Real options in practice: Valuing connected gas fields in the north sea

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Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition

L Zhao, S van Wijnbergen - Quantitative Finance, 2017 - Taylor & Francis
We apply utility indifference pricing to solve a contingent claim problem, valuing a connected
pair of gas fields where the underlying process is not standard Geometric Brownian Motion …
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