 49 . (doi:10.2307/2526587)
   Web of Science ®Google Scholar
• Mcdonald , R. and Siegel , D. 1986 . The value of waiting to invest . The Quarterly Journal of Economics , 101 ( 4 ) : 707 – 28 . (doi:10.2307/1884175)
   Web of Science ®Google Scholar
• Merton , R. 1973 . Theory of rational option pricing . Bell Journal of Economics and Management Science , 4 ( 1 ) : 141 – 83 . (doi:10.2307/3003143)
   Google Scholar
• Merton , R. 1977 . On the pricing of contingent claims and the Modigliani–Miller theorem . Journal of Financial Economics , 5 ( 3 ) : 241 – 99 . (doi:10.1016/0304-405X(77)90020-4)
   Web of Science ®Google Scholar
• Pindyck , R. 1980 . Uncertainty and exhaustible resource markets . Journal of Political Economy , 88 : 1203 – 25 . (doi:10.1086/260935)
   Web of Science ®Google Scholar
• Robel , G. Real options and mean-reverting prices . Proceedings of 5th Annual International Real Options Conference . Los Angeles , California .
   Google Scholar
• Samuelson , P. A. 1965a . Proof that properly anticipated fluctuate randomly . Industrial Management Review , 6 : 1 – 13 .
   Google Scholar
• Samuelson , P. A. 1965b . Rational theory of warrant pricing . Industrial Management Review , 6 : 13 – 39 . [includes ‘Appendix: A free boundary problem for the heat equation arising from a problem in mathematical economics’ by Henry McKean]
   Web of Science ®Google Scholar
• Schwartz , E. 1997 . The stochastic behavior of commodity prices: Implications for valuation and hedging . The Journal of Finance , 52 ( 3 ) : 923 – 73 . (doi:10.1111/j.1540-6261.1997.tb02721.x)
   Web of Science ®Google Scholar
• Schwartz , E. 1998 . Valuing long-term commodity assets . Financial Management , 27 ( 1 ) : 57 – 66 . (doi:10.2307/3666151)
   Web of Science ®Google Scholar
• Schwartz , E. and Smith , J. 2000 . Short-term variations and long-term dynamics in commodity prices . Management Science , 46 : 893 – 911 . (doi:10.1287/mnsc.46.7.893.12034)
   Web of Science ®Google Scholar
• Sick , G. Will real options ever get the respect they deserve? . Proceedings of the 6th. Annual Real Options Conference (keynote address) . Paphos , Cyprus.
   Google Scholar
• Tourinho , O. A.F. 1979 . “ The valuation of reserves of natural resources: An option pricing approach ” . In PhD diss , Berkeley , CA : University of California .
   Google Scholar
• Trigeorgis , L. 1996 . Real options: Managerial flexibility and strategy in resource allocation , Cambridge , MA : MIT Press .
   Google Scholar