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Export Reference (APA) 
Dias, J. C. & Nunes, J. P. (2011). Pricing real options under the constant elasticity of variance diffusion. Journal of Futures Markets. 31 (3), 230-250
Export Reference (IEEE) 
J. C. Dias and J. P. Nunes,  "Pricing real options under the constant elasticity of variance diffusion", in Journal of Futures Markets, vol. 31, no. 3, pp. 230-250, 2011
Export BibTeX 
@article{dias2011_1716221995582,
	author = "Dias, J. C. and Nunes, J. P.",
	title = "Pricing real options under the constant elasticity of variance diffusion",
	journal = "Journal of Futures Markets",
	year = "2011",
	volume = "31",
	number = "3",
	doi = "10.1002/fut.20468",
	pages = "230-250",
	url = "http://onlinelibrary.wiley.com/doi/10.1002/fut.20468/abstract"
}
Export RIS 
TY  - JOUR
TI  - Pricing real options under the constant elasticity of variance diffusion
T2  - Journal of Futures Markets
VL  - 31
IS  - 3
AU  - Dias, J. C.
AU  - Nunes, J. P.
PY  - 2011
SP  - 230-250
SN  - 0270-7314
DO  - 10.1002/fut.20468
UR  - http://onlinelibrary.wiley.com/doi/10.1002/fut.20468/abstract
AB  - Much of the work on real options assumes that the underlying state variable follows a geometric Brownian motion with constant volatility. This paper uses a more general assumption for the state variable process that better captures the empirical regularities found in commodity markets. We use the constant elasticity of variance diffusion, where volatility is a function of underlying asset prices, and we provide analytic solutions for perpetual American options. We show that a firm that uses the standard lognormal assumption is exposed to significant errors of analysis, which may lead to nonoptimal investment and disinvestment decisions. 
ER  -