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Patents and R&D as Real Options
In: Economic notes, Band 33, Heft 1, S. 23-54
ISSN: 1468-0300
This article develops and implements a simulation approach to value patents and patent‐protected R&D projects based on the Real Options approach. It takes into account uncertainty in the cost‐to‐completion of the project, uncertainty in the cash flows to be generated from the project, and the possibility of catastrophic events that could put an end to the effort before it is completed. It also allows for the possibility of abandoning the project when costs turn out to be larger than expected or when estimated cash flows turn out to be smaller than anticipated. This abandonment option represents a very substantial part of the project's value when the project is marginal or/and when uncertainty is large. The model presented can be used to evaluate the effects of regulation on the cost of innovation and the amount on innovative output. The main focus of the article is the pharmaceutical industry. The framework, however, applies just as well to other research‐intensive industries such as software or hardware development. (J.E.L.:G31, O22, O32).
The Valuation of Fisheries Rights: A Real Options Approach
In: NBER Working Paper No. w25140
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Working paper
Cash Flow Multipliers and Optimal Investment Decisions
In: NBER Working Paper No. w15807
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An Empirical Analysis of the Swaption Cube
In: NBER Working Paper No. w16549
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Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
In: NBER Working Paper No. w12744
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Illiquid Assets and Optimal Portfolio Choice
In: NBER Working Paper No. w12633
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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
In: NBER Working Paper No. w12337
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A Compound Option Model of Production and Intermediate Inventories
In: The journal of business, Band 66, Heft 4, S. 517
ISSN: 1537-5374
Stranded Fossil Fuel Reserves and Firm Value
In: NBER Working Paper No. w26497
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Working paper
Real Options with Uncertain Maturity and Competition
In: NBER Working Paper No. w12990
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R&D Investments with Competitive Interactions
In: NBER Working Paper No. w10258
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Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities
In: The journal of business, Band 65, Heft 2, S. 221
ISSN: 1537-5374
The Stochastic behaviour of Market Variance Implied in the Prices of Index Options
In: The Economic Journal, Band 101, Heft 409, S. 1460