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Options to expand and to contract in combination |
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| Institution: | University of Bologna, MATEMATES Department, v.le Filopanti, 5 - 40126 Bologna, Italy |
| Abstract: | This work presents a real options approach to the valuation of multiple investment projects, focusing on the case of option to expand and/or to contract. Proper valuation formulas are obtained by solving Black–Scholes PDE and the impact of strategic interaction among multiple options is studied. |
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