haku: @indexterm Rate of return / yhteensä: 621
viite: 35 / 621
| Tekijä: | Shackleton, M. Wojakowski, R. |
| Otsikko: | The Expected Return and Exercise Time of Merton-style Real Options |
| Lehti: | Journal of Business Finance and Accounting
2002 : VOL. 29:3-4, p. 541-556 |
| Asiasana: | RATE OF RETURN PROBABILITY OPTIONS ANALYTICAL REVIEW |
| Kieli: | eng |
| Tiivistelmä: | The authors analyse the rate of return and expected exercise time of Merton-style options (1973) employed in many real option situations where the possibility of exercise is both perpetual and American in nature. Using risk-neutral and risk-adjusted pricing techniques, Merton- style options are shown to have an expected return that is a constant percentage of the option value and independent of the proximity to the critical exercise boundary. Merton options thus remain at the same point on the Security Market Line, unlike European options whose position and rate of return change dynamically. The authors also present formulae for the expected time and discounted times to exercise and analyse the dependency of these variables on volatility. |
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