Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk.
Christian-Oliver EwaldZhaojun YangPublished in: Math. Methods Oper. Res. (2008)
Keyphrases
- risk aversion
- real option
- pricing model
- decision makers
- risk averse
- option pricing
- utility function
- expected utility
- risk neutral
- portfolio selection
- decision making
- exchange rate
- financial markets
- power plant
- life cycle
- dynamic pricing
- portfolio management
- decision support system
- decision theoretic
- decision theory
- inventory level
- stochastic programming
- fuzzy logic
- data mining
- neural network