Investment under uncertainty and volatility estimation risk

Dotsis, George, Makropoulou, Vasiliki and Markellos, Raphael-Nicholas (2012) Investment under uncertainty and volatility estimation risk. Applied Economics Letters, 19 (2). pp. 133-137. ISSN 1350-4851

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Abstract

This article considers the implications of volatility estimation risk in real options theory. We construct confidence intervals for critical project values and options prices. An empirical example in lease investment evaluation for an offshore petroleum tract shows that confidence intervals can be substantial when a limited amount of data are used to estimate volatility.

Item Type: Article
Faculty \ School: Faculty of Social Sciences > Norwich Business School
University of East Anglia > Faculty of Social Sciences > Research Groups > Accounting, Finance and Governance
Depositing User: Raphael Markellos
Date Deposited: 27 Oct 2011 09:17
Last Modified: 25 Jul 2018 03:25
URI: https://ueaeprints.uea.ac.uk/id/eprint/35202
DOI: 10.1080/13504851.2011.570697

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