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Real options: Capital investment appraisal; estimating the market price of risk and application to the valuation of a new business
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Journal Article
Real options: Capital investment appraisal; estimating the market price of risk and application to the valuation of a new business
2022
Overview
The risk-neutral valuation approach to evaluating an investment avoids the need to estimate risk-adjusted discount rates, but it does require the market price of risk parameters for all stochastic variables. When historical data is available on a particular variable, its market price of risk can be estimated using the capital asset pricing model.
Publisher
KSP Journals
Subject
