Martingale Approach to Real Options

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]

No full text available

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):

Additional Information:

Proceedings of International Conference on Disordered and Complex Systems ; Conference date: July 2000

Departments, Centres and Research Units:



14 March 2001Published

Event Location:

London, United Kingdom

Date range:

10 - 14 July 2000

Item ID:


Date Deposited:

04 Feb 2022 12:56

Last Modified:

09 Feb 2022 10:43


Edit Record Edit Record (login required)