Real options with priced regime-switching risk
- Autores
- Driffill, John; Kenc, Turalay; Sola, Martin
- Año de publicación
- 2013
- Idioma
- inglés
- Tipo de recurso
- artículo
- Estado
- versión publicada
- Descripción
- We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are subject to discrete shifts over time as well as random changes. The presence of discrete shifts is due to systematic and unsystematic risk associated with changes in business cycles or in economic policy regimes or events such as takeovers, major changes in business plans. We analyze the impact of regime-switching behavior on the valuation of projects and investment opportunities. We find that accounting for Markov switching risk results in a delay in the expected timing of the investment while the regime-specific factor risk premia make the possibility of a regime shift more pronounced.
Fil: Driffill, John. Birkbeck College; Reino Unido
Fil: Kenc, Turalay. Central Bank of Turkey; Turquía
Fil: Sola, Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Birkbeck College; Reino Unido - Materia
-
REAL OPTIONS
REGIME-DEPENDENT RISK PREMIA
REGIME-SWITCHING RISK PREMIA - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
- Repositorio
- Institución
- Consejo Nacional de Investigaciones Científicas y Técnicas
- OAI Identificador
- oai:ri.conicet.gov.ar:11336/85961
Ver los metadatos del registro completo
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Real options with priced regime-switching riskDriffill, JohnKenc, TuralaySola, MartinREAL OPTIONSREGIME-DEPENDENT RISK PREMIAREGIME-SWITCHING RISK PREMIAhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are subject to discrete shifts over time as well as random changes. The presence of discrete shifts is due to systematic and unsystematic risk associated with changes in business cycles or in economic policy regimes or events such as takeovers, major changes in business plans. We analyze the impact of regime-switching behavior on the valuation of projects and investment opportunities. We find that accounting for Markov switching risk results in a delay in the expected timing of the investment while the regime-specific factor risk premia make the possibility of a regime shift more pronounced.Fil: Driffill, John. Birkbeck College; Reino UnidoFil: Kenc, Turalay. Central Bank of Turkey; TurquíaFil: Sola, Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Birkbeck College; Reino UnidoWorld Scientific2013-08info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/85961Driffill, John; Kenc, Turalay; Sola, Martin; Real options with priced regime-switching risk; World Scientific; International Journal of Theoretical and Applied Finance; 16; 5; 8-2013; 13500281-135002810219-0249CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1142/S0219024913500283info:eu-repo/semantics/altIdentifier/url/https://www.worldscientific.com/doi/abs/10.1142/S0219024913500283info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T10:05:49Zoai:ri.conicet.gov.ar:11336/85961instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 10:05:49.496CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse |
dc.title.none.fl_str_mv |
Real options with priced regime-switching risk |
title |
Real options with priced regime-switching risk |
spellingShingle |
Real options with priced regime-switching risk Driffill, John REAL OPTIONS REGIME-DEPENDENT RISK PREMIA REGIME-SWITCHING RISK PREMIA |
title_short |
Real options with priced regime-switching risk |
title_full |
Real options with priced regime-switching risk |
title_fullStr |
Real options with priced regime-switching risk |
title_full_unstemmed |
Real options with priced regime-switching risk |
title_sort |
Real options with priced regime-switching risk |
dc.creator.none.fl_str_mv |
Driffill, John Kenc, Turalay Sola, Martin |
author |
Driffill, John |
author_facet |
Driffill, John Kenc, Turalay Sola, Martin |
author_role |
author |
author2 |
Kenc, Turalay Sola, Martin |
author2_role |
author author |
dc.subject.none.fl_str_mv |
REAL OPTIONS REGIME-DEPENDENT RISK PREMIA REGIME-SWITCHING RISK PREMIA |
topic |
REAL OPTIONS REGIME-DEPENDENT RISK PREMIA REGIME-SWITCHING RISK PREMIA |
purl_subject.fl_str_mv |
https://purl.org/becyt/ford/5.2 https://purl.org/becyt/ford/5 |
dc.description.none.fl_txt_mv |
We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are subject to discrete shifts over time as well as random changes. The presence of discrete shifts is due to systematic and unsystematic risk associated with changes in business cycles or in economic policy regimes or events such as takeovers, major changes in business plans. We analyze the impact of regime-switching behavior on the valuation of projects and investment opportunities. We find that accounting for Markov switching risk results in a delay in the expected timing of the investment while the regime-specific factor risk premia make the possibility of a regime shift more pronounced. Fil: Driffill, John. Birkbeck College; Reino Unido Fil: Kenc, Turalay. Central Bank of Turkey; Turquía Fil: Sola, Martin. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Birkbeck College; Reino Unido |
description |
We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are subject to discrete shifts over time as well as random changes. The presence of discrete shifts is due to systematic and unsystematic risk associated with changes in business cycles or in economic policy regimes or events such as takeovers, major changes in business plans. We analyze the impact of regime-switching behavior on the valuation of projects and investment opportunities. We find that accounting for Markov switching risk results in a delay in the expected timing of the investment while the regime-specific factor risk premia make the possibility of a regime shift more pronounced. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-08 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion http://purl.org/coar/resource_type/c_6501 info:ar-repo/semantics/articulo |
format |
article |
status_str |
publishedVersion |
dc.identifier.none.fl_str_mv |
http://hdl.handle.net/11336/85961 Driffill, John; Kenc, Turalay; Sola, Martin; Real options with priced regime-switching risk; World Scientific; International Journal of Theoretical and Applied Finance; 16; 5; 8-2013; 13500281-13500281 0219-0249 CONICET Digital CONICET |
url |
http://hdl.handle.net/11336/85961 |
identifier_str_mv |
Driffill, John; Kenc, Turalay; Sola, Martin; Real options with priced regime-switching risk; World Scientific; International Journal of Theoretical and Applied Finance; 16; 5; 8-2013; 13500281-13500281 0219-0249 CONICET Digital CONICET |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
info:eu-repo/semantics/altIdentifier/doi/10.1142/S0219024913500283 info:eu-repo/semantics/altIdentifier/url/https://www.worldscientific.com/doi/abs/10.1142/S0219024913500283 |
dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
eu_rights_str_mv |
openAccess |
rights_invalid_str_mv |
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
dc.format.none.fl_str_mv |
application/pdf application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
World Scientific |
publisher.none.fl_str_mv |
World Scientific |
dc.source.none.fl_str_mv |
reponame:CONICET Digital (CONICET) instname:Consejo Nacional de Investigaciones Científicas y Técnicas |
reponame_str |
CONICET Digital (CONICET) |
collection |
CONICET Digital (CONICET) |
instname_str |
Consejo Nacional de Investigaciones Científicas y Técnicas |
repository.name.fl_str_mv |
CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas |
repository.mail.fl_str_mv |
dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar |
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1842269930069688320 |
score |
13.13397 |