| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6898316 | European Journal of Operational Research | 2012 | 7 Pages |
Abstract
⺠We analytically show the bias in common project value volatility estimation methods. ⺠We develop a general method for correctly estimating the volatility of project value. ⺠Project value volatility depends on cash flow leverage and may vary by time period. ⺠Cash flows from binomial trees with our volatilities match those from simulation. ⺠Conditional expectations required in the general method can be derived numerically.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Luiz E. Brandão, James S. Dyer, Warren J. Hahn,