TY - JOUR
T1 - Investment under uncertainty and volatility estimation risk
AU - Dotsis, George
AU - Makropoulou, Vasiliki
AU - Markellos, Raphael-Nicholas
PY - 2012
Y1 - 2012
N2 - This article considers the implications of volatility estimation risk in real options theory. We construct confidence intervals for critical project values and options prices. An empirical example in lease investment evaluation for an offshore petroleum tract shows that confidence intervals can be substantial when a limited amount of data are used to estimate volatility.
AB - This article considers the implications of volatility estimation risk in real options theory. We construct confidence intervals for critical project values and options prices. An empirical example in lease investment evaluation for an offshore petroleum tract shows that confidence intervals can be substantial when a limited amount of data are used to estimate volatility.
U2 - 10.1080/13504851.2011.570697
DO - 10.1080/13504851.2011.570697
M3 - Article
VL - 19
SP - 133
EP - 137
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
IS - 2
ER -