Hughston, L P and Zervos, M. 2001. Martingale Approach to Real Options. In: P Sollich; A Coolen; L P Hughston and R F Streater, eds. Disordered and Complex Systems. 535 (1) Melville, NY: American Institute of Physics, 325 - 330. ISBN 1563969831 [Book Section]

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Abstract or Description

We formulate a general mathematical model for investments in real assets from the perspective of the real options approach. We then derive an analytic expression for its price under a market completeness assumption. This expression is the solution of a stochastic optimisation problem. The generality of the model is such that it can also provide a framework for the study of financial options.

Item Type:	Book Section
Identification Number (DOI):	https://doi.org/10.1063/1.1358204
Additional Information:	Proceedings of International Conference on Disordered and Complex Systems ; Conference date: July 2000
Departments, Centres and Research Units:	Computing
Dates:	Date Event 14 March 2001 Published
Event Location:	London, United Kingdom
Date range:	10 - 14 July 2000
Item ID:	31372
Date Deposited:	04 Feb 2022 12:56
Last Modified:	09 Feb 2022 10:43
URI:	https://research.gold.ac.uk/id/eprint/31372

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