Revisiting corporate growth options in the presence of state-dependent cashflow risk |
| |
| Authors: | Alessandro Sbuelz Marco Caliari |
| |
| Institution: | 1. Department of Mathematics, Quantitative Finance, and Econometrics, Catholic University of Milan, Milan, Italy;2. Department of Computer Science, University of Verona, Verona, Italy |
| |
| Abstract: | Given a non-trivial market price of risk, we study the impact of state-dependent cashflow risk on the optimal investment policy and on the ensuing value of an unlevered firm that holds the option of scaling up cashflows from its assets in place upon incurring an irreversible cost. The firm’s investment decision and value are studied as a function of the market price of risk and of the degree of state dependence in cashflow risk. |
| |
| Keywords: | Corporate growth options State-dependent risk Stock pricing Market price of risk |
| 本文献已被 ScienceDirect 等数据库收录！ |
