Investing in a random start American option under competition

Detalhes bibliográficos
Autor(a) principal: Pereira, Paulo J.
Data de Publicação: 2019
Outros Autores: Rodrigues, Artur
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/1822/65728
Resumo: In this paper we develop a model to determine the value of the opportunity to invest in a random start American real option. In contrast to a typical American option, the random start option only exists if an exogenous event occurs materializing the American option to invest. In addition, the effect of competition is also considered in the model. A higher risk of competition and a higher probability of the exogenous event promotes investment. Uncertainty has a non-monotonic effect on investment timing.
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spelling Investing in a random start American option under competitionRandom start optionsReal optionsUncertaintyCompetitionCiências Sociais::Economia e GestãoSocial SciencesIn this paper we develop a model to determine the value of the opportunity to invest in a random start American real option. In contrast to a typical American option, the random start option only exists if an exogenous event occurs materializing the American option to invest. In addition, the effect of competition is also considered in the model. A higher risk of competition and a higher probability of the exogenous event promotes investment. Uncertainty has a non-monotonic effect on investment timing.- This work was carried out within the funding with COMPETE reference n. POCI-01-0145-FEDER-006683 (Artur Rodrigues) and POCI-01-0145-FEDER-006890 (Paulo J. Pereira), FCT/MEC's (Fundacao pars a Ciencia e a Tecnologia, I.P.) financial support through national funding and by ERDF through the Operational Programme on Competitiveness and Internationalization - COMPETE 2020 under the PT2020 Partnership Agreement.ElsevierUniversidade do MinhoPereira, Paulo J.Rodrigues, Artur2019-03-012019-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/65728engPereira, P. J., & Rodrigues, A. (2019). Investing in a random start American option under competition. Finance Research Letters, 28, 388-3971544-612310.1016/j.frl.2018.06.013https://www.sciencedirect.com/science/article/pii/S1544612318302873info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-09-30T01:28:22Zoai:repositorium.sdum.uminho.pt:1822/65728Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:16:46.046580Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Investing in a random start American option under competition
title Investing in a random start American option under competition
spellingShingle Investing in a random start American option under competition
Pereira, Paulo J.
Random start options
Real options
Uncertainty
Competition
Ciências Sociais::Economia e Gestão
Social Sciences
title_short Investing in a random start American option under competition
title_full Investing in a random start American option under competition
title_fullStr Investing in a random start American option under competition
title_full_unstemmed Investing in a random start American option under competition
title_sort Investing in a random start American option under competition
author Pereira, Paulo J.
author_facet Pereira, Paulo J.
Rodrigues, Artur
author_role author
author2 Rodrigues, Artur
author2_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Pereira, Paulo J.
Rodrigues, Artur
dc.subject.por.fl_str_mv Random start options
Real options
Uncertainty
Competition
Ciências Sociais::Economia e Gestão
Social Sciences
topic Random start options
Real options
Uncertainty
Competition
Ciências Sociais::Economia e Gestão
Social Sciences
description In this paper we develop a model to determine the value of the opportunity to invest in a random start American real option. In contrast to a typical American option, the random start option only exists if an exogenous event occurs materializing the American option to invest. In addition, the effect of competition is also considered in the model. A higher risk of competition and a higher probability of the exogenous event promotes investment. Uncertainty has a non-monotonic effect on investment timing.
publishDate 2019
dc.date.none.fl_str_mv 2019-03-01
2019-03-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/65728
url https://hdl.handle.net/1822/65728
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Pereira, P. J., & Rodrigues, A. (2019). Investing in a random start American option under competition. Finance Research Letters, 28, 388-397
1544-6123
10.1016/j.frl.2018.06.013
https://www.sciencedirect.com/science/article/pii/S1544612318302873
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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