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"Real R&D Options: Theory, Practice and Implementation" ed. by Dean Paxson

Quantitative Finance

Real R&D options are usually embedded in projects or processes, where management has the on-going capacity to alter the R&D investment timing, amounts and/or ultimate project, or downsize or abandon the R&D. This book contains seven articles presented at the symposium on real R&D options held at Manchester Business School on 12 July 2000,

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There are nine relatively new models and four new applications or refinements of previous models, although what should be considered new and refinement is debatable.

The new models are:

• analytical values for real options when there are information costs and implementation costs uncertainty;

• analytical solutions for exit/entry decisions when the future cash flows are mean-reverting, or alternatively finite and fat-tailed;

• finite options with possibly endogenous learning and exogenous and experiential shocks;

• analytical approximations for real American sequential option values;

• pre-emption options for temporary first mover advantages;

• analytical real option values given externalities and government subsidies, also for mean-reverting stochastic processes.

Contents

List of contributors

1 Introduction to real R&D options - Dean A. Paxson

2 On irreversibility, sunk costs and investment under incomplete information - Mondher Bellalah

3 Investment under economic and implementation uncertainty - Andrianos E. Tsekrekos

4 An options approach to new product development: experience from Philips Electronics - Onno Lint and Enrico Pennings

5 Analytic solutions for the value of the option to (dis)invest - Nicholas Biekpe, Paul Klumpes and Mark Tippett

6 Student’s distribution and the value of real options - Huw Rhys and Mark Tippett

7 Real R&D options with endogenous and exogenous learning - Spiros H. Martzoukos

8 Approximate valuation of real R&D American sequential exchange options - Jongwoo Lee and Dean A. Paxson

9 Optimal exploration investments under price and geological–technical uncertainty: a real options model - Gonzalo Cortazar, Eduardo S. Schwartz and Jaime Casassus

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