A comment on "An arbitrage-free approach to quasi-option value" by Coggins and Ramezani

Paul Mensink

No 2004-06, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

Abstract: In their article "An Arbitrage-Free Approach to Quasi-Option Value" [J. Environm. Econom. Management 35, 103-125, 1998], Coggins and Ramezani interpreted the concept of quasi-option value introduced by Arrow and Fisher [Quart. J. Econom. 88, 1974, 312-319] as being identical to Dixit and Pindyck's real option value. This means their approach differs from the approach by Fisher and Hanemann [J. Environm. Econom. Management 14, 183-190, 1987] who formalized the concept of quasi-option value a decade before. By indirectly characterizing Dixit and Pindyck's real option value Coggins and Ramezani confirmed classic results in the field of real options theory.

Date: 2004
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